PerformanceAnalytics (version 1.5.2)

SpecificRisk: Specific risk of the return distribution

Description

Specific risk is the standard deviation of the error term in the regression equation.

Usage

SpecificRisk(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

References

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

Examples

Run this code
# NOT RUN {
data(portfolio_bacon)
print(SpecificRisk(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.0329

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

# }

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