Outperformance Report of Asset vs Benchmark

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Description

Table of Outperformance Reporting vs Benchmark

Usage

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

Arguments

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)

Details

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

Author(s)

Kyle Balkissoon

Examples

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data(edhec) 

table.ProbOutPerformance(edhec[,1],edhec[,2]) 
title(main='Table of Convertible Arbitrage vs Benchmark')

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