Description Usage Arguments Value Note Author(s) See Also Examples
Computes downside variance of portfolio returns.
1 | downside_variance(asset, thresholdReturn)
|
asset |
Portfolio or Position object created using portfolio_create( ) or position_add( ) function |
thresholdReturn |
Return value to be used as a cut-off point |
Metric object
https://www.portfolioeffect.com/docs/glossary/measures/absolute-risk-measures/downside-variance
Kostin Andrey <andrey.kostin@portfolioeffect.com>
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 | ## 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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