PerformanceAnalytics (version 0.9.5)

UpDownRatios: calculate metrics on up and down markets for the benchmark asset

Description

Calculate metrics on how the asset in R performed in up and down markets, measured by periods when the benchmark asset was up or down.

Usage

UpDownRatios(R, Rb, method = "capture", side = "up", ...)

Arguments

R

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

Rb

return vector of the benchmark asset

method

"capture", "number", or "percentage" to indicate which measure to return

side

"up" or "down" market statistics

...

any other passthru parameters

Value

• A data.table of n-period trailing calculations for each column in x.

Details

This is a function designed to calculate several related metrics:

Up (Down) Capture Ratio: this is a measure of an investment's compound return when the benchmark was up (down) divided by the benchmark's compound return when the benchmark was up (down). The greater (lower) the value, the better.

Up (Down) Number Ratio: similarly, this is a measure of the number of periods that the investment was up (down) when the benchmark was up (down), divided by the number of periods that the Benchmark was up (down).

Up (Down) Percentage Ratio: this is a measure of the number of periods that the investment outperformed the benchmark when the benchmark was up (down), divided by the number of periods that the benchmark was up (down). Unlike the prior two metrics, in both cases a higher value is better.

Examples

# First we load the data
data(edhec)
edhec.length = dim(edhec)[1]
start = rownames(edhec[1,])
start
end = rownames(edhec[edhec.length,])
edhec.zoo = zoo(edhec, order.by = rownames(edhec))
sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end)

# Now we have to align it as "monthly" data
time(edhec.zoo) = as.yearmon(time(edhec.zoo))
time(sp500.zoo) = as.yearmon(time(sp500.zoo))
data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo)
time(data.zoo) = as.Date(time(data.zoo),format="%b %Y")

# Up Capture:
UpDownRatios(data.zoo[,1, drop=FALSE], data.zoo[,2, drop=FALSE])
# Down Capture:
UpDownRatios(data.zoo[,1, drop=FALSE], data.zoo[,2, drop=FALSE], side="down")