| DRatio {PerformanceAnalytics} | R Documentation |
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 |
... |
any other passthru parameters |
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)
Matthieu Lestel
References
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.95
Examples
data(portfolio_bacon)
print(DRatio(portfolio_bacon[,1])) #expected 0.401
data(managers)
print(DRatio(managers['1996']))
print(DRatio(managers['1996',1])) #expected 0.0725