Outperformance Report of Asset vs Benchmark
Table of Outperformance Reporting vs Benchmark
table.ProbOutPerformance(R, Rb, period_lengths = c(1, 3, 6, 9, 12, 18, 36))
R |
an xts, timeSeries or zoo object of asset returns |
Rb |
an xts, timeSeries or zoo object of the benchmark returns |
period_lengths |
a vector of periods the user wants to evaluate this over i.e. c(1,3,6,9,12,18,36) |
Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths
Tool for robustness analysis of an asset or strategy, can be used to give the probability an investor investing at any point in time will outperform the benchmark over a given horizon. Calculates Count of trailing periods where a fund outperformed its benchmark and calculates the proportion of those periods, this is commonly used in marketing as the probability of outperformance on a N period basis.
Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths
Kyle Balkissoon
data(edhec) table.ProbOutPerformance(edhec[,1],edhec[,2]) title(main='Table of Convertible Arbitrage vs Benchmark')
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