Description Usage Arguments Details Author(s) References Examples
To calculate Pain ratio we divide the difference of the portfolio return and the risk free rate by the Pain index
1 |
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 |
Pain ratio = (rp - rf) / Pain 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 |
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.