table.CaptureRatios: Calculate and display a table of capture ratio and related...

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

Description

Creates a table of capture ratios and similar metrics for a set of returns against a benchmark.

Usage

table.CaptureRatios(Ra, Rb, digits = 4)

table.UpDownRatios(Ra, Rb, digits = 4)

Arguments

Ra	a vector of returns to test, e.g., the asset to be examined
Rb	a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.
digits	number of digits to round results to for presentation

Details

This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark. table.CaptureRatios shows only the capture ratio; table.UpDownRatios shows three: the capture ratio, the number ratio, and the percentage ratio.

Author(s)

Peter Carl

See Also

UpDownRatios, chart.CaptureRatios

Examples

data(managers)
table.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])
table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE])

result = t(table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE]))
colnames(result)=colnames(managers[,1:6])
textplot(result, rmar = 0.8, cmar = 1.5,  max.cex=.9,
         halign = "center", valign = "top", row.valign="center",
         wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)

title(main="Capture Ratios for EDHEC LS EQ")

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