Drawdowns Summary: Statistics and ratios

Table of Calmar ratio, Sterling ratio, Burke ratio, Pain index, Ulcer index, Pain ratio and Martin ratio

table.DrawdownsRatio(R, Rf = 0, scale = NA, digits = 4)

Arguments

R

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

Rf

risk free rate, in same period as your returns

scale

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

digits

number of digits to round results to

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.93

See also

CalmarRatio
BurkeRatio
PainIndex
UlcerIndex
PainRatio
MartinRatio

Author

Matthieu Lestel

Examples

data(managers)
table.DrawdownsRatio(managers[,1:8])
#>                  HAM1   HAM2   HAM3   HAM4   HAM5   HAM6 EDHEC LS EQ SP500 TR
#> Sterling ratio 0.5463 0.5139 0.3884 0.3136 0.0847 0.7678      0.5688   0.1768
#> Calmar ratio   0.9062 0.7281 0.5226 0.4227 0.1096 1.7425      1.0982   0.2163
#> Burke ratio    0.6593 0.8970 0.6079 0.1998 0.1008 1.0788      0.8452   0.2191
#> Pain index     0.0157 0.0642 0.0674 0.0739 0.1452 0.0183      0.0178   0.1226
#> Ulcer index    0.0362 0.1000 0.1114 0.1125 0.1828 0.0299      0.0325   0.1893
#> Pain ratio     8.7789 2.7187 2.2438 1.6443 0.2570 7.4837      6.6466   0.7891
#> Martin ratio   3.7992 1.7473 1.3572 1.0798 0.2042 4.5928      3.6345   0.5112

 # don't test on CRAN, since it requires Suggested packages

require("Hmisc")
result = t(table.DrawdownsRatio(managers[,1:8], Rf=.04/12))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Drawdowns ratio statistics")