series_drawdown: Drawdown Returns returns
In veldanie/SuraInvestmentAnalytics: Investment Analytics
View source: R/series_drawdown.R
series_drawdown R Documentation
Drawdown Returns returns
Description
Estimates de covariance using weighted averages of products of past returns.
Usage
series_drawdown(series, horizon = "12M", quant = 0.9, type = "arit")
Arguments
series
data frame series.
horizon
Drawdown horizon.
quant
Quantile.
type
Type of returns: arithmetic (discrete) or log (continuous)
atribution
Risk atribution
Value
Drawdown distribution, and mean, max and conditional drawdown.
veldanie/SuraInvestmentAnalytics documentation built on Sept. 17, 2024, 6:49 p.m.
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View source: R/series_drawdown.R
| series_drawdown | R Documentation |
Drawdown Returns returns
Description
Estimates de covariance using weighted averages of products of past returns.
Usage
series_drawdown(series, horizon = "12M", quant = 0.9, type = "arit")
Arguments
series |
data frame series. |
horizon |
Drawdown horizon. |
quant |
Quantile. |
type |
Type of returns: arithmetic (discrete) or log (continuous) |
atribution |
Risk atribution |
Value
Drawdown distribution, and mean, max and conditional drawdown.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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