SemiDeviation {PerformanceAnalytics}R Documentation

deviation below the mean of the return distribution

Description

Semideviation is the portion of the return stream below the mean return.

Usage

SemiDeviation(Ra)
SemiVariance(Ra)

Arguments

Ra a vector, matrix, data frame, timeSeries or zoo object of asset returns

Details

SemiDeviation or SemiVariance is a popular alternative downside risk measure that may be used in place of standard deviation or variance.

This function is implemented as a wrapper of DownsideDeviation with MAR=mean(R).

In many functions like Markowitz optimization, semideviation may be substituted directly, and the covariance matrix may be constructed from semideviation rather than from variance.

Value

vector of returns below the mean return

Note

Author(s)

Peter Carl

References

http://en.wikipedia.org/wiki/Semivariance

See Also

DownsideDeviation

Examples

data(edhec)
head(edhec[,7,drop=FALSE])
sd(edhec[,7])
SemiDeviation(edhec[,7])

[Package PerformanceAnalytics version 0.9.5 Index]