burke_ratio: Burke ratio

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

Burke ratio

Description

A risk-adjusted measure with free risk and drawdowns. For the 'simple' mode the excess return over free risk is divided by the square root of the sum of the square of the drawdowns. For the 'modified' mode the Burke Ratio is multiplied by the square root of the number of data.

Usage

burke_ratio(
  x,
  ann_frisk = 0,
  t = 252,
  is_geom = TRUE,
  method = c("simple", "modified")
)

Arguments

x	asset returns
ann_frisk	annual free risk
t	frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
is_geom	TRUE geometric, FALSE simple
method	"simple" or "modified" (def: "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)
burke_ratio(xx,ann_frisk=0.01,t=12)
burke_ratio(xx,ann_frisk=0.01,t=12,method="modified")

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