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))

Arguments

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)

Details

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

Author

Kyle Balkissoon

Examples

data(edhec) 

table.ProbOutPerformance(edhec[,1],edhec[,2]) 
#>   period_lengths Convertible Arbitrage CTA Global total periods
#> 1              1                   162        131           293
#> 2              3                   183        108           291
#> 3              6                   183        105           288
#> 4              9                   185        100           285
#> 5             12                   177        105           282
#> 6             18                   179         97           276
#> 7             36                   159         99           258
#>   prob_Convertible Arbitrage_outperformance prob_CTA Global_outperformance
#> 1                                 0.5529010                      0.4470990
#> 2                                 0.6288660                      0.3711340
#> 3                                 0.6354167                      0.3645833
#> 4                                 0.6491228                      0.3508772
#> 5                                 0.6276596                      0.3723404
#> 6                                 0.6485507                      0.3514493
#> 7                                 0.6162791                      0.3837209
title(main='Table of Convertible Arbitrage vs Benchmark')
#> Error in title(main = "Table of Convertible Arbitrage vs Benchmark"): plot.new has not been called yet