M2Sortino | R Documentation |
M squared for Sortino is a M^2 calculated for Downside risk instead of Total Risk
M2Sortino(Ra, Rb, MAR = 0)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset return |
Rb |
return vector of the benchmark asset |
MAR |
the minimum acceptable return |
M^2_S = r_P + Sortino ratio * (\sigma_{DM} - \sigma_D)
where M^2_S
is MSquared for Sortino, r_P
is the annualised portfolio return,
\sigma_{DM}
is the benchmark annualised downside risk and D
is the portfolio
annualised downside risk
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.102-103
See aslo package PerformanceAnalytics
.
data(assetReturns)
Ra=assetReturns[, -29]
Rb=assetReturns[,29] #DJI
M2Sortino(Ra, Rb, MAR=0)
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