RiskIndicators: Calculate Useful Indicators for returns

In RMOPI: Risk Management and Optimization for Portfolio Investment

Calculate Useful Indicators for returns

Description

Calculate cumulative return, annualized return, max drawdown, annualized sharp ratio, calmar ratio, sortino ratio, alpha, beta and information ratio with returns.

Usage

RiskIndicators(ret, rb, rf = 0)

Arguments

ret	vector of return
rb	return of market portfolio
rf	risk free rate

Value

A matrix of return and risk indicators

Examples

date <- as.Date("2015-01-01") + days(0:249)
ret <- as.xts(rnorm(250), date)
rb <- as.xts(rep(0, 250), date)
RiskIndicators(ret, rb = rb, rf = 0)

RMOPI documentation built on Aug. 22, 2022, 5:07 p.m.