inst/BookEx/C12R7.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

## Portfolio Statistics
## VaR
MVVAR <- -100 * VaR(MVRet, p = 0.95, method = "gaussian")
CDVAR <- -100 * VaR(CDRet, p = 0.95, method = "gaussian")
## ES
MVES <- -100 * ES(MVRet, p = 0.95, method = "gaussian")
CDES <- -100 * ES(CDRet, p = 0.95, method = "gaussian")
## Sharpe
MVSR <- SharpeRatio(MVRet)
CDSR <- SharpeRatio(CDRet)
## Annualised returns
MVRA <- Return.annualized(MVRet, scale = 52)
CDRA <- Return.annualized(CDRet, scale = 52)
## Draw downs
MVDD <- -100 * findDrawdowns(MVRet)$return
MVDD <- MVDD[MVDD!=0.0]
length(MVDD)
summary(MVDD)
CDDD <- -100 * findDrawdowns(CDRet)$return
CDDD <- CDDD[CDDD!=0.0]
length(CDDD)
summary(CDDD)