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

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

require("Hmisc")
#> Loading required package: Hmisc
#> Warning: there is no package called ‘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)
#> Error in format.df(result, na.blank = TRUE, numeric.dollar = FALSE, cdec = c(3,     3, 1)): could not find function "format.df"
title(main="Drawdowns ratio statistics")
#> Error in title(main = "Drawdowns ratio statistics"): plot.new has not been called yet