metrics: Calculate a Variety of Performance Metrics

In stocks: Stock Market Analysis

Description

Calculates any or all of the following: mean and standard deviation of gains; total growth and compound annualized growth rate; maximum drawdown; Sharpe ratio and Sortino ratio; alpha, beta, Pearson correlation, and Spearman correlation, using first investment as the benchmark; and Pearson and Spearman autocorrelation, defined as the correlation between subsequent gains for each investment.

Usage

metrics(tickers = NULL, ...,
        gains = NULL,
        prices = NULL,
        perf.metrics = c("mean", "sd", "growth", "cagr", "mdd",
                         "sharpe", "sortino", "alpha", "beta",
                         "r.squared", "pearson", "spearman",
                         "auto.pearson", "auto.spearman"))

Arguments

tickers	Character vector of ticker symbols.
...	Arguments to pass along with tickers to load.gains function, if you wish to load data on the fly rather than specify gains or prices.
gains	Numeric matrix of gains (daily or otherwise), where each column has gains for a particular investment.
prices	Numeric matrix of prices (daily or otherwise), where each column has prices for a particular investment.
perf.metrics	Character vector indicating what metrics should be calculated. If it includes "alpha", "beta", "r.squared", "pearson", or "spearman", the first investment is used as the benchmark.

Details

If tickers input is specified, it gets passed to load.gains to load historical prices from Yahoo! Finance using the quantmod package [1]. If gains or prices are specified, performance metrics are calculated directly from that information.

Value

A list containing a data frame with the performance metrics and a correlation matrix for gains for the various investments.

Note

NA

Author(s)

Dane R. Van Domelen

References

1. Jeffrey A. Ryan (2016). quantmod: Quantitative Financial Modelling Framework. R package version 0.4-6, https://cran.r-project.org/package=quantmod.

Acknowledgment: This material is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0940903.

See Also

gains.rate, prices.rate, sharpe.ratio, sortino.ratio, rrr

Examples

# Calculate performance metrics for leveraged ETFs SSO and UPRO, using SPY
# as benchmark for alpha and beta - "on the fly" method
#metrics1 <- metrics(tickers = c("SPY", "SSO", "UPRO"))

# Calculate same performance metrics, but specify gains input
#gains <- load.gains(tickers = c("SPY", "SSO", "UPRO"))
#metrics2 <- metrics(gains = gains)

# Results are identical
#all(metrics1$perf.metrics == metrics2$perf.metrics)

Example output

Loading required package: rbenchmark
Loading required package: quantmod
Loading required package: xts
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: TTR
Version 0.4-0 included new data defaults. See ?getSymbols.

stocks documentation built on May 2, 2019, 5:22 p.m.