Calculate rolling beta relative to a benchmark.
Usage
calc_rolling_beta(returns, benchmark_returns, window = 20, min_periods = NULL)
Arguments
- returns
Numeric vector of returns
- benchmark_returns
Numeric vector of benchmark returns
- window
Window size for rolling calculation
- min_periods
Minimum periods required for calculation (default: window)
Value
Numeric vector of rolling beta values
Examples
if (FALSE) { # \dontrun{
strategy_returns <- rnorm(100, 0.001, 0.02)
benchmark_returns <- rnorm(100, 0.0008, 0.015)
rolling_beta <- calc_rolling_beta(strategy_returns, benchmark_returns, window = 20)
} # }