Calculate and display a table of capture ratio and related statistics

Source: R/table.CaptureRatios.R, R/table.UpDownRatios.R

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)

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

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.

Author

Peter Carl

Examples


data(managers)
table.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])
#>      Up Capture Down Capture
#> HAM1     1.0068       0.6320
#> HAM2     1.1774       0.8091
#> HAM3     1.2443       1.5138
#> HAM4     1.4855       2.3796
#> HAM5     0.9575       1.2573
#> HAM6     1.3205       0.8327
table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE])
#>                     Up Capture Down Capture Up Number Down Number Up Percent
#> HAM1 to EDHEC LS EQ     1.0068       0.6320    0.8675      0.5135     0.5663
#> HAM2 to EDHEC LS EQ     1.1774       0.8091    0.6988      0.8378     0.4458
#> HAM3 to EDHEC LS EQ     1.2443       1.5138    0.8193      0.8108     0.4819
#> HAM4 to EDHEC LS EQ     1.4855       2.3796    0.7590      0.7297     0.6386
#> HAM5 to EDHEC LS EQ     0.9575       1.2573    0.7143      0.7500     0.5510
#> HAM6 to EDHEC LS EQ     1.3205       0.8327    0.8837      0.6190     0.6977
#>                     Down Percent
#> HAM1 to EDHEC LS EQ       0.6486
#> HAM2 to EDHEC LS EQ       0.4324
#> HAM3 to EDHEC LS EQ       0.4324
#> HAM4 to EDHEC LS EQ       0.3784
#> HAM5 to EDHEC LS EQ       0.4286
#> HAM6 to EDHEC LS EQ       0.4762

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")