SpecificRisk: Specific risk of the return distribution

SpecificRiskR Documentation

Specific risk of the return distribution

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]))


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