MSquared {PerformanceAnalytics} | R Documentation |
M squared of the return distribution
Description
M squared is a risk adjusted return useful to judge the size of relative performance between differents portfolios. With it you can compare portfolios with different levels of risk.
Usage
MSquared(Ra, Rb, Rf = 0, ...)
Arguments
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset return |
Rb |
return vector of the benchmark asset |
Rf |
risk free rate, in same period as your returns |
... |
any other passthru parameters |
Details
where is the portfolio return annualized,
is the market
risk and
is the portfolio risk
Author(s)
Matthieu Lestel
References
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.67-68
Examples
data(portfolio_bacon)
print(MSquared(portfolio_bacon[,1], portfolio_bacon[,2])) #expected 0.10062
data(managers)
print(MSquared(managers['1996',1], managers['1996',8]))
print(MSquared(managers['1996',1:5], managers['1996',8]))
[Package PerformanceAnalytics version 2.0.4 Index]