OmegaSharpeRatio: Omega-Sharpe ratio of the return distribution

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.

Usage

OmegaSharpeRatio(R, MAR = 0, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	Minimum Acceptable Return, in the same periodicity as your returns
...	any other passthru parameters

Details

To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.

OmegaSharpeRatio(R,MAR) = (Rp - Rt) / -DownsidePotential(R,MAR)

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)
MAR = 0.005
print(OmegaSharpeRatio(portfolio_bacon[,1], MAR)) #expected 0.29

MAR = 0
data(managers)
print(OmegaSharpeRatio(managers['1996'], MAR))
print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60

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