SemiDeviation {PerformanceAnalytics} | R Documentation |
Semideviation is the portion of the return stream below the mean return.
SemiDeviation(Ra) SemiVariance(Ra)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
Semidiviation 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.
vector of returns below the mean return
Peter Carl
http://en.wikipedia.org/wiki/Semivariance
data(edhec) head(edhec[,7,drop=FALSE]) sd(edhec[,7]) SemiDeviation(edhec[,7])