PerformanceAnalytics (version 0.9.5)

SemiDeviation: 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

Value

• vector of returns below the mean return

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.

References

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

See Also

DownsideDeviation

Examples

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