pt.updwcap {YRmisc} | R Documentation |
Up and down capture
Description
The up and down capture is a measure of how an asset was able to improve on benchmark returns or how it underperforms over the benchmark.
Usage
pt.updwcap(ar,br,n)
Arguments
ar |
:a vector of a risk asset return |
br |
:a vector of benchmark return |
n |
:number of years of asset return, used to calculate annualized return |
Examples
artn <- runif(12, -1, 1)
brtn <- runif(12,-1,1)
pt.updwcap(artn,brtn,1)
[Package YRmisc version 0.1.6 Index]