RachevRatio: Standard Error Estimate for Rachev Ratio of Returns

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

RachevRatio.SE computes the standard error of the Rachev ratio of the returns.

Usage

RachevRatio(
  R,
  alpha = 0.1,
  beta = 0.1,
  rf = 0,
  SE = FALSE,
  SE.control = NULL,
  ...
)

Arguments

R	Data of returns for one or multiple assets or portfolios.
alpha	Lower tail probability.
beta	Upper tail probability.
rf	Risk-free interest rate.
SE	TRUE/FALSE whether to ouput the standard errors of the estimates of the risk measures, default FALSE.
SE.control	Control parameters for the computation of standard errors. Should be done using the RPESE.control function.
...	Additional parameters.

Value

A vector or a list depending on se.method.

Author(s)

Anthony-Alexander Christidis, [e-mail]

Examples

# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
# Changing the data colnames
names(edhec) = c("CA", "CTA", "DIS", "EM", "EMN",
                 "ED", "FIA", "GM", "LS", "MA",
                 "RV", "SS", "FOF")
# Compute Rachev ratio for managers data
RachevRatio(edhec)

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.