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pt.m2: Modigliani risk-adjusted performance

pt.m2: Modigliani risk-adjusted performance
In YRmisc: Y&R Miscellaneous R Functions

Description Usage Arguments Examples

View source: R/pt.m2.R

Description

Modigliani risk-adjusted performance is a financial measure of risk-adjusted returns of a portfolio. It measures the returns of the portfolio after adjusting it relative to some benchmark.

Usage

1
pt.m2(pr,br,rf)

Arguments

pr

:portfolio return

br

:benchmark return

rf

:risk free rate

Examples

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prtn <- runif(12,-1,1)
brtn <- runif(12,-1,1)
rf <- 0.024
pt.m2(prtn,brtn,rf)

YRmisc documentation built on March 25, 2020, 5:13 p.m.

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