Calculate and display a table of capture ratio and related statistics
Creates a table of capture ratios and similar metrics for a set of returns against a benchmark.
table.CaptureRatios(Ra, Rb, digits = 4) table.UpDownRatios(Ra, Rb, digits = 4)
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 |
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.
Peter Carl
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")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.