BernardoLedoitRatio: Bernardo and Ledoit ratio of the return distribution

In braverock/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Bernardo and Ledoit ratio of the return distribution

Description

To calculate Bernardo and Ledoit ratio we take the sum of the subset of returns that are above 0 and we divide it by the opposite of the sum of the subset of returns that are below 0

Usage

BernardoLedoitRatio(R, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...	any other passthru parameters

Details

BernardoLedoitRatio(R) = \frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}

where n is the number of observations of the entire series

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.95

Examples

data(portfolio_bacon)
print(BernardoLedoitRatio(portfolio_bacon[,1])) #expected 1.78

data(managers)
print(BernardoLedoitRatio(managers['1996']))
print(BernardoLedoitRatio(managers['1996',1])) #expected 4.598

braverock/PerformanceAnalytics documentation built on Feb. 16, 2024, 5:37 a.m.