sortino_ratio: Sortino ratio
In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis
Description
Usage
Arguments
Details
View source: R/QuantAnalysis.R
Description
Sortino ratio
Usage
1
sortino_ratio(ret, rf, freq, mar = 0)
Arguments
ret
data.frame containing returns
rf
either numeric value representing annual risk-free rate or data.frame
containing risk-free time-series
mar
minimal acceptable return to define downside
Details
Sortino ratio = (annualized return less annual risk-fre rate) / annualized
downside volatility.
alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.
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Description Usage Arguments Details
View source: R/QuantAnalysis.R
Description
Sortino ratio
Usage
1 | sortino_ratio(ret, rf, freq, mar = 0)
|
Arguments
ret |
data.frame containing returns |
rf |
either numeric value representing annual risk-free rate or data.frame containing risk-free time-series |
mar |
minimal acceptable return to define downside |
Details
Sortino ratio = (annualized return less annual risk-fre rate) / annualized downside volatility.
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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