RiskIndicators {RMOPI}

Calculate Useful Indicators for returns

Description

Calculate cumulative return, annualized return, max drawdown, annualized sharp ratio, calmar ratio, sortino ratio, alpha, beta and information ratio with returns.

Usage

RiskIndicators(ret, rb, rf = 0)

Arguments

ret

vector of return

rb

return of market portfolio

rf

risk free rate

Value

A matrix of return and risk indicators

Examples

date <- as.Date("2015-01-01") + days(0:249)
ret <- as.xts(rnorm(250), date)
rb <- as.xts(rep(0, 250), date)
RiskIndicators(ret, rb = rb, rf = 0)