Downside Variance

Description

Computes downside variance of portfolio returns.

Usage

1
downside_variance(asset, thresholdReturn)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

thresholdReturn

Return value to be used as a cut-off point

Value

Metric object

Note

https://www.portfolioeffect.com/docs/glossary/measures/absolute-risk-measures/downside-variance

Author(s)

Kostin Andrey <andrey.kostin@portfolioeffect.com>

See Also

upside_variance

Examples

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## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(downside_variance(portfolio,0.05),downside_variance(positionGOOG,0.05),
downside_variance(positionAAPL,0.05)) 
plot(downside_variance(portfolio,0.05),downside_variance(positionGOOG,0.05),
downside_variance(positionAAPL,0.05),legend=c('Portfolio','GOOG','AAPL'),
title='Downside Variance')

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(downside_variance(positionC,0.05),downside_variance(positionGOOG,0.05),
downside_variance(positionAAPL,0.05)) 
plot(downside_variance(positionC,0.05),downside_variance(positionGOOG,0.05),
downside_variance(positionAAPL,0.05),legend=c('C','GOOG','AAPL'),
title='Downside Variance')

## End(Not run)

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