PerformanceAnalytics (version 1.1.0)

table.DrawdownsRatio: 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

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.93

See Also

CalmarRatio BurkeRatio PainIndex UlcerIndex PainRatio MartinRatio

Examples

Run this code
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")

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