AdjustedSharpeRatio {JFE} | R Documentation |
Adjusted Sharpe ratio of the return distribution
Description
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.
Usage
AdjustedSharpeRatio(R, Rf = 0, FUN = "StdDev")
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
the risk free rate |
FUN |
one of "StdDev" or "VaR" or "ES" to use as the denominator for unadjusted Sharpe ratio, default="StdDev" |
Details
Adjusted Sharpe Ratio = SR * [1 + (\frac{S}{6}) * SR - (\frac{K - 3}{24}) * SR^2]
where SR
is the sharpe ratio with data annualized, S
is the skewness and K
is the kurtosis
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Carl Bacon, Practical portfolio performance measurement
and attribution, second edition 2008 p.99.
Pezier, Jaques and White, Anthony. 2006. The Relative Merits of Investable
Hedge Fund Indices and of Funds of Hedge Funds in Optimal Passive Portfolios.
Check https://econpapers.repec.org/paper/rdgicmadp/icma-dp2006-10.htm
See also package PerformanceAnalytics
.
Examples
data(assetReturns)
AdjustedSharpeRatio(assetReturns)