PerformanceAnalytics (version 2.0.8)

OmegaSharpeRatio: Omega-Sharpe ratio of the return distribution

Description

The Omega-Sharpe ratio is a conversion of the omega ratio to a ranking statistic in familiar form to the Sharpe ratio.

Usage

OmegaSharpeRatio(R, MAR = 0, ...)

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

...

any other passthru parameters

Author

Matthieu Lestel

Details

To calculate the Omega-Sharpe ration we subtract the target (or Minimum Acceptable Returns (MAR)) return from the portfolio return and we divide it by the opposite of the Downside Deviation.

$$OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}$$

where \(n\) is the number of observations of the entire series

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008, p.95

Examples

data(portfolio_bacon)
MAR = 0.005
print(OmegaSharpeRatio(portfolio_bacon[,1], MAR)) #expected 0.29

MAR = 0
data(managers)
print(OmegaSharpeRatio(managers['1996'], MAR))
print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60