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.

Cet exercice fait partie du cours

Intermediate Portfolio Analysis in R

Afficher le cours

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.

Exercice interactif pratique

Essayez cet exercice en complétant cet exemple de code.

# Combine the returns
ret <- cbind(___, ___, ___, ___)

# Compute annualized returns
table.AnnualizedReturns(R = ___)

# Chart the performance summary
charts.PerformanceSummary(R = ___)

Modifier et exécuter le code