M2Sortino: M squared for Sortino of the return distribution

In tsungwu/JFE: Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

M squared for Sortino of the return distribution

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)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

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

Examples

  data(assetReturns)
	Ra=assetReturns[, -29]
	Rb=assetReturns[,29] #DJI

M2Sortino(Ra, Rb, MAR=0)

tsungwu/JFE documentation built on May 10, 2022, 1:22 p.m.