ratio.sortino: Sortino Ratio
In rportfolio: Portfolio Theory
Description
Usage
Arguments
Details
Value
Examples
View source: R/ratio_sortino.R
Description
Calculates the Sortino Ratio
Usage
1
ratio.sortino(R1, Rf = 0)
Arguments
R1
Returns of the portfolio
Rf
Risk Free rate of return, Default: 0
Details
The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns, called downside deviation, instead of the total standard deviation of portfolio returns.
Value
Gives the Sortino ratio of the portfolio
Examples
1
ratio.sortino(funds$ret)
Example output
[1] 0.08423328
rportfolio documentation built on July 1, 2020, 10:35 p.m.
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Description Usage Arguments Details Value Examples
View source: R/ratio_sortino.R
Description
Calculates the Sortino Ratio
Usage
1 | ratio.sortino(R1, Rf = 0)
|
Arguments
R1 |
Returns of the portfolio |
Rf |
Risk Free rate of return, Default: 0 |
Details
The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns, called downside deviation, instead of the total standard deviation of portfolio returns.
Value
Gives the Sortino ratio of the portfolio
Examples
1 | ratio.sortino(funds$ret)
|
Example output
[1] 0.08423328
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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