Analyze results and compare to benchmark
In the previous exercises of the chapter, we created an equal weight benchmark r_benchmark
and ran the following optimizations:
- Minimize portfolio standard deviation with sample estimates (returns stored in
returns_base
). - Minimize portfolio standard deviation with percentage contribution to risk using sample estimates (returns stored in
returns_rb
). - Minimize portfolio standard deviation with percentage contribution to risk using robust estimates (returns stored in
returns_rb_robust
).
Now we wish to analyze the performance of the optimization backtests and compare with the benchmark.
This exercise is part of the course
Intermediate Portfolio Analysis in R
Exercise instructions
- Combine the returns of the benchmark portfolio and optimizations into a single
xts
object. - Compute and display the annualized returns.
- Chart the cumulative return and drawdowns.
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Combine the returns
ret <- cbind(___, ___, ___, ___)
# Compute annualized returns
table.AnnualizedReturns(R = ___)
# Chart the performance summary
charts.PerformanceSummary(R = ___)