M2Sortino: M squared for Sortino of the return distribution

In JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

M squared for Sortino of the return distribution

Description

M squared for Sortino is a M^2 calculated for Downside risk instead of Total Risk

Usage

M2Sortino(Ra, Rb, MAR = 0)

Arguments

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

Details

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

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.102-103
See aslo package PerformanceAnalytics.

Examples

  data(assetReturns)
	Ra=assetReturns[, -29]
	Rb=assetReturns[,29] #DJI

M2Sortino(Ra, Rb, MAR=0)

JFE documentation built on Aug. 28, 2023, 9:06 a.m.