PeerPerformance (version 2.4.0)

summary.SCREENING: Summary method for the 'SCREENING' object

Description

Produces a ranked summary of a screening: distribution of the performance measure, the peer performance ratios, optional win/loss counts from the pairwise tests, and the top/bottom funds (overall and by out-/underperformance ratio). The win/loss counts require the square (within-group) pairwise matrices and are therefore omitted for cross-group screenings (a Y peer group or targetPeerPerformance). Originally contributed by Murilo Andre Peres Pereira.

Usage

# S3 method for SCREENING
summary(object, coef = 1L, top = 5L, p_level = 0.05, ...)

Value

An object of class summary.SCREENING.

Arguments

object

A SCREENING object.

coef

For a screen_beta screening, which coefficient row to use (default 1, the alpha).

top

Number of best/worst funds to display. Default: 5.

p_level

Significance level for the win/loss counts (used only when the object carries square pval/tstat matrices). Default: 0.05.

...

Further arguments (ignored).

Author

Murilo Andre Peres Pereira, David Ardia and Kris Boudt.

See Also

alphaScreening.

Examples

# \donttest{
  data("hfdata")
  sc <- alphaScreening(hfdata[, 1:10], control = list(nCore = 1))
  summary(sc)
# }