UpsideFrequency: upside frequency of the return distribution

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

Description

To calculate Upside Frequency, we take the subset of returns that are more than the target (or Minimum Acceptable Returns (MAR)) returns and divide the length of this subset by the total number of returns.

Usage

UpsideFrequency(R, MAR = 0, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
MAR	Minimum Acceptable Return, in the same periodicity as your returns
...	any other passthru parameters

Details

UpsideFrequency(R, MAR) = length(subset of returns above MAR) / length(total returns)

where n is the number of observations of the entire series

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.94

Examples

data(portfolio_bacon)
MAR = 0.005
print(UpsideFrequency(portfolio_bacon[,1], MAR)) #expected 0.542

data(managers)
print(UpsideFrequency(managers['1996']))
print(UpsideFrequency(managers['1996',1])) #expected 0.75

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