[R-SIG-Finance] PerformanceAnalytics: CAPM.alpha vs CAPM.jensenAlpha

[Charles Duranceau]

Hi,

What Is the difference between the function CAPM.alpha and CAPM.jensenAlpha in the package "PerformanceAnalytics".

To me both definitions have the same meaning but I found different results when running the numbers.
I understand CAPM.alpha being the "intercept" from the linear regression of a portfolio return over the benchmark (tested by lm(x~y).
However I cannot figure out the results from CAPM.jensenAlpha. What interpretation should I made of CAPM.jensenAlpha?

Thank you
Best Regards,

Charles


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