expected_downside_return: Expected Downside Return

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes portfolio cumulative expected return below a certain threshold.

Usage

expected_downside_return(asset, thresholdReturn)

Arguments

asset	Portfolio or Position object created using portfolio_create( ) or position_add( ) function
thresholdReturn	Return value to be used as a cut-off point

Value

Metric object

Note

https://www.portfolioeffect.com/docs/glossary/measures/absolute-return-measures/expected-downside-return

Author(s)

Kostin Andrey <[e-mail]>

See Also

expected_upside_return

Examples

## Not run: 
data(aapl.data) 
data(goog.data) 
data(spy.data) 
portfolio=portfolio_create(priceDataIx=spy.data)
portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
result=compute(expected_downside_return(portfolio,0.05),
expected_downside_return(positionGOOG,0.05),expected_downside_return(positionAAPL,0.05)) 
plot(expected_downside_return(portfolio,0.05),expected_downside_return(positionGOOG,0.05),
expected_downside_return(positionAAPL,0.05),legend=c('Portfolio','GOOG','AAPL'),
title='Expected Downside Return')

dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
resultsSamplingInterval='60s')
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(expected_downside_return(positionC,0.05),
expected_downside_return(positionGOOG,0.05),expected_downside_return(positionAAPL,0.05)) 
plot(expected_downside_return(positionC,0.05),expected_downside_return(positionGOOG,0.05),
expected_downside_return(positionAAPL,0.05),legend=c('C','GOOG','AAPL'),
title='Expected Downside Return')

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.