table.CaptureRatios {PerformanceAnalytics}R Documentation

Calculate and display a table of capture ratio and related statistics

Description

Creates a table of capture ratios and similar metrics for a set of returns against a benchmark.

Usage

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.

Value

A data.table of calculations for each set of returns against each benchmark.

Author(s)

Peter Carl

See Also

UpDownRatios, chart.CaptureRatios

Examples

data(managers)
table.CaptureRatios(managers[,1:6], managers[,7,drop=FALSE])
table.UpDownRatios(managers[,1:6], managers[,7,drop=FALSE])
[Package PerformanceAnalytics version 0.9.9-5 Index]