pedquant (version 0.2.4)

pq_performance: calculating performance metrics

Description

pq_performance calculates performance metrics based on returns of market price or portfolio. The performance analysis functions are calling from PerformanceAnalytics package, which includes many widely used performance metrics.

Usage

pq_performance(dt, Ra, Rb = NULL, perf_fun, ...)

Arguments

dt

a list/dataframe of time series datasets.

Ra

the column name of asset returns.

Rb

the column name of baseline returns, defaults to NULL.

perf_fun

performance function from PerformanceAnalytics package, see pq_perf_funs.

...

additional parameters, the arguments used in PerformanceAnalytics functions.

Examples

 
if (FALSE) {
library(pedquant) 
library(data.table)

# load data
data(dt_banks)
data(dt_ssec)

# calculate returns
datret1 = pq_return(dt_banks, 'close', freq = 'monthly', rcol_name = 'Ra')
datret2 = pq_return(dt_ssec, 'close', freq = 'monthly', rcol_name = 'Rb')

# merge returns of assets and baseline
datRaRb = merge(
    rbindlist(datret1)[, .(date, symbol, Ra)], 
    rbindlist(datret2)[, .(date, Rb)],
    by = 'date', all.x = TRUE
)

# claculate table.CAPM metrics
perf_capm = pq_performance(datRaRb, Ra = 'Ra', Rb = 'Rb', perf_fun = 'table.CAPM')
rbindlist(perf_capm, idcol = 'symbol')
}