Specific risk Summary: Statistics and Stylized Facts
Table of specific risk, systematic risk and total risk
table.SpecificRisk(Ra, Rb, Rf = 0, digits = 4)
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 |
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.76
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")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.