Table of Outperformance Reporting vs Benchmark
table.ProbOutPerformance(R, Rb, period_lengths = c(1, 3, 6, 9, 12, 18, 36))
| 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) |
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
data(edhec) table.ProbOutPerformance(edhec[,1],edhec[,2])#> period_lengths Convertible Arbitrage CTA Global total periods #> 1 1 83 69 152 #> 2 3 86 64 150 #> 3 6 82 65 147 #> 4 9 77 67 144 #> 5 12 69 72 141 #> 6 18 61 74 135 #> 7 36 52 65 117 #> prob_Convertible Arbitrage_outperformance prob_CTA Global_outperformance #> 1 0.5460526 0.4539474 #> 2 0.5733333 0.4266667 #> 3 0.5578231 0.4421769 #> 4 0.5347222 0.4652778 #> 5 0.4893617 0.5106383 #> 6 0.4518519 0.5481481 #> 7 0.4444444 0.5555556title(main='Table of Convertible Arbitrage vs Benchmark')#> Error in title(main = "Table of Convertible Arbitrage vs Benchmark"): plot.new has not been called yet