Calculate comprehensive performance metrics for agents or portfolios.
calculate_performance_metrics(returns, benchmark = NULL, risk_free_rate = 0.02)
Arguments
- returns
Numeric vector or matrix of returns
- benchmark
Optional benchmark returns for comparison
- risk_free_rate
Annual risk-free rate (default: 0.02)
Value
List containing various performance metrics
Examples
if (FALSE) { # \dontrun{
returns <- rnorm(252, 0.08/252, 0.2/sqrt(252)) # Daily returns
metrics <- calculate_performance_metrics(returns)
print(metrics)
} # }