PerformanceAnalytics (version 2.0.8)

SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution

Description

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

Usage

SkewnessKurtosisRatio(R, ...)

Arguments

R

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

...

any other passthru parameters

Author

Matthieu Lestel

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

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