table.DrawdownsRatio {PerformanceAnalytics} | R Documentation |
Drawdowns Summary: Statistics and ratios
Description
Table of Calmar ratio, Sterling ratio, Burke ratio, Pain index, Ulcer index, Pain ratio and Martin ratio
Usage
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
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")
[Package PerformanceAnalytics version 2.0.4 Index]