Jensen's Alpha and Performance Analytics package

Hello community,

I am fairly new to R and specially finance R, and I keep being stuck with an R mistake. I'm trying to compute Jensen's alpha for a fund (named A, imported XLS), using the Oslo Ex. Benchmark Index (OSEBX), the NIBOR interest level and the PerformanceAnalytics package (CAPM.jensenAlpha).

I already had problems with the data types, so I converted everything to timeSeries format and gave it the same row names, but when executing I get a bunch of NAs (additional question, can I use a time series for the Rf, or does it have to be constant?).



data_ose <- BatchGetSymbols(tickers = "OSEBX.OL", = "1993-03-01", = "2003-03-04", = "monthly",
do.cache = FALSE, = 0)

OSEBX_rtn <- data_ose$df.tickers$ret.adjusted.prices

OSEBXrtn_ts <- timeSeries(OSEBX_rtn)
nibor_ts <- timeSeries(nibor)
A <- timeSeries(Funds_data$A)

row.names(A) <- Funds_data$Date
row.names(OSEBXrtn_ts) <- Funds_data$Date
row.names(nibor_ts) <- Funds_data$Date


Outcome for a time series Rf
Captura de Pantalla 2021-11-09 a les 14.20.11

I'd really appreciate if someone could give me a hand.



object 'nibor' not found

nibor isn't in your example. Nor is Funds_data. Can you provide examples of these and anything else needed?

What other packages are loaded? I assume BatchGetSymbols. Not sure where timeSeries() is from but ts seems to be the same.

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