pt.updwcap {YRmisc}

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)