Description Usage Arguments Value Examples
Calculates Sortino ratio from vector of gains or prices. The formula is:
(mean(gains) - rf) / sd(gains[gains < 0])
, where rf
is some
risk-free rate of return.
1 |
gains |
Numeric matrix with 1 column of gains for each investment (can be a vector if there is only one). |
prices |
Numeric matrix with 1 column of prices for each investment (can be a vector if there is only one). |
rf |
Numeric value. |
Numeric value or vector.
1 2 3 4 5 6 |
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