SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution
In JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics
SkewnessKurtosisRatio R Documentation
Skewness-Kurtosis ratio of the return distribution
Description
Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.
Usage
SkewnessKurtosisRatio(R)
Arguments
R
an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
Details
It is used in conjunction with the Sharpe ratio to rank portfolios.
The higher the rate the better.
SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}
where S is the skewness and K is the Kurtosis
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.100
See also package PerformanceAnalytics.
Examples
data(assetReturns)
R=assetReturns[, -29]
SkewnessKurtosisRatio(R)
JFE documentation built on Aug. 28, 2023, 9:06 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| SkewnessKurtosisRatio | R Documentation |
Skewness-Kurtosis ratio of the return distribution
Description
Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.
Usage
SkewnessKurtosisRatio(R)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Details
It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.
SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}
where S is the skewness and K is the Kurtosis
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.100
See also package PerformanceAnalytics.
Examples
data(assetReturns)
R=assetReturns[, -29]
SkewnessKurtosisRatio(R)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.