NetSelectivity: Net selectivity of the return distribution

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Net selectivity of the return distribution

Description

Net selectivity is the remaining selectivity after deducting the amount of return require to justify not being fully diversified

Usage

NetSelectivity(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

Details

If net selectivity is negative the portfolio manager has not justified the loss of diversification

Net selectivity = \alpha - d

where \alpha is the selectivity and d is the diversification

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.78

Examples

data(portfolio_bacon)
print(NetSelectivity(portfolio_bacon[,1], portfolio_bacon[,2])) #expected -0.017

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

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.