OmegaExcessReturn: Omega excess return of the return distribution

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

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

OmegaExcessReturn = Portfolio return - 3*style beta*style benchmark variance squared

where ω is omega excess return, β_S is style beta, σ_D is the portfolio annualised downside risk and σ_{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))

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