Portfolio performance metrics/ratios
As I had written, these are portfolio performance metrics - those that
an investor or evaluator of a fund would calculate given the return
series. So in that sense there is not much statistics in it and
functions are standard and straight forward - this is the reason I
thought that some package must contain them,
Anyways, it is done now. e.g.
sortino <- function(returns, MAR = 0) {
if (length (returns) <= 1) NA
else mean (returns - MAR) / downDeviation(returns, MAR)
}
trackingError <- function (portfolio, benchmark) {
if (length (portfolio) != length (benchmark)) NA
else if (length (portfolio) <= 1) NA
else sd (portfolio - benchmark)
}
informationRatio <- function (portfolio, benchmark) {
if (length (portfolio) != length (benchmark)) NA
else if (length (portfolio) <= 1) NA
else mean (portfolio - benchmark) / trackingError (portfolio, benchmark)
}
In case anyone needs these let me know - there are a lot of them. I
can clean them up and send it,
Thanks for the help,
Sankalp
On 10/10/05, Spencer Graves <spencer.graves at pdf.com> wrote:
Have you considerred RMetrics (www.rmetrics.org)? If yes, and if you
would still like more help from this list, I suggest you review the
Posting Guide for r-help (www.R-project.org/posting-guide.html) and
submit a more specific question, preferably with some code that
illustrates what you are trying to do and helps describe where you would
like further assistance.
spencer graves
Sankalp Upadhyay wrote:
Hi, I am looking for a package that can calculate portfolio performance metrics and ratios from a time series of returns or asset values. Is there such a package? one that can give comparison ratios with benchmarks also? The closest seems to be tseries that has maxdrawdown, sharpe and sterling ratios. I have started writing own code based on that but there are a lot of ratios and performance analysis metrics. Am I missing some package that can help? Thanks, Sankalp
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-- -- Sankalp Upadhyay Investment Analyst Roulac Global Funds