table.DrawdownsRatio: Drawdowns Summary: Statistics and ratios

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

Description

Table of Calmar ratio, Sterling ratio, Burke ratio, Pain index, Ulcer index, Pain ratio and Martin ratio

Usage

table.DrawdownsRatio(R, Rf = 0, scale = NA, digits = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rf	risk free rate, in same period as your returns
scale	number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
digits	number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.93

See Also

CalmarRatio
BurkeRatio
PainIndex
UlcerIndex
PainRatio
MartinRatio

Examples

data(managers)
table.DrawdownsRatio(managers[,1:8])

require("Hmisc")
result = t(table.DrawdownsRatio(managers[,1:8], Rf=.04/12))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Drawdowns ratio statistics")

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