R/OmegaSharpeRatio.R

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

#' Omega-Sharpe ratio of the return distribution
#'
#' The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic 
#' in familiar form to the Sharpe ratio.
#'
#' 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.
#'
#' \deqn{OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}}{OmegaSharpeRatio(R,MAR) = (Rp - Rt) / -DownsidePotential(R,MAR)}
#'
#' where \eqn{n} is the number of observations of the entire series
#' 
#' @aliases OmegaSharpeRatio
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param MAR Minimum Acceptable Return, in the same periodicity as your
#' returns
#' @param \dots any other passthru parameters
#' @author Matthieu Lestel
#' @references Carl Bacon, \emph{Practical portfolio performance measurement 
#' and attribution}, second edition 2008, p.95
#' 
###keywords ts multivariate distribution models
#' @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
#'
#' @export
OmegaSharpeRatio <-
function (R, MAR = 0, ...)
{
    R = checkData(R)

    if (ncol(R)==1 || is.null(R) || is.vector(R)) {
       calcul = FALSE
        for (i in (1:length(R))) {
     	     if (!is.na(R[i])) {
     	    	calcul = TRUE
	     }
        }		      
       R = na.omit(R)
       r = R[which(R > MAR)]

        if(!is.null(dim(MAR))){
            if(is.timeBased(index(MAR))){
                MAR <-MAR[index(r)] #subset to the same dates as the R data
            } 
	    else{
                MAR = mean(checkData(MAR, method = "vector"))
                # we have to assume that Ra and a vector of Rf passed in for MAR both cover the same time period
            }
        }
	if(!calcul) {
	  result = NA
	}
	else {
	    result = (UpsideRisk(R,MAR,stat="potential") - DownsidePotential(R,MAR))/(DownsidePotential(R,MAR))
        }
        return(result)
    }
    else {
        result = apply(R, MARGIN = 2, OmegaSharpeRatio, MAR = MAR, ...)
        result<-t(result)
        colnames(result) = colnames(R)
        rownames(result) = paste("OmegaSharpeRatio (MAR = ",MAR,"%)", sep="")
        return(result)
    }
}

###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2020 Peter Carl and Brian G. Peterson
#
# This R package is distributed under the terms of the GNU Public License (GPL)
# for full details see the file COPYING
#
# $Id$
#
###############################################################################