Downside Sharpe Ratio

DownsideSharpeRatio computation with standard errors

Usage

DownsideSharpeRatio(R, rf = 0, SE = FALSE, SE.control = NULL, ...)

Arguments

R

Data of returns for one or multiple assets or portfolios.

rf

Risk-free interest rate.

SE

TRUE/FALSE whether to ouput the standard errors of the estimates of the risk measures, default FALSE.

SE.control

Control parameters for the computation of standard errors. Should be done using the RPESE.control function.

...

Additional parameters.

Value

A vector or a list depending on se.method.

Details

The Downside Sharpe Ratio (DSR) is a short name for what Ziemba (2005) called the "Symmetric Downside Risk Sharpe Ratio" and is defined as the ratio of the mean excess return to the square root of lower semivariance:

$$\frac{\overline{(R_{a}-R_{f})}}{\sqrt{2}SemiSD(R_a)}$$.

References

Ziemba, W. T. (2005). The symmetric downside-risk Sharpe ratio. The Journal of Portfolio Management, 32(1), 108-122.

Author

Anthony-Alexander Christidis, anthony.christidis@stat.ubc.ca

Examples

# Loading data from PerformanceAnalytics
data(edhec, package = "PerformanceAnalytics")
class(edhec)
#> [1] "xts" "zoo"
# Changing the data colnames
names(edhec) = c("CA", "CTA", "DIS", "EM", "EMN",
                 "ED", "FIA", "GM", "LS", "MA",
                 "RV", "SS", "FOF")
# Compute Rachev ratio for managers data
DownsideSharpeRatio(edhec)
#>                              CA       CTA       DIS        EM       EMN
#> Downside Sharpe Ratio 0.3001809 0.1951633 0.3315969 0.1866442 0.4720935
#>                              ED       FIA       GM        LS        MA
#> Downside Sharpe Ratio 0.3074177 0.3155078 0.426225 0.3055217 0.4428818
#>                              RV          SS       FOF
#> Downside Sharpe Ratio 0.4168768 -0.03014276 0.2668157