TotalRisk: Total risk of the return distribution

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

The square of total risk is the sum of the square of systematic risk and the square of specific risk. Specific risk is the standard deviation of the error term in the regression equation. Both terms are annualized to calculate total risk.

Usage

TotalRisk(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

Total Risk^2 = Systematic Risk^2 + Specific Risk^2

Author(s)

Matthieu Lestel

References

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

Examples

data(portfolio_bacon)
print(TotalRisk(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.0134

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

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.