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
where is the systematic risk,
is the regression beta,
and
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]))
[Package PerformanceAnalytics version 2.0.4 Index]