PerformanceAnalytics (version 0.9.5)

table.DownsideRisk: Downside Risk Summary: Statistics and Stylized Facts

Description

Creates estimates of various downside risk measures.

Usage

table.DownsideRisk(R, ci = 0.95, scale = 12, rf = 0, MAR = 0.1/12, p = 0.99, digits = 4)

Arguments

R

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

ci

confidence interval, defaults to 95%

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

rf

risk free rate, in same period as your returns

MAR

Minimum Acceptable Return, in the same periodicity as your returns

p

confidence level for calculation, default p=.99

digits

number of digits to round results to

Value

• A dataframe organized as a table of estimates of downside risk measures for comparison across multiple instruments or funds.

See Also

DownsideDeviation maxDrawdown VaR.CornishFisher VaR.Beyond VaR.traditional StdDev

Examples

data(edhec)
table.DownsideRisk(edhec,rf=.04/12, MAR =.05/12, p=.95)