ProspectRatio | R Documentation |
Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain
ProspectRatio(R, MAR, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
MAR |
the minimum acceptable return |
... |
any other passthru parameters |
ProspectRatio(R) = \frac{\frac{1}{n}*\sum^{n}_{i=1}(Max(r_i,0)+2.25*Min(r_i,0) - MAR)}{\sigma_D}
where n
is the number of observations of the entire series, MAR is the minimum acceptable return and \sigma_D
is the downside risk
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
data(portfolio_bacon)
MAR = 0.05
print(ProspectRatio(portfolio_bacon[,1], MAR)) #expected -0.134
data(managers)
MAR = 0
print(ProspectRatio(managers['1996'], MAR))
print(ProspectRatio(managers['1996',1], MAR))
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.