ProspectRatio: Prospect ratio of the return distribution

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

Description

Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain

Usage

ProspectRatio(R, MAR, ...)

Arguments

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

Details

ProspectRatio(R) = (1/n * sum(Max(ri,0) + 2.25 * Min(ri,0)) - MAR) / DownsideRisk

where n is the number of observations of the entire series, MAR is the minimum acceptable return and σ_D is the downside risk

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100

Examples

data(portfolio_bacon)
MAR = 0.05
print(ProspectRatio(portfolio_bacon[,1], MAR)) #expected -0.134

data(managers)
MAR = 0
print(ProspectRatio(managers['1996'], MAR))
print(ProspectRatio(managers['1996',1], MAR))

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