SemiDeviation {PerformanceAnalytics} | R Documentation

## 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

### 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.

### Value

vector of returns below the mean return

### Note

### Author(s)

Peter Carl

### References

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

### See Also

`DownsideDeviation`

### Examples

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

[Package PerformanceAnalytics version 0.9.5 Index]