OmegaSharpeRatio | R Documentation |
The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.
OmegaSharpeRatio(R, MAR = 0, ...)
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 |
To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.
OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}
where n
is the number of observations of the entire series
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008, p.95
data(portfolio_bacon)
MAR = 0.005
print(OmegaSharpeRatio(portfolio_bacon[,1], MAR)) #expected 0.29
MAR = 0
data(managers)
print(OmegaSharpeRatio(managers['1996'], MAR))
print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60
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