BernardoLedoitRatio: Bernardo and Ledoit ratio of the return distribution

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

To calculate Bernardo and Ledoit ratio we take the sum of the subset of returns that are above 0 and we divide it by the opposite of the sum of the subset of returns that are below 0

Usage

BernardoLedoitRatio(R, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...	any other passthru parameters

Details

BernardoLedoitRatio(R) = 1/n*sum(t=1..n)(max(R(t),0)) / 1/n*sum(t=1..n)(max(-R(t),0))

where n is the number of observations of the entire series

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.95

Examples

data(portfolio_bacon)
print(BernardoLedoitRatio(portfolio_bacon[,1])) #expected 1.78

data(managers)
print(BernardoLedoitRatio(managers['1996']))
print(BernardoLedoitRatio(managers['1996',1])) #expected 4.598

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.