PerformanceAnalytics (version 2.0.8)

table.CaptureRatios: Calculate and display a table of capture ratio and related statistics

Description

Creates a table of capture ratios and similar metrics for a set of returns against a benchmark.

Usage

table.CaptureRatios(Ra, Rb, digits = 4)
table.UpDownRatios(Ra, Rb, digits = 4)

Arguments

Ra

a vector of returns to test, e.g., the asset to be examined

Rb

a matrix, data.frame, or timeSeries of benchmark(s) to test the asset against.

digits

number of digits to round results to for presentation

Author

Peter Carl

Details

This table will show statistics pertaining to an asset against a set of benchmarks, or statistics for a set of assets against a benchmark. table.CaptureRatios shows only the capture ratio; table.UpDownRatios shows three: the capture ratio, the number ratio, and the percentage ratio.

See Also

UpDownRatios, chart.CaptureRatios

Examples

data(managers)
table.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])
table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE])

result = t(table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE])) 
colnames(result)=colnames(managers[,1:6])
textplot(result, rmar = 0.8, cmar = 1.5,  max.cex=.9, 
         halign = "center", valign = "top", row.valign="center", 
         wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
         
title(main="Capture Ratios for EDHEC LS EQ")