DownsideFrequency: downside frequency of the return distribution

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

downside frequency of the return distribution

Description

To calculate Downside Frequency, we take the subset of returns that are less than the target (or Minimum Acceptable Returns (MAR)) returns and divide the length of this subset by the total number of returns.

Usage

DownsideFrequency(R, MAR = 0, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	Minimum Acceptable Return, in the same periodicity as your returns
...	any other passthru parameters

Details

DownsideFrequency(R , MAR) = \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]}{R_{t}*n}

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.94

Examples

data(portfolio_bacon)
MAR = 0.005
print(DownsideFrequency(portfolio_bacon[,1], MAR)) #expected 0.458

data(managers)
print(DownsideFrequency(managers['1996']))
print(DownsideFrequency(managers['1996',1])) #expected 0.25

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