PerformanceAnalytics (version 2.0.8)

MartinRatio: Martin ratio of the return distribution

Description

To calculate Martin ratio we divide the difference of the portfolio return and the risk free rate by the Ulcer index

Usage

MartinRatio(R, Rf = 0, ...)

Arguments

R

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

Rf

risk free rate, in same period as your returns

...

any other passthru parameters

Author

Matthieu Lestel

Details

$$Martin ratio = \frac{r_P - r_F}{\sqrt{\sum^{n}_{i=1} \frac{{D'_i}^2}{n}}}$$

where \(r_P\) is the annualized portfolio return, \(r_F\) is the risk free rate, \(n\) is the number of observations of the entire series, \(D'_i\) is the drawdown since previous peak in period i

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.91

Examples

data(portfolio_bacon)
print(MartinRatio(portfolio_bacon[,1])) #expected 1.70

data(managers)
print(MartinRatio(managers['1996']))
print(MartinRatio(managers['1996',1]))