MartinRatio | R Documentation |
To calculate Martin ratio we divide the difference of the portfolio return and the risk free rate by the Ulcer index
MartinRatio(R, Rf = 0, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
risk free rate, in same period as your returns |
... |
any other passthru parameters |
Martin ratio = \frac{r_P - r_F}{\sqrt{\sum^{n}_{i=1} \frac{{D'_i}^2}{n}}}
where r_P
is the annualized portfolio return, r_F
is the risk free
rate, n
is the number of observations of the entire series, D'_i
is
the drawdown since previous peak in period i
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.91
data(portfolio_bacon)
print(MartinRatio(portfolio_bacon[,1])) #expected 1.70
data(managers)
print(MartinRatio(managers['1996']))
print(MartinRatio(managers['1996',1]))
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