| SystematicRisk {PerformanceAnalytics} | R Documentation |
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['1996',1], managers['1996',8]))
print(SystematicRisk(managers['1996',1:5], managers['1996',8]))