[Returnanalytics-commits] r2161 - in pkg/PerformanceAnalytics: R man

[noreply at r-forge.r-project.org]

Author: matthieu_lestel
Date: 2012-07-15 17:06:13 +0200 (Sun, 15 Jul 2012)
New Revision: 2161

Added:
   pkg/PerformanceAnalytics/R/PainRatio.R
   pkg/PerformanceAnalytics/man/PainRatio.Rd
Modified:
   pkg/PerformanceAnalytics/R/TreynorRatio.R
Log:
Pain ratio with examples and documentation

Added: pkg/PerformanceAnalytics/R/PainRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/PainRatio.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/R/PainRatio.R	2012-07-15 15:06:13 UTC (rev 2161)
@@ -0,0 +1,57 @@
+#' Pain ratio of the return distribution
+#'
+#' To calculate Pain ratio we divide the difference of the portfolio return
+#' and the risk free rate by the Pain index
+#'
+#' \deqn{Pain ratio = \frac{r_P - r_F}{\sum^{n}_{i=1} \frac{\mid D'_i \mid}{n}}}
+#' {Pain ratio = (rp - rf) / Pain index}
+#'
+#' where \eqn{r_P} is the annualized portfolio return, \eqn{r_F} is the risk free
+#' rate, \eqn{n} is the number of observations of the entire series, \eqn{D'_i} is
+#' the drawdown since previous peak in period i
+#'
+#' @aliases PainRatio
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param Rf risk free rate, in same period as your returns
+#' @param period number of periods in a year monthly scale = 12, quarterly = 4)
+#' @param \dots any other passthru parameters
+#' @author Matthieu Lestel
+#' @references Carl Bacon, \emph{Practical portfolio performance measurement 
+#' and attribution}, second edition 2008 p.91
+#' 
+#' @keywords ts multivariate distribution models
+#' @examples
+#' data(portfolio_bacon[,1])
+#' print(PainRatio(portfolio_bacon)) #expected 2.59
+#'
+#' data(managers)
+#' print(PainRatio(100*managers['1996']))
+#' print(PainRatio(100*managers['1996',1])) 
+#'
+#' @export 
+
+
+PainRatio <- function (R, Rf = 0, period = 12, ...) 
+{
+    R0 <- R
+    R = checkData(R, method="matrix")
+
+    if (ncol(R)==1 || is.null(R) || is.vector(R)) {
+       PI = PainIndex(R)
+       R = na.omit(R)
+       n = length(R)
+       Rp = (prod(1+R/100)^(period/length(R))-1)*100
+       result = (Rp - Rf) / PI
+       reclass(result, R0)
+       return(result)
+    }
+    else {
+        R = checkData(R)
+        result = apply(R, MARGIN = 2, PainRatio, MAR = MAR, Rf = Rf, period = period, ...)
+        result<-t(result)
+        colnames(result) = colnames(R)
+        rownames(result) = paste("Pain Ratio (Rf = ",Rf,")", sep="")
+        return(result)
+    }
+}
\ No newline at end of file

Modified: pkg/PerformanceAnalytics/R/TreynorRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/TreynorRatio.R	2012-07-15 12:58:31 UTC (rev 2160)
+++ pkg/PerformanceAnalytics/R/TreynorRatio.R	2012-07-15 15:06:13 UTC (rev 2161)
@@ -11,6 +11,7 @@
 #' \deqn{ModifiedTreynorRatio = \frac{r_p - r_f}{\sigma_s}}
 #' {ModifiedTreynorRatio = (Rp - Rf)/sytematic risk}
 #' 
+#' @aliases TreynorRatio
 #' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
 #' asset returns
 #' @param Rb return vector of the benchmark asset

Added: pkg/PerformanceAnalytics/man/PainRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/PainRatio.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/man/PainRatio.Rd	2012-07-15 15:06:13 UTC (rev 2161)
@@ -0,0 +1,51 @@
+\name{PainRatio}
+\alias{PainRatio}
+\title{Pain ratio of the return distribution}
+\usage{
+  PainRatio(R, Rf = 0, period = 12, ...)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeSeries
+  or zoo object of asset returns}
+
+  \item{Rf}{risk free rate, in same period as your returns}
+
+  \item{period}{number of periods in a year monthly scale =
+  12, quarterly = 4)}
+
+  \item{\dots}{any other passthru parameters}
+}
+\description{
+  To calculate Pain ratio we divide the difference of the
+  portfolio return and the risk free rate by the Pain index
+}
+\details{
+  \deqn{Pain ratio = \frac{r_P - r_F}{\sum^{n}_{i=1}
+  \frac{\mid D'_i \mid}{n}}} {Pain ratio = (rp - rf) / Pain
+  index}
+
+  where \eqn{r_P} is the annualized portfolio return,
+  \eqn{r_F} is the risk free rate, \eqn{n} is the number of
+  observations of the entire series, \eqn{D'_i} is the
+  drawdown since previous peak in period i
+}
+\examples{
+data(portfolio_bacon[,1])
+print(PainRatio(portfolio_bacon)) #expected 2.59
+
+data(managers)
+print(PainRatio(100*managers['1996']))
+print(PainRatio(100*managers['1996',1]))
+}
+\author{
+  Matthieu Lestel
+}
+\references{
+  Carl Bacon, \emph{Practical portfolio performance
+  measurement and attribution}, second edition 2008 p.91
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+