upside_downside_variance_ratio: Upside/Downside Variance Ratio

In PortfolioEffectHFT: High Frequency Portfolio Analytics by PortfolioEffect

Description

Computes upside to downside variance ratio of a portfolio.

Usage

upside_downside_variance_ratio(asset, thresholdReturn)

Arguments

asset	Portfolio or Position object created using portfolio_create( ) or position_add( ) function
thresholdReturn	Return value to be used as a cut-off point

Value

Metric object

Note

https://www.portfolioeffect.com/docs/glossary/measures/absolute-risk-measures/upside-downside-variance-ratio

Author(s)

Kostin Andrey <[e-mail]>

See Also

upside_variance downside_variance

Examples

## Not run: 
dateStart = "2014-11-17 09:30:00"
dateEnd = "2014-11-17 16:00:00"
portfolio=portfolio_create(dateStart,dateEnd)
positionAAPL=position_add(portfolio,'AAPL',100)
positionC=position_add(portfolio,'C',300) 
positionGOOG=position_add(portfolio,'GOOG',150) 
result=compute(upside_downside_variance_ratio(positionC,0.05),
upside_downside_variance_ratio(positionGOOG,0.05),
upside_downside_variance_ratio(positionAAPL,0.05)) 
plot(upside_downside_variance_ratio(positionC,0.05),
upside_downside_variance_ratio(positionGOOG,0.05),
upside_downside_variance_ratio(positionAAPL,0.05),
legend=c('C','GOOG','AAPL'),title='Upside/Downside Variance Ratio')

## End(Not run)

PortfolioEffectHFT documentation built on May 2, 2019, 11:52 a.m.