DownsideFrequency {PerformanceAnalytics} | R Documentation |
downside frequency of the return distribution
Description
To calculate Downside Frequency, we take the subset of returns that are less than the target (or Minimum Acceptable Returns (MAR)) returns and divide the length of this subset by the total number of returns.
Usage
DownsideFrequency(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 |
... |
any other passthru parameters |
Details
where is the number of observations of the entire series
Author(s)
Matthieu Lestel
References
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.94
Examples
data(portfolio_bacon)
MAR = 0.005
print(DownsideFrequency(portfolio_bacon[,1], MAR)) #expected 0.458
data(managers)
print(DownsideFrequency(managers['1996']))
print(DownsideFrequency(managers['1996',1])) #expected 0.25
[Package PerformanceAnalytics version 2.0.4 Index]