sortino.ratio {stocks} | R Documentation |
Calculate Sortino ratio based on a vector of gains or prices. The formula is:
(mean(gains) - rf) / sd(negatives(gains))
. Here rf
is some risk-
free rate of return, gains
is a vector of gains (usually daily, but could
be any time interval), and negatives(gains)
gets the subset of gains that
are negative.
sortino.ratio(gains = NULL, prices = NULL, rf = 0, nas = FALSE)
gains |
Numeric vector of gains. |
prices |
Numeric vector of investment prices (typically daily closing prices). |
rf |
Risk-free rate of return hypothetically available to the investor. |
nas |
If |
Numeric value indicating the Sortino ratio.
Several definitions of Sortino ratio are commonly used; this simple version may or may not be the one you prefer.
Dane R. Van Domelen
Acknowledgment: This material is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0940903.
gains.rate
, prices.rate
, mdd
,
sharpe.ratio
, rrr
# Randomly generate daily stock gains over a 5-year period set.seed(123) stock.gains <- rnorm(252 * 5, 0.0005, 0.01) # Calculate Sortino ratio using risk-free return of 0 sortino.ratio(stock.gains)