AdjustedSharpeRatio: Adjusted Sharpe ratio of the return distribution

In naturalsmen/PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Adjusted Sharpe ratio was introduced by Pezier and White (2006) to adjusts for skewness and kurtosis by incorporating a penalty factor for negative skewness and excess kurtosis.

Usage

AdjustedSharpeRatio(R, Rf = 0, ...)

Arguments

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

Details

Adjusted Sharpe ratio = SR x [1 + (S/6) x SR - ((K-3) / 24) x SR^2]

where SR is the sharpe ratio with data annualized, 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.99

Examples

data(portfolio_bacon)
print(AdjustedSharpeRatio(portfolio_bacon[,1])) #expected 0.81

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

naturalsmen/PerformanceAnalytics documentation built on May 23, 2019, 12:20 p.m.