public static double AnnualisedStdDev(this ITimeSeries <double> timeseries)
{
return(Stats.Statistics.StandardDeviation(timeseries.Data) * Math.Sqrt(timeseries.PeriodsInYear()));
}
/// <summary>
/// Calculates the residual risk (annualised standard deviation of the error term from the CAPM linear regession)
/// </summary>
/// <param name="asset">Asset time series</param>
/// <param name="benchmark">Benchmark time series</param>
/// <param name="riskfree">Risk-free rate of return specified as a fractional value, e.g. 0.05 for 5%</param>
/// <returns>Returns the standard deviation</returns>
public static double ResidualRisk(ITimeSeries <double> asset, ITimeSeries <double> benchmark, double riskfree = 0)
{
var Ra = asset.AsTimeSeries() - riskfree;
var Rb = benchmark.AsTimeSeries() - riskfree;
return(Math.Round(Statistics.StandardDeviation(Model.LinearRegression(Ra.Data, Rb.Data).Residuals) * Math.Sqrt(asset.PeriodsInYear()), DecimalDigits));
}
public static double AnnualisedMean(this ITimeSeries <double> timeseries)
{
return(Stats.Statistics.Mean(timeseries.Data) * timeseries.PeriodsInYear());
}