Description Usage Arguments Details Author(s) References Examples

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

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

`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 |

*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

Matthieu Lestel

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

1 2 3 4 5 6 | ```
data(portfolio_bacon)
print(MartinRatio(portfolio_bacon[,1])) #expected 1.70
data(managers)
print(MartinRatio(managers['1996']))
print(MartinRatio(managers['1996',1]))
``` |

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