UpDownRatios: calculate metrics on up and down markets for the benchmark...

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Calculate metrics on how the asset in R performed in up and down markets, measured by periods when the benchmark asset was up or down.

Usage

UpDownRatios(Ra, Rb, method = c("Capture", "Number", "Percent"),
  side = c("Up", "Down"))

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
method	"Capture", "Number", or "Percent" to indicate which measure to return
side	"Up" or "Down" market statistics

Details

This is a function designed to calculate several related metrics:

Up (Down) Capture Ratio: this is a measure of an investment's compound return when the benchmark was up (down) divided by the benchmark's compound return when the benchmark was up (down). The greater (lower) the value, the better.

Up (Down) Number Ratio: similarly, this is a measure of the number of periods that the investment was up (down) when the benchmark was up (down), divided by the number of periods that the Benchmark was up (down).

Up (Down) Percentage Ratio: this is a measure of the number of periods that the investment outperformed the benchmark when the benchmark was up (down), divided by the number of periods that the benchmark was up (down). Unlike the prior two metrics, in both cases a higher value is better.

Author(s)

Peter Carl

References

Bacon, C. Practical Portfolio Performance Measurement and Attribution. Wiley. 2004. p. 47

Examples

data(managers)
UpDownRatios(managers[,1, drop=FALSE], managers[,8, drop=FALSE])
UpDownRatios(managers[,1:6, drop=FALSE], managers[,8, drop=FALSE])
UpDownRatios(managers[,1, drop=FALSE], managers[,8, drop=FALSE], method="Capture")
# Up Capture:
UpDownRatios(managers[,1, drop=FALSE], managers[,8, drop=FALSE], side="Up", method="Capture")
# Down Capture:
UpDownRatios(managers[,1, drop=FALSE], managers[,8, drop=FALSE], side="Down", method="Capture")

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.