Downside Summary: Statistics and ratios

Table of downside risk, Annualised downside risk, Downside potential, Omega, Sortino ratio, Upside potential, Upside potential ratio and Omega-Sharpe ratio

table.DownsideRiskRatio(R, MAR = 0, scale = NA, digits = 4)

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

scale

number of periods in a year (daily scale = 252, monthly scale =

digits

number of digits to round results to

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.98

See also

CalmarRatio
BurkeRatio
PainIndex
UlcerIndex
PainRatio
MartinRatio

Author

Matthieu Lestel

Examples

data(managers)
table.DownsideRiskRatio(managers[,1:8])
#>                            HAM1   HAM2   HAM3   HAM4   HAM5   HAM6 EDHEC LS EQ
#> monthly downside risk    0.0145 0.0116 0.0174 0.0341 0.0304 0.0121      0.0098
#> Annualised downside risk 0.0504 0.0401 0.0601 0.1180 0.1054 0.0421      0.0341
#> Downside potential       0.0051 0.0061 0.0079 0.0159 0.0145 0.0054      0.0041
#> Omega                    3.1907 3.3041 2.5803 1.6920 1.2816 3.0436      3.3186
#> Sortino ratio            0.7649 1.2220 0.7172 0.3234 0.1343 0.9102      0.9691
#> Upside potential         0.0162 0.0203 0.0203 0.0269 0.0186 0.0165      0.0137
#> Upside potential ratio   0.7503 2.2078 1.0852 0.8009 0.7557 1.0003      1.1136
#> Omega-sharpe ratio       2.1907 2.3041 1.5803 0.6920 0.2816 2.0436      2.3186
#>                          SP500 TR
#> monthly downside risk      0.0283
#> Annualised downside risk   0.0980
#> Downside potential         0.0132
#> Omega                      1.6581
#> Sortino ratio              0.3064
#> Upside potential           0.0218
#> Upside potential ratio     0.7153
#> Omega-sharpe ratio         0.6581

 # don't test on CRAN, since it requires Suggested packages

require("Hmisc")
result = t(table.DownsideRiskRatio(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Downside risk statistics")