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.
where is the number of observations of the entire series,
is the number of observations less than zero,
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