Downside Summary: Statistics and ratios

Description

Table of Monthly downside risk, Annualised downside risk, Downside potential, Omega, Sortino ratio, Upside potential, Upside potential ratio and Omega-Sharpe ratio

Usage

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table.DownsideRiskRatio(R, MAR = 0, scale = NA, digits = 4)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

MAR

Minimum Acceptable Return, in the same periodicity as your returns

scale

number of periods in a year (daily scale = 252, monthly scale =

digits

number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.98

See Also

CalmarRatio
BurkeRatio
PainIndex
UlcerIndex
PainRatio
MartinRatio

Examples

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data(managers)
table.DownsideRiskRatio(managers[,1:8])

require("Hmisc")
result = t(table.DownsideRiskRatio(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Downside risk statistics")

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