table.SpecificRisk: Specific risk Summary: Statistics and Stylized Facts

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

Specific risk Summary: Statistics and Stylized Facts

Description

Table of specific risk, systematic risk and total risk

Usage

table.SpecificRisk(Ra, Rb, Rf = 0, digits = 4)

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
digits	number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.76

See Also

SystematicRisk
SpecificRisk
TotalRisk

Examples

data(managers)
table.SpecificRisk(managers[,1:8], managers[,8])

require("Hmisc")
result = t(table.SpecificRisk(managers[,1:8], managers[,8], Rf=.04/12))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top", 
row.valign="center", wrap.rownames=20, wrap.colnames=10, 
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Portfolio specific, systematic and total risk")

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