OmegaSharpeRatio: Omega-Sharpe ratio of the return distribution

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

Omega-Sharpe ratio of the return distribution

Description

The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.

Usage

OmegaSharpeRatio(R, MAR = 0)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	Minimum Acceptable Return, in the same periodicity as your returns

Details

To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.

OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}

where n is the number of observations of the entire series

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.95
See also package PerformanceAnalytics.

Examples

  data(assetReturns)
	R=assetReturns[, -29]
  OmegaSharpeRatio(R)

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