BurkeRatio | R Documentation |
To calculate Burke ratio we take the difference between the portfolio return and the risk free rate and we divide it by the square root of the sum of the square of the drawdowns. To calculate the modified Burke ratio we just multiply the Burke ratio by the square root of the number of datas.
BurkeRatio(R, Rf = 0, modified = FALSE)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
the risk free rate |
modified |
a boolean to decide which ratio to calculate between Burke ratio and modified Burke ratio. |
Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}{D_t}^2}}
Modified Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}\frac{{D_t}^2}{n}}}
where n
is the number of observations of the entire series, d
is number of drawdowns, r_P
is the portfolio return, r_F
is the risk free rate and D_t
the t^{th}
drawdown.
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.90-91.
See aslo package PerformanceAnalytics
.
data(assetReturns)
assetReturns=assetReturns["2011::2018"] #short sample for fast example
BurkeRatio(assetReturns,Rf=0)
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