PerformanceAnalytics (version 1.5.3)

table.DownsideRiskRatio: Downside Summary: Statistics and ratios

Description

Table of downside risk, Annualised downside risk, Downside potential, Omega, Sortino ratio, Upside potential, Upside potential ratio and Omega-Sharpe ratio

Usage

table.DownsideRiskRatio(R, MAR = 0, scale = NA, digits = 4)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

MAR

Minimum Acceptable Return, in the same periodicity as your returns

scale

number of periods in a year (daily scale = 252, monthly scale =

digits

number of digits to round results to

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.98

See Also

CalmarRatio BurkeRatio PainIndex UlcerIndex PainRatio MartinRatio

Examples

# NOT RUN {
data(managers)
table.DownsideRiskRatio(managers[,1:8])

require("Hmisc")
result = t(table.DownsideRiskRatio(managers[,1:8]))

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="Downside risk statistics")

# }

Run the code above in your browser using DataCamp Workspace