JFE (version 2.5.9)

M2Sortino: M squared for Sortino of the return distribution

Description

M squared for Sortino is a M^2 calculated for Downside risk instead of Total Risk

Usage

M2Sortino(Ra, Rb, MAR = 0)

Arguments

Ra

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

Rb

return vector of the benchmark asset

MAR

the minimum acceptable return

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

Details

$$M^2_S = r_P + Sortino ratio * (\sigma_{DM} - \sigma_D)$$

where \(M^2_S\) is MSquared for Sortino, \(r_P\) is the annualised portfolio return, \(\sigma_{DM}\) is the benchmark annualised downside risk and \(D\) is the portfolio annualised downside risk

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.102-103
See aslo package PerformanceAnalytics.

Examples

  data(assetReturns)
	Ra=assetReturns[, -29]
	Rb=assetReturns[,29] #DJI

M2Sortino(Ra, Rb, MAR=0)