M2Sortino: M squared for Sortino of the return distribution

Description Usage Arguments Details Author(s) References Examples

Description

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

Usage

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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

...

any other passthru parameters

Details

M^2 (Sortino) = Rp + Sortino ratio * (DownsideRiskBenchmark - DownsideRiskPortfolio)

where M^2_S is MSquared for Sortino, r_P is the annualised portfolio return, σ_{DM} is the benchmark annualised downside risk and D is the portfolio annualised downside risk

Author(s)

Matthieu Lestel

References

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

Examples

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data(portfolio_bacon)
MAR = 0.005
print(M2Sortino(portfolio_bacon[,1], portfolio_bacon[,2], MAR)) #expected 0.1035

data(managers)
MAR = 0
print(MSquaredExcess(managers['1996',1], managers['1996',8], MAR))
print(MSquaredExcess(managers['1996',1:5], managers['1996',8], MAR))

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