[Returnanalytics-commits] r3517 - pkg/PerformanceAnalytics/man

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

Author: kylebalkissoon
Date: 2014-08-27 22:35:20 +0200 (Wed, 27 Aug 2014)
New Revision: 3517

Added:
   pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd
Log:
Documentation for table.ProbOutPerformance.Rd

Added: pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd	2014-08-27 20:35:20 UTC (rev 3517)
@@ -0,0 +1,33 @@
+% Generated by roxygen2 (4.0.1): do not edit by hand
+\name{table.ProbOutPerformance}
+\alias{table.ProbOutPerformance}
+\title{}
+\usage{
+table.ProbOutPerformance(R, Rb, period_lengths = c(1, 3, 6, 9, 12, 18, 36))
+}
+\arguments{
+\item{R}{an xts, timeSeries or zoo object of asset returns}
+
+\item{Rb}{an xts, timeSeries or zoo object of the benchmark returns}
+
+\item{period_lengths}{a vector of periods the user wants to evaluate this over i.e. c(1,3,6,9,12,18,36)}
+}
+\description{
+Tool for Robustness analysis of a 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.
+}
+\details{
+Returns a table that contains the counts and probabilities of outperformance relative to benchmark for the various period_lengths
+}
+\examples{
+data(edhec) ##get data
+table.ProbOutPerformance(edhec[,1],edhec[,2]) ##Returns tables of conv arb benchmarked to cta global
+}
+\author{
+Kyle Balkissoon
+}
+\keyword{Benchmark}
+\keyword{Fund}
+\keyword{Performance}
+\keyword{Reporting}
+\keyword{vs}
+