computeTimeSeriesStatistics: display portfolio risk and return statistics

In erolbicero/tsconv: Time Series Convenience

Description

display portfolio risk and return statistics

Usage

computeTimeSeriesStatistics(linearReturnMatrix, benchmark = NA,
  portfolioName = "Portfolio", benchmarkName = "Benchmark",
  riskFreeRate = 0)

Arguments

linearReturnMatrix	a linear return xts matrix
benchmark	an xts vector of linear returns; if not NA, then will append this to the resulting xts object; defaults to NA (not inlcuded)
portfolioName	a character string, defaults to "Portfolio"
benchmarkName	a character string, used to rename a benchmark that's included; defaults to "Benchmark"
riskFreeRate	a numeric value, presumably greater than 0, small and positive, that's passed to the Sharpe Ratio calculations

Value

prints summary statistics output including annualized risk, return, Sharpe Ratio, Drawdown, VaR, ETL, Skew, Kurtosis and Information Ratio

Examples

FUNCTION STILL UNDER DEVELOPMENT

erolbicero/tsconv documentation built on May 16, 2019, 8:49 a.m.