ProspectRatio {PerformanceAnalytics} | R Documentation |
Prospect ratio of the return distribution
Description
Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain
Usage
ProspectRatio(R, MAR, ...)
Arguments
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
MAR |
the minimum acceptable return |
... |
any other passthru parameters |
Details
where is the number of observations of the entire series, MAR is the minimum acceptable return and
is the downside risk
Author(s)
Matthieu Lestel
References
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
Examples
data(portfolio_bacon)
MAR = 0.05
print(ProspectRatio(portfolio_bacon[,1], MAR)) #expected -0.134
data(managers)
MAR = 0
print(ProspectRatio(managers['1996'], MAR))
print(ProspectRatio(managers['1996',1], MAR))
[Package PerformanceAnalytics version 2.0.4 Index]