SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution

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

Skewness-Kurtosis ratio of the return distribution

Description

Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.

Usage

SkewnessKurtosisRatio(R, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
...	any other pass through parameters

Details

It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.

SkewnessKurtosisRatio(R, MAR) = S/K

where S is the skewness and K is the Kurtosis

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.100
See also package PerformanceAnalytics.

Examples

  data(assetReturns)
	R=assetReturns[, -29]
  SkewnessKurtosisRatio(R)

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