table.DownsideRiskRatio: Downside Summary: Statistics and ratios

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Table of downside risk, Annualised downside risk, Downside potential, Omega, Sortino ratio, Upside potential, Upside potential ratio and Omega-Sharpe ratio

Usage

table.DownsideRiskRatio(R, MAR = 0, scale = NA, digits = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	Minimum Acceptable Return, in the same periodicity as your returns
scale	number of periods in a year (daily scale = 252, monthly scale =
digits	number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.98

See Also

CalmarRatio
BurkeRatio
PainIndex
UlcerIndex
PainRatio
MartinRatio

Examples

data(managers)
table.DownsideRiskRatio(managers[,1:8])

require("Hmisc")
result = t(table.DownsideRiskRatio(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Downside risk statistics")

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