table.DownsideRisk {PerformanceAnalytics}R Documentation

Downside Risk Summary: Statistics and Stylized Facts

Description

Creates estimates of various downside risk measures.

Usage

table.DownsideRisk(R, ci = 0.95, scale = NA, Rf = 0, MAR = 0.1/12, p = 0.95, digits = 4)

Arguments

R an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
ci confidence interval, defaults to 95%
scale number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
Rf risk free rate, in same period as your returns
MAR Minimum Acceptable Return, in the same periodicity as your returns
p confidence level for calculation, default p=.99
digits number of digits to round results to

Value

A dataframe organized as a table of estimates of downside risk measures for comparison across multiple instruments or funds.

Author(s)

Peter Carl

See Also

DownsideDeviation
maxDrawdown
VaR
ES

Examples

data(edhec)
table.DownsideRisk(edhec, Rf=.04/12, MAR =.05/12, p=.95)
[Package PerformanceAnalytics version 0.9.9-5 Index]