Description Usage Arguments Details Author(s) Examples
View source: R/table.ProbOutperformance.R
Table of Outperformance Reporting vs Benchmark
1 | table.ProbOutPerformance(R, Rb, period_lengths = c(1, 3, 6, 9, 12, 18, 36))
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R |
an xts, timeSeries or zoo object of asset returns |
Rb |
an xts, timeSeries or zoo object of the benchmark returns |
period_lengths |
a vector of periods the user wants to evaluate this over i.e. c(1,3,6,9,12,18,36) |
Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths
Tool for robustness analysis of an asset or strategy, can be used to give the probability an investor investing at any point in time will outperform the benchmark over a given horizon. Calculates Count of trailing periods where a fund outperformed its benchmark and calculates the proportion of those periods, this is commonly used in marketing as the probability of outperformance on a N period basis.
Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths
Kyle Balkissoon
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