Extract Portfolio Statistics from a Dynamic Simulation — extract

Computes the mean, standard deviation, skewness, kurtosis, Value-at-Risk (VaR) and Conditional Value-at-Risk CVaR) of a strategy.

extract_stats(simulation, level = 0.01)

Arguments

simulation	An object of the `DynamicStrategies` class.
level	A number with the desired probability level. The default is `level = 0.01`.

Value

A tibble with 2 columns and 6 rows.

Examples

utility <- simulate_strategy(strategy = "max_utility")
cppi    <- simulate_strategy(strategy = "cppi")

extract_stats(utility)
#> # A tibble: 6 × 2
#>   stat           value
#>   <fct>          <dbl>
#> 1 PnL        10611.   
#> 2 Volatility  1506.   
#> 3 Skewness       0.448
#> 4 Kurtosis       3.35 
#> 5 VaR         2501.   
#> 6 CVaR        2818.   
extract_stats(cppi)
#> # A tibble: 6 × 2
#>   stat          value
#>   <fct>         <dbl>
#> 1 PnL        10688.  
#> 2 Volatility  2566.  
#> 3 Skewness       2.17
#> 4 Kurtosis       8.33
#> 5 VaR          818.  
#> 6 CVaR         819.