SkewnessKurtosisRatio {JFE}

Skewness-Kurtosis ratio of the return distribution

Description

Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.

Usage

SkewnessKurtosisRatio(R)

Arguments

R

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

Details

It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better.

SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}

where S is the skewness and K is the Kurtosis

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.100
See also package PerformanceAnalytics.

Examples

  data(assetReturns)
	R=assetReturns[, -29]
  SkewnessKurtosisRatio(R)