ann_sortino_ratio: Annualized Sortino ratio
In maxto/qapi: Low-level functions for quantitative analysis
ann_sortino_ratio R Documentation
Annualized Sortino ratio
Description
Annualized sortino ratio
Usage
ann_sortino_ratio(x, t = 252, ann_mar = 0, is_geom = TRUE)
Arguments
x
asset returns
t
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
ann_mar
annual minimum acceptable return
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)
ann_sortino_ratio(xx,t=12,ann_mar=0.01)
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| ann_sortino_ratio | R Documentation |
Annualized Sortino ratio
Description
Annualized sortino ratio
Usage
ann_sortino_ratio(x, t = 252, ann_mar = 0, is_geom = TRUE)
Arguments
x |
asset returns |
t |
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily |
ann_mar |
annual minimum acceptable return |
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)
ann_sortino_ratio(xx,t=12,ann_mar=0.01)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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