| OmegaSharpeRatio {JFE} | R Documentation |
Omega-Sharpe ratio of the return distribution
Description
The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.
Usage
OmegaSharpeRatio(R, MAR = 0)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
MAR |
Minimum Acceptable Return, in the same periodicity as your returns |
Details
To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.
OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}
where n is the number of observations of the entire series
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.95
See also package PerformanceAnalytics.
Examples
data(assetReturns)
R=assetReturns[, -29]
OmegaSharpeRatio(R)