CDaR.alpha: Conditional Drawdown alpha

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Conditional Drawdown alpha

Description

The difference between the actual rate of return and the rate of return of the instrument estimated via the conditional drawdown beta is called CDaR.alpha and it is the equivalent of the typical CAPM alpha but focusing on market drawdowns.

Positive CDaR.alpha implies that the instrument performed better than it was predicted, and consequently, CDaR.alpha can be used as a performance measure to rank instrument who overperform under market drawdowns.

Usage

CDaR.alpha(R, Rm, p = 0.95, weights = NULL, geometric = TRUE, type = NULL, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rm	an xts, vector, matrix, data frame, timeSeries or zoo object of benchmark returns
p	confidence level for calculation ,default(p=0.95)
weights	portfolio weighting vector, default NULL
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
type	(Optional) Overrides the p parameter. If "average" then p = 0 and if "max" then p = 1
...	any passthru variable

Value

The annualized alpha (input data are assumed to be of monthly frequency)

Author(s)

Tasos Grivas <[e-mail]>, Pulkit Mehrotra

References

Zabarankin, M., Pavlikov, K., and S. Uryasev. Capital Asset Pricing Model (CAPM) with Drawdown Measure.Research Report 2012-9, ISE Dept., University of Florida,September 2012.

See Also

CDaR CDaR.beta

Examples

data(edhec)
CDaR.alpha(edhec[,1],edhec[,2])

CDaR.alpha(edhec[,1],edhec[,2],type="max")

CDaR.alpha(edhec[,1],edhec[,2],type="average") 

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.