OmegaExcessReturn: Omega excess return of the return distribution

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

Omega excess return of the return distribution

Description

Omega excess return is another form of downside risk-adjusted return. It is calculated by multiplying the downside variance of the style benchmark by 3 times the style beta.

Usage

OmegaExcessReturn(Ra, Rb, MAR = 0, ...)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	return vector of the benchmark asset
MAR	the minimum acceptable return
...	any other passthru parameters

Details

\omega = r_P - 3*\beta_S*\sigma_{MD}^2

where \omega is omega excess return, \beta_S is style beta, \sigma_D is the portfolio annualised downside risk and \sigma_{MD} is the benchmark annualised downside risk.

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.103

Examples

data(portfolio_bacon)
MAR = 0.005
print(OmegaExcessReturn(portfolio_bacon[,1], portfolio_bacon[,2], MAR)) #expected 0.0805

data(managers)
MAR = 0
print(OmegaExcessReturn(managers['1996',1], managers['1996',8], MAR))
print(OmegaExcessReturn(managers['1996',1:5], managers['1996',8], MAR))

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