Description Usage Arguments Details Author(s) Examples

View source: R/table.ProbOutperformance.R

Table of Outperformance Reporting vs Benchmark

1 | ```
table.ProbOutPerformance(R, Rb, period_lengths = c(1, 3, 6, 9, 12, 18, 36))
``` |

`R` |
an xts, timeSeries or zoo object of asset returns |

`Rb` |
an xts, timeSeries or zoo object of the benchmark returns |

`period_lengths` |
a vector of periods the user wants to evaluate this over i.e. c(1,3,6,9,12,18,36) |

Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths

Tool for robustness analysis of an asset or strategy, can be used to give the probability an investor investing at any point in time will outperform the benchmark over a given horizon. Calculates Count of trailing periods where a fund outperformed its benchmark and calculates the proportion of those periods, this is commonly used in marketing as the probability of outperformance on a N period basis.

Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths

Kyle Balkissoon

1 2 3 4 |

PerformanceAnalytics documentation built on May 31, 2017, 3:16 a.m.

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