OmegaSharpeRatio {PerformanceAnalytics} | R Documentation |
Omega-Sharpe ratio of the return distribution
Description
The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.
Usage
OmegaSharpeRatio(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
To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.
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.95
Examples
data(portfolio_bacon)
MAR = 0.005
print(OmegaSharpeRatio(portfolio_bacon[,1], MAR)) #expected 0.29
MAR = 0
data(managers)
print(OmegaSharpeRatio(managers['1996'], MAR))
print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60
[Package PerformanceAnalytics version 2.0.4 Index]