semi variance
On Thursday 28 December 2006 09:36, BBands wrote:
On 12/27/06, Brian G. Peterson <brian at braverock.com> wrote:
We implemented semideviation and downside deviation here: https://stat.ethz.ch/pipermail/r-sig-finance/2006q4/001170.html
Yes, I saw that package. Very useful. Thank you.
But perhaps you could be a bit more specific about what you're looking for?
OK. I first tackled this general area 10 years ago when I created www.EquityTrader.com, which presents positive and negative alphas and betas, a very popular feature. While doing some recent portfolio work I revisited my "semi" alpha and betas and considered some related ideas. The "semis" seem to have become popular, so I thought I'd ask this august group if anybody was doing anything "interesting" with them.
Kris an I both discussed use of semi-variance in optimization in other replies to your query. I've found these approaches to be somewhat useful as part of the portfolio optimization problem. In general, I've gotten more "signal" from higher moments (skew, kurtosis) than from the broader area of lower partial moments. That said, depth and length of drawdowns (and upside runs) does seem to have some information content for some instruments. Regards, - Brian