R/selected_summary_statistics.R

In mannymistry/extRnalmgrs: What the Package Does (One Line, Title Case)

#' Generate A Table Of Selected Summary Statistics for Potential Investments
#'
#' @param return_series : The return series of the asset or fund that you are planning to invest in
#' @param target_return : The target return you have for the asset or fund that you are planning to invest in
#' @param rf_rate: The rf rate on your investment
#'
#' @return
#' @export
#'
#' @examples
generate_select_summary_stats <- function(return_series, target_returns, rf_rate){
    # Target and Rf Rate
    monthly_target_return <- target_returns
    monthly_rf_rate <- rf_rate

    # Monthly Vol
    monthly_vol <- PerformanceAnalytics::StdDev(return_series)

    # Annual Vol
    annual_vol <- PerformanceAnalytics::StdDev.annualized(return_series)

    # Avg Monthly Return
    monthly_average_return <- mean(return_series)

    # Avg Annual Return
    annual_average_return <- mean(xts::apply.yearly(1+return_series, prod)-1)

    # Sharpe Ratio
    # TODO: For some reason forces me to choose one element of the list
    sr <- PerformanceAnalytics::SharpeRatio(return_series, Rf= rf_rate[1], FUN = "StdDev")
    annualized_sr <- PerformanceAnalytics::SharpeRatio.annualized(return_series, Rf= rf_rate[1])

    # Sortino Ratio
    # Using the target return as the MAR
    # TODO: For some reason forces me to choose one element of the list
    sortino <- PerformanceAnalytics::SortinoRatio(return_series, target_returns[1])

    # Drawdowns- The Table makes much more sense to include individual
    draw_downs <- t(PerformanceAnalytics::table.Drawdowns(return_series, top = 1))
    result <- format(as.data.frame(rbind(monthly_vol,
                                         annual_vol,
                                         monthly_average_return,
                                         annual_average_return,
                                         sr,
                                         annualized_sr,
                                         sortino,
                                         draw_downs)), digits = 2)

    rownames(result) <- c("Monthly Volatility",
                          "Annual Volatility",
                          "Average Monthly Return",
                          "Average Annual Return",
                          "Monthly Sharpe Ratio",
                          "Annual Sharpe Ratio",
                          "Sortino Ratio",
                          "Drawdown Start",
                          "Drawdown Trough",
                          "Drawdown End",
                          "Drawdown Length",
                          "Drawdown",
                          "Periods to Drawdown Trough",
                          "Periods to Recovery")

    colnames(result) <- c("value")
    result <- tibble::rownames_to_column(result, "stat")

}