displayPortfolioStatistics: display portfolio risk and return statistics

Description Usage Arguments Value Examples

View source: R/E-displayPortfolioStatistics.R

Description

display portfolio risk and return statistics

Usage

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displayPortfolioStatistics(linearReturnMatrix, weightMatrix,
  includeConstituents = TRUE, benchmark = NA, portfolioName = "Portfolio",
  benchmarkName = "Benchmark", riskFreeRate = 0)

Arguments

linearReturnMatrix

a linear return xts matrix

weightMatrix

a weight xts object, with same number of columns as the linearReturnMatrix

includeConstituents

logical, if TRUE, the output will append the unweighted constituents of the portfolio; defaults to FALSE

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

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FUNCTION STILL UNDER DEVELOPMENT

erolbicero/tsconv documentation built on May 13, 2017, 8:23 p.m.