# R/AdjustedSharpeRatio.R In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

#' Adjusted Sharpe ratio of the return distribution
#'
#' Adjusted Sharpe ratio was introduced by Pezier and White (2006) to adjusts
#' for skewness and kurtosis by incorporating a penalty factor for negative skewness
#' and excess kurtosis.
#'
#' \deqn{Adjusted Sharpe Ratio = SR * [1 + (\frac{S}{6}) * SR - (\frac{K - 3}{24}) * SR^2]}{Adjusted Sharpe ratio = SR x [1 + (S/6) x SR - ((K-3) / 24) x SR^2]}
#'
#' where \eqn{SR} is the sharpe ratio with data annualized, \eqn{S} is the skewness and \eqn{K} is the kurtosis
#'
#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param Rf the risk free rate
#' @param \dots any other passthru parameters
#' @author Matthieu Lestel
#' @references Carl Bacon, \emph{Practical portfolio performance measurement
#' and attribution}, second edition 2008 p.99
#'
###keywords ts multivariate distribution models
#' @examples
#' data(portfolio_bacon)
#'
#' data(managers)
#'
#' @export
AdjustedSharpeRatio <- function (R, Rf = 0, ...)
{
R = checkData(R)

if (ncol(R)==1 || is.null(R) || is.vector(R)) {
calcul = FALSE
for (i in (1:length(R))) {
if (!is.na(R[i])) {
calcul = TRUE
}
}
if(!calcul) {
result = NA
}
else {
period = Frequency(R)
R = na.omit(R)
n = length(R)
Rp = (prod(1+R/100)^(period/length(R))-1)*100
Sigp = sqrt(sum((R-mean(R))^2)/n)*sqrt(period)
SR = (Rp - Rf) / Sigp
K = kurtosis(R, method = "moment")
S = skewness(R)
result = SR*(1+(S/6)*SR-((K-3)/24)*SR^2)
}
return(result)
}
else {
result = apply(R, MARGIN = 2, AdjustedSharpeRatio, Rf = Rf, period = period, ...)
result<-t(result)
colnames(result) = colnames(R)
rownames(result) = paste("Adjusted Sharpe ratio (Risk free = ",Rf,")", sep="")
return(result)
}
}

###############################################################################
# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
#
# Copyright (c) 2004-2015 Peter Carl and Brian G. Peterson
#
# $Id: AdjustedSharpeRatio.R 3998 2015-10-21 21:09:18Z braverock$