Downside Summary: Statistics and ratios

Table of Monthly downside risk, Annualised downside risk, Downside potential, Omega, Sortino ratio, Upside potential, Upside potential ratio and Omega-Sharpe ratio

table.DownsideRiskRatio(R, MAR = 0, scale = NA, digits = 4)

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
scale	number of periods in a year (daily scale = 252, monthly scale =
digits	number of digits to round results to

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.98

See also

CalmarRatio BurkeRatio PainIndex UlcerIndex PainRatio MartinRatio

Examples

data(managers)
table.DownsideRiskRatio(managers[,1:8])
#>                            HAM1   HAM2   HAM3   HAM4   HAM5   HAM6 EDHEC LS EQ
#> Monthly downside risk    0.0145 0.0116 0.0174 0.0341 0.0304 0.0121      0.0098
#> Annualised downside risk 0.0504 0.0401 0.0601 0.1180 0.1054 0.0421      0.0341
#> Downside potential       0.0051 0.0061 0.0079 0.0159 0.0145 0.0054      0.0041
#> Omega                    3.1907 3.3041 2.5803 1.6920 1.2816 3.0436      3.3186
#> Sortino ratio            0.7649 1.2220 0.7172 0.3234 0.1343 0.9102      0.9691
#> Upside potential         0.0162 0.0203 0.0203 0.0269 0.0186 0.0165      0.0137
#> Upside potential ratio   0.7503 2.2078 1.0852 0.8009 0.7557 1.0003      1.1136
#> Omega-sharpe ratio       2.1907 2.3041 1.5803 0.6920 0.2816 2.0436      2.3186
#>                          SP500 TR
#> Monthly downside risk      0.0283
#> Annualised downside risk   0.0980
#> Downside potential         0.0132
#> Omega                      1.6581
#> Sortino ratio              0.3064
#> Upside potential           0.0218
#> Upside potential ratio     0.7153
#> Omega-sharpe ratio         0.6581

require("Hmisc")
#> Loading required package: Hmisc
#> Warning: there is no package called ‘Hmisc’
result = t(table.DownsideRiskRatio(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
#> Error in format.df(result, na.blank = TRUE, numeric.dollar = FALSE, cdec = c(3,     3, 1)): could not find function "format.df"
title(main="Downside risk statistics")
#> Error in title(main = "Downside risk statistics"): plot.new has not been called yet