pt.sortino {YRmisc}

Sortino ratio

Description

The Sortino ratio is an analog to the sharp ratio, with standard deviation replaced by the downside deviation.

Usage

pt.sortino(r,p,n,rf)

Arguments

r

:a vector of a risk asset return

p

:target return, aka minimum acceptable return(MAR)

n

:number of years of asset return, used to calculate annualized return

rf

:risk free rate

Examples

rtn <- runif(12, -1, 1)
pt.sortino(rtn,0.3,1,0.024)