| BurkeRatio {JFE} | R Documentation |
Burke ratio of the return distribution
Description
To calculate Burke ratio we take the difference between the portfolio return and the risk free rate and we divide it by the square root of the sum of the square of the drawdowns. To calculate the modified Burke ratio we just multiply the Burke ratio by the square root of the number of datas.
Usage
BurkeRatio(R, Rf = 0, modified = FALSE)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
the risk free rate |
modified |
a boolean to decide which ratio to calculate between Burke ratio and modified Burke ratio. |
Details
Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}{D_t}^2}}
Modified Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}\frac{{D_t}^2}{n}}}
where n is the number of observations of the entire series, d is number of drawdowns, r_P is the portfolio return, r_F is the risk free rate and D_t the t^{th} drawdown.
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.90-91.
See aslo package PerformanceAnalytics.
Examples
data(assetReturns)
assetReturns=assetReturns["2011::2018"] #short sample for fast example
BurkeRatio(assetReturns,Rf=0)