[Returnanalytics-commits] r3109 - pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man

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

Author: shubhanm
Date: 2013-09-15 10:42:24 +0200 (Sun, 15 Sep 2013)
New Revision: 3109

Added:
   pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.normDD.Rd
Log:
 addition of normDD 

Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.normDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.normDD.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.normDD.Rd	2013-09-15 08:42:24 UTC (rev 3109)
@@ -0,0 +1,58 @@
+\name{table.NormDD}
+\alias{table.NormDD}
+\title{Generalised Lambda Distribution Simulated Drawdown}
+\usage{
+  table.NormDD(R, digits = 4)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeSeries
+  or zoo object of asset returns}
+
+  \item{digits}{number of rounding off digits.}
+}
+\description{
+  When selecting a hedge fund manager, one risk measure
+  investors often consider is drawdown. How should drawdown
+  distributions look? Carr Futures' Galen Burghardt, Ryan
+  Duncan and Lianyan Liu share some insights from their
+  research to show investors how to begin to answer this
+  tricky question
+}
+\details{
+  To simulate net asset value (NAV) series where skewness
+  and kurtosis are zero, we draw sample returns from a
+  lognormal return distribution. To capture skewness and
+  kurtosis, we sample returns from a \bold{generalised
+  \eqn{\lambda} distribution}.The values of skewness and
+  excess kurtosis used were roughly consistent with the
+  range of values the paper observed for commodity trading
+  advisers in our database. The NAV series is constructed
+  from the return series. The simulated drawdowns are then
+  derived and used to produce the theoretical drawdown
+  distributions. A typical run usually requires
+  \bold{10,000} iterations to produce a smooth
+  distribution.
+}
+\author{
+  Peter Carl, Brian Peterson, Shubhankit Mohan
+}
+\references{
+  Burghardt, G., and L. Liu, \emph{ It's the
+  Autocorrelation, Stupid (November 2012) Newedge working
+  paper.} \code{\link[stats]{}} \cr
+  \url{http://www.amfmblog.com/assets/Newedge-Autocorrelation.pdf}
+  Burghardt, G., Duncan, R. and L. Liu, \emph{Deciphering
+  drawdown}. Risk magazine, Risk management for investors,
+  September, S16-S20, 2003.
+  \url{http://www.risk.net/data/risk/pdf/investor/0903_risk.pdf}
+}
+\seealso{
+  Drawdowns.R
+}
+\keyword{Assumptions}
+\keyword{Brownian}
+\keyword{Drawdown}
+\keyword{Motion}
+\keyword{Simulated}
+\keyword{Using}
+