BernardoLedoitRatio {JFE}

Bernardo and Ledoit ratio of the return distribution

Description

To calculate Bernardo and Ledoit ratio we take the sum of the subset of returns that are above 0 and we divide it by the opposite of the sum of the subset of returns that are below 0

Usage

BernardoLedoitRatio(R)

Arguments

R

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

Details

BernardoLedoitRatio(R) = \frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}

where n is the number of observations of the entire series

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.95.
See also package PerformanceAnalytics.

Examples

    data(assetReturns)
BernardoLedoitRatio(R=assetReturns)