BetaCoSkewness {PerformanceAnalytics} | R Documentation

## 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?

### Details

BCoS=CoS(Ra,Rb)/skew(Ra)

### Value

systematic skewness of asset to an initial portfolio

### Note

### Author(s)

Brian G. Peterson

### 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`

### Examples

[Package PerformanceAnalytics version 0.9.5 Index]