SystematicRisk: Systematic risk of the return distribution

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

Systematic risk of the return distribution

Description

Systematic risk as defined by Bacon(2008) is the product of beta by market risk. Be careful ! It's not the same definition as the one given by Michael Jensen. Market risk is the standard deviation of the benchmark. The systematic risk is annualized

Usage

SystematicRisk(Ra, Rb, Rf = 0, scale = NA, ...)

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
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
...	any other passthru parameters

Details

\sigma_s = \beta * \sigma_m

where \sigma_s is the systematic risk, \beta is the regression beta, and \sigma_m is the market risk

Author(s)

Matthieu Lestel

References

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

Examples

data(portfolio_bacon)
print(SystematicRisk(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.013

data(managers)
print(SystematicRisk(managers['2002',1], managers['2002',8]))
print(SystematicRisk(managers['2002',1:5], managers['2002',8]))

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