## Portfolio Statistics ## VaR MVVAR <- -100 * VaR(MVRet, p = 0.95, method = "gaussian") CDVAR <- -100 * VaR(CDRet, p = 0.95, method = "gaussian") ## ES MVES <- -100 * ES(MVRet, p = 0.95, method = "gaussian") CDES <- -100 * ES(CDRet, p = 0.95, method = "gaussian") ## Sharpe MVSR <- SharpeRatio(MVRet) CDSR <- SharpeRatio(CDRet) ## Annualised returns MVRA <- Return.annualized(MVRet, scale = 52) CDRA <- Return.annualized(CDRet, scale = 52) ## Draw downs MVDD <- -100 * findDrawdowns(MVRet)$return MVDD <- MVDD[MVDD!=0.0] length(MVDD) summary(MVDD) CDDD <- -100 * findDrawdowns(CDRet)$return CDDD <- CDDD[CDDD!=0.0] length(CDDD) summary(CDDD)