pt.m2 {YRmisc}

Modigliani risk-adjusted performance

Description

Modigliani risk-adjusted performance is a financial measure of risk-adjusted returns of a portfolio. It measures the returns of the portfolio after adjusting it relative to some benchmark.

Usage

pt.m2(pr,br,rf)

Arguments

pr

:portfolio return

br

:benchmark return

rf

:risk free rate

Examples

prtn <- runif(12,-1,1)
brtn <- runif(12,-1,1)
rf <- 0.024
pt.m2(prtn,brtn,rf)