AdjustedSharpeRatio: Adjusted Sharpe ratio of the return distribution

Description Usage Arguments Details Author(s) References Examples

Description

Adjusted Sharpe ratio was introduced by Pezier and White (2006) to adjusts for skewness and kurtosis by incorporating a penalty factor for negative skewness and excess kurtosis.

Usage

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Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

Rf

the risk free rate

...

any other passthru parameters

Details

Adjusted Sharpe ratio = SR x [1 + (S/6) x SR - ((K-3) / 24) x SR^2]

where SR is the sharpe ratio with data annualized, S is the skewness and K is the kurtosis

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.99

Examples

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guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.