adj_ann_sharpe_ratio: Adjusted Annualized Sharpe ratio

In maxto/qapi: Low-level functions for quantitative analysis

Adjusted Annualized Sharpe ratio

Description

Sharpe Ratio adjusted for skewness and kurtosis with a penalty factor for negative skewness and excess kurtosis

Usage

adj_ann_sharpe_ratio(x, frisk = 0, t = 252, is_geom = TRUE)

Arguments

x	asset returns
frisk	annual free-risk rate. For daily rate (frisk/252), weekly (frisk/52), monthly (frisk/12), etc
t	frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
is_geom	TRUE geometric, FALSE simple

Value

numeric

Examples

xx <- c(0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039)
adj_ann_sharpe_ratio(xx,frisk=0.02/12,t=12)

maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.