Creates an emperical cumulative distribution function (ECDF) overlaid with a cumulative distribution function (CDF)
● Data Source:
CranContrib
● Keywords:
● Alias: chart.ECDF
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Using a time series of returns and any regular or irregular time series of weights for each asset, this function calculates the returns of a portfolio with the same periodicity of the returns data.
● Data Source:
CranContrib
● Keywords:
● Alias: Return.portfolio, Return.rebalancing
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Proposed by Getmansky et al to provide a normalized measure of "liquidity risk."
● Data Source:
CranContrib
● Keywords:
● Alias: SmoothingIndex
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SortinoRatio
(Package: PerformanceAnalytics) :
calculate Sortino Ratio of performance over downside risk
Sortino proposed an improvement on the Sharpe Ratio to better account for skill and excess performance by using only downside semivariance as the measure of risk.
● Data Source:
CranContrib
● Keywords:
● Alias: SortinoRatio
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Volatility skewness is a similar measure to omega but using the second partial moment. It's the ratio of the upside variance compared to the downside variance. Variability skewness is the ratio of the upside risk compared to the downside risk.
● Data Source:
CranContrib
● Keywords:
● Alias: VolatilitySkewness
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Systematic risk as defined by Bacon(2008) is the product of beta by market risk. Be careful ! It's not the same definition as the one given by Michael Jensen. Market risk is the standard deviation of the benchmark. The systematic risk is annualized
● Data Source:
CranContrib
● Keywords:
● Alias: SystematicRisk
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Creates a results timeseries of a function applied over a rolling window.
● Data Source:
CranContrib
● Keywords:
● Alias: apply.rolling
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SharpeRatio
(Package: PerformanceAnalytics) :
calculate a traditional or modified Sharpe Ratio of Return over StdDev or
The Sharpe ratio is simply the return per unit of risk (represented by variability). In the classic case, the unit of risk is the standard deviation of the returns.
● Data Source:
CranContrib
● Keywords:
● Alias: SharpeRatio, SharpeRatio.modified
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A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.
● Data Source:
CranContrib
● Keywords:
● Alias: chart.RiskReturnScatter
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2 images
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CAPM is estimated assuming that betas and alphas change over time. It is assumed that the market prices of securities fully reflect readily available and public information. A matrix of market information variables, Z measures this information. Possible variables in Z could be the divident yield, Tresaury yield, etc. The betas of stocks and managed portfolios are allowed to change with market conditions:
● Data Source:
CranContrib
● Keywords:
● Alias: CAPM.dynamic, SFM.dynamic
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