Calculate and display a table of capture ratio and related statistics

Share:

Description

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

Usage

1
2
3
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

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
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")

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.