Specific risk Summary: Statistics and Stylized Facts

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Description

Table of specific risk, systematic risk and total risk

Usage

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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

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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")

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