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

Author

Matthieu Lestel

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