PerformanceAnalytics (version 1.5.2)

TotalRisk: Total risk of the return distribution

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

$$Total Risk = \sqrt{Systematic Risk^2 + Specific Risk^2}$$

References

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

Examples

# NOT RUN {
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]))

# }