SpecificRisk: Specific risk of the return distribution

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Specific risk is the standard deviation of the error term in the regression equation.

Usage

SpecificRisk(Ra, Rb, Rf = 0, ...)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
Rf	risk free rate, in same period as your returns
...	any other passthru parameters

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.75

Examples

data(portfolio_bacon)
print(SpecificRisk(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.0329

data(managers)
print(SpecificRisk(managers['1996',1], managers['1996',8]))
print(SpecificRisk(managers['1996',1:5], managers['1996',8]))

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.