Examining Beta With R

Beta is a measure of systematic risk. I have prior tutorials better explaining Beta, so this post will primarily be covering how we can examine Beta with R and the PerformanceAnalytics package.

Step One: Obtain the Data Via quantmod

Step Two: Calculate Beta

Elaborating on Beta in up and down markets as well as the timing ratio….

This my own personal extension of the beta.bull, beta.bear, and timing ratio functions within the PerformanceAnalytics package which I had issues with. I’m literally just calculating beta when the market returns were positive and negative. The timing ratio is applicable to the portfolio as it is a measure of properly allocating during up and down markets. During a down market, the value should be less than one as you would theoretically incur fewer losses. During a bull market, the value should be greater than one as you would capture more gains due to the timing of your allocations.

Step Three: Output Regression Chart

About the author

programmingforfinance

Hi, I'm Frank. I have a passion for coding and extend it primarily within the realm of Finance.

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