Skewness-Kurtosis ratio of the return distribution

Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.

SkewnessKurtosisRatio(R, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
…

any other passthru parameters

Details

It is used in conjunction with the Sharpe ratio to rank portfolios. The higher the rate the better. $$ SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}$$

where \(S\) is the skewness and \(K\) is the Kurtosis

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100

Examples


data(portfolio_bacon)
print(SkewnessKurtosisRatio(portfolio_bacon[,1])) #expected -0.034
#> [1] -0.03394204

data(managers)
print(SkewnessKurtosisRatio(managers['1996']))
#>                             HAM1      HAM2       HAM3       HAM4 HAM5 HAM6
#> SkewnessKurtosisRatio -0.1364114 0.1279073 -0.3322627 -0.0264609   NA   NA
#>                       EDHEC LS EQ    SP500 TR   US 10Y TR   US 3m TR
#> SkewnessKurtosisRatio          NA -0.03981589 -0.01634447 -0.2626715
print(SkewnessKurtosisRatio(managers['1996',1]))
#> [1] -0.1364114