SemiDeviation      package:PerformanceAnalytics      R Documentation

_d_e_v_i_a_t_i_o_n _b_e_l_o_w _t_h_e _m_e_a_n _o_f _t_h_e _r_e_t_u_r_n _d_i_s_t_r_i_b_u_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

     Semideviation is the portion of the return stream below the mean
     return.

_U_s_a_g_e:

     SemiDeviation(Ra)
     SemiVariance(Ra)

_A_r_g_u_m_e_n_t_s:

      Ra: a vector, matrix, data frame, timeSeries or zoo object of
          asset returns 

_D_e_t_a_i_l_s:

     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.

_V_a_l_u_e:

     vector of returns below the mean return

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     <URL: http://en.wikipedia.org/wiki/Semivariance>

_S_e_e _A_l_s_o:

     'DownsideDeviation'

_E_x_a_m_p_l_e_s:

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

