PerformanceAnalytics (version 0.9.5)

BetaCoSkewness: systematic skewness of an asset to an initial portfolio

Description

Beta CoSkewness is the beta of an asset to the skewness of an initial portfolio. Used to determine diversification potential. also called "systematic skewness" or "systematic co-skewness" by several papers.

Usage

BetaCoSkewness(Ra,Ri, na.rm = FALSE)

Arguments

Ra

return vector of asset being considered for addition to portfolio

Ri

return vector of initial portfolio

na.rm

TRUE/FALSE Remove NA's from the returns?

Value

• systematic skewness of asset to an initial portfolio

Details

$$S_{a,b}=\frac{CoS_{a,b}}{S_{a}}=\frac{\sum((R_{a}-\bar{R_{a}})(R_{b}-\bar{R_{b}})^{2})}{\sum(R_{a}-\bar{R_{a}})^{3}}$$

References

Martellini L., Vaissie M., Ziemann V., October 2005. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. Edhec Risk and Asset Management Research Centre. Equation [5] p. 10

See Also

CoSkewness skewness