Helper function to create performance metrics for a given set of returns, weights, and actual data

Helper function to create performance metrics for a given set of returns, weights, and actual data

perf_met(returns_data, weights_data, actual_data)

Arguments

returns_data

return data

weights_data

weights data

actual_data

actual realized returns

Value

A tibble with columns portfolio, mean, sd, SR, VaR_5, turnover, and hit_ratio