[Returnanalytics-commits] r2098 - in pkg/PerformanceAnalytics: R man

[noreply at r-forge.r-project.org]

Author: matthieu_lestel
Date: 2012-07-02 17:07:25 +0200 (Mon, 02 Jul 2012)
New Revision: 2098

Added:
   pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R
   pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd
Log:
SkewnessKurtosisRatio with examples and documentation

Added: pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R	2012-07-02 15:07:25 UTC (rev 2098)
@@ -0,0 +1,53 @@
+#' Skewness-Kurtosis ratio of the return distribution
+#'
+#' Skewness-Kurtosis ratio is the division of Skewness by Kurtosis.
+#' 
+#' It is used in conjunction with the Sharpe ratio to rank portfolios.
+#' The higher the rate the better.
+#'
+#' \deqn{ SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}}
+#' {SkewnessKurtosisRatio(R, MAR) = S/K}
+#'
+#' where \eqn{S} is the skewness and \eqn{K} is the Kurtosis
+#'
+#' @aliases Skewness-Kurtosis ratio
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param \dots any other passthru parameters
+#' @author Matthieu Lestel
+#' @references Carl Bacon, \emph{Practical portfolio performance measurement 
+#' and attribution}, second edition 2008 p.100
+#' 
+#' @keywords ts multivariate distribution models
+#' @examples
+#'
+#' data(portfolio_bacon)
+#' print(SkewnessKurtosisRatio(portfolio_bacon)) #expected 
+#'
+#' data(managers)
+#' print(SkewnessKurtosisRatio(managers['1996']))
+#' print(SkewnessKurtosisRatio(managers['1996',1])
+#'
+#' @export 
+
+SkewnessKurtosisRatio <-
+function (R, ...)
+{
+    R0 <- R
+    R = checkData(R, method="matrix")
+
+    if (ncol(R)==1 || is.null(R) || is.vector(R)) {
+       R = na.omit(R)
+	result = skewness(R) / kurtosis(R, method = "moment")
+	reclass(result, R0)
+        return(result)
+    }
+    else {
+        R = checkData(R)
+        result = apply(R, MARGIN = 2, SkewnessKurtosisRatio, ...)
+        result<-t(result)
+        colnames(result) = colnames(R)
+        rownames(result) = paste("SkewnessKurtosisRatio", sep="")
+        return(result)
+    }
+}
\ No newline at end of file

Added: pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd	2012-07-02 15:07:25 UTC (rev 2098)
@@ -0,0 +1,47 @@
+\name{SkewnessKurtosisRatio}
+\alias{ratio}
+\alias{Skewness-Kurtosis}
+\alias{SkewnessKurtosisRatio}
+\title{Skewness-Kurtosis ratio of the return distribution}
+\usage{
+  SkewnessKurtosisRatio(R, ...)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeSeries
+  or zoo object of asset returns}
+
+  \item{\dots}{any other passthru parameters}
+}
+\description{
+  Skewness-Kurtosis ratio is the division of Skewness by
+  Kurtosis.
+}
+\details{
+  It is used in conjunction with the Sharpe ratio to rank
+  portfolios. The higher the rate the better.
+
+  \deqn{ SkewnessKurtosisRatio(R , MAR) = \frac{S}{K}}
+  {SkewnessKurtosisRatio(R, MAR) = S/K}
+
+  where \eqn{S} is the skewness and \eqn{K} is the Kurtosis
+}
+\examples{
+data(portfolio_bacon)
+print(SkewnessKurtosisRatio(portfolio_bacon)) #expected
+
+data(managers)
+print(SkewnessKurtosisRatio(managers['1996']))
+print(SkewnessKurtosisRatio(managers['1996',1])
+}
+\author{
+  Matthieu Lestel
+}
+\references{
+  Carl Bacon, \emph{Practical portfolio performance
+  measurement and attribution}, second edition 2008 p.100
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+