pt.sortino: Sortino ratio
In YRmisc: Y&R Miscellaneous R Functions
Description
Usage
Arguments
Examples
Description
The Sortino ratio is an analog to the sharp ratio, with standard deviation replaced
by the downside deviation.
Usage
1
pt.sortino(r,p,n,rf)
Arguments
r
:a vector of a risk asset return
p
:target return, aka minimum acceptable return(MAR)
n
:number of years of asset return, used to calculate annualized return
rf
:risk free rate
Examples
1
2
rtn <- runif(12, -1, 1)
pt.sortino(rtn,0.3,1,0.024)
YRmisc documentation built on March 25, 2020, 5:13 p.m.
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Description Usage Arguments Examples
Description
The Sortino ratio is an analog to the sharp ratio, with standard deviation replaced by the downside deviation.
Usage
1 | pt.sortino(r,p,n,rf)
|
Arguments
r |
:a vector of a risk asset return |
p |
:target return, aka minimum acceptable return(MAR) |
n |
:number of years of asset return, used to calculate annualized return |
rf |
:risk free rate |
Examples
1 2 | rtn <- runif(12, -1, 1)
pt.sortino(rtn,0.3,1,0.024)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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