M2Sortino: M squared for Sortino of the return distribution

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

Description

M squared for Sortino is a M^2 calculated for Downside risk instead of Total Risk

Usage

M2Sortino(Ra, Rb, MAR = 0, ...)

Arguments

Ra	an xts, vector, matrix, data frame, timeSeries or zoo object of asset return
Rb	return vector of the benchmark asset
MAR	the minimum acceptable return
...	any other passthru parameters

Details

M^2 (Sortino) = Rp + Sortino ratio * (DownsideRiskBenchmark - DownsideRiskPortfolio)

where M^2_S is MSquared for Sortino, r_P is the annualised portfolio return, σ_{DM} is the benchmark annualised downside risk and D is the portfolio annualised downside risk

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.102-103

Examples

data(portfolio_bacon)
MAR = 0.005
print(M2Sortino(portfolio_bacon[,1], portfolio_bacon[,2], MAR)) #expected 0.1035

data(managers)
MAR = 0
print(MSquaredExcess(managers['1996',1], managers['1996',8], MAR))
print(MSquaredExcess(managers['1996',1:5], managers['1996',8], MAR))

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