CDaR.beta: Conditional Drawdown beta

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

Conditional Drawdown beta

Description

The conditional drawdown beta is a measure of capturing performance under market drawdowns and it is given by the ratio of the average rate of return of the instrument over time periods corresponding to the (1-p)T largest drawdowns of the benchmark portfolio.

The difference in CDaR and standard beta boils down to the fact that the standard beta accounts for the fund returns over the whole return history, including the upside while CDaR beta focuses only on market drawdowns.

Usage

CDaR.beta(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, see Details
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.

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.alpha CDaR

Examples

data(edhec)
CDaR.beta(edhec[,1],edhec[,2]) 
CDaR.beta(edhec[,1],edhec[,2],type="max")
CDaR.beta(edhec[,1],edhec[,2],type="average")

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