DRatio {JFE}

d ratio of the return distribution

Description

The d ratio is similar to the Bernado Ledoit ratio but inverted and taking into account the frequency of positive and negative returns.

Usage

DRatio(R)

Arguments

R

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

Details

It has values between zero and infinity. It can be used to rank the performance of portfolios. The lower the d ratio the better the performance, a value of zero indicating there are no returns less than zero and a value of infinity indicating there are no returns greater than zero.

DRatio(R) = \frac{n_{d}*\sum^{n}_{t=1}{max(-R_{t},0)}}{n_{u}*\sum^{n}_{t=1} {max(R_{t},0)}}

where n is the number of observations of the entire series, n_{d} is the number of observations less than zero, n_{u} is the number of observations greater than zero

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)
	R=assetReturns[, -29]

  DRatio(R)