SkewnessKurtosisRatio | R Documentation |
Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.
SkewnessKurtosisRatio(R, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.
SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}
where S
is the skewness and K
is the Kurtosis
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
data(portfolio_bacon)
print(SkewnessKurtosisRatio(portfolio_bacon[,1])) #expected -0.034
data(managers)
print(SkewnessKurtosisRatio(managers['1996']))
print(SkewnessKurtosisRatio(managers['1996',1]))
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