SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution

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

Description

Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.

Usage

SkewnessKurtosisRatio(R, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...	any other passthru parameters

Details

It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.

SkewnessKurtosisRatio(R, MAR) = S/K

where 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.100

Examples

data(portfolio_bacon)
print(SkewnessKurtosisRatio(portfolio_bacon[,1])) #expected -0.034

data(managers)
print(SkewnessKurtosisRatio(managers['1996']))
print(SkewnessKurtosisRatio(managers['1996',1]))

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