Drawdowns Summary: Statistics and ratios

Description

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

Usage

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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

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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")

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