Specific risk of the return distribution

Specific risk is the standard deviation of the error term in the regression equation.

SpecificRisk(Ra, Rb, Rf = 0, ...)

Arguments

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
…

any other passthru parameters

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.75

Examples


data(portfolio_bacon)
print(SpecificRisk(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.0329
#> [1] 0.03293109

data(managers)
print(SpecificRisk(managers['1996',1], managers['1996',8]))
#> [1] 0.04977046
print(SpecificRisk(managers['1996',1:5], managers['1996',8]))
#>                        HAM1 HAM2       HAM3      HAM4 HAM5
#> Specific Risk =  0.04977046   NA 0.06225051 0.0857627   NA