Martin ratio of the return distribution

Description

To calculate Martin ratio we divide the difference of the portfolio return and the risk free rate by the Ulcer index

Usage

1
MartinRatio(R, Rf = 0, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

Rf

risk free rate, in same period as your returns

...

any other passthru parameters

Details

Martin ratio = (rp - rf) / Ulcer index

where r_P is the annualized portfolio return, r_F is the risk free rate, n is the number of observations of the entire series, D'_i is the drawdown since previous peak in period i

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.91

Examples

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