[Returnanalytics-commits] r2093 - in pkg/PerformanceAnalytics: R man

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

Author: matthieu_lestel
Date: 2012-06-29 22:56:57 +0200 (Fri, 29 Jun 2012)
New Revision: 2093

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

Added: pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R	2012-06-29 20:56:57 UTC (rev 2093)
@@ -0,0 +1,73 @@
+#' Omega-Sharpe ratio of the return distribution
+#'
+#' The omega ratio is a conversion of the omega ratio to a ranking statistic 
+#' in familiar form to the Sharpe ratio.
+#'
+#' To calculate the Omega-Sharpe ration we subtract the target (or Minimum
+#' Acceptable Returns (MAR)) return from the portfolio return and we divide
+#' it by the opposite of the Downside Deviation.
+#'
+#' \deqn{OmegaSharpeRatio(R,MAR) = \frac{r_p - r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}}
+#' {OmegaSharpeRatio(R,MAR) = (Rp - Rt) / -DownsidePotential(R,MAR)}
+#'
+#' where \eqn{n} is the number of observations of the entire series
+#' 
+#' @aliases OmegaSharpeRatio
+#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of
+#' asset returns
+#' @param MAR Minimum Acceptable Return, in the same periodicity as your
+#' returns
+#' @param method one of "full" or "subset", indicating whether to use the
+#' length of the full series or the length of the subset of the series below
+#' the MAR as the denominator, defaults to "subset"
+#' @param \dots any other passthru parameters
+#' @author Matthieu Lestel
+#' @references Carl Bacon, \emph{Practical portfolio performance measurement 
+#' and attribution}, second edition 2008, p.95
+#' 
+#' @keywords ts multivariate distribution models
+#' @examples
+#'
+#' data(portfolio_bacon)
+#' MAR = 0.5
+#' print(OmegaSharpeRatio(portfolio_bacon, MAR)) #expected 0.29
+#'
+#' MAR = 0
+#' data(managers)
+#' print(OmegaSharpeRatio(managers['1996'], MAR))
+#' print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60
+#'
+#' @export 
+
+OmegaSharpeRatio <-
+function (R, MAR = 0, ...)
+{
+    R0 <- R
+    R = checkData(R, method="matrix")
+
+    if (ncol(R)==1 || is.null(R) || is.vector(R)) {
+       R = na.omit(R)
+       r = subset(R, R > MAR)
+
+        if(!is.null(dim(MAR))){
+            if(is.timeBased(index(MAR))){
+                MAR <-MAR[index(r)] #subset to the same dates as the R data
+            } 
+	    else{
+                MAR = mean(checkData(MAR, method = "vector"))
+                # we have to assume that Ra and a vector of Rf passed in for MAR both cover the same time period
+            }
+        }
+	result = (UpsideRisk(R,MAR,stat="potential") - DownsidePotential(R,MAR))/(DownsidePotential(R,MAR))
+	reclass(result, R0)
+        return(result)
+    }
+    else {
+        R = checkData(R)
+        result = apply(R, MARGIN = 2, OmegaSharpeRatio, MAR = MAR, ...)
+        result<-t(result)
+        colnames(result) = colnames(R)
+        rownames(result) = paste("OmegaSharpeRatio (MAR = ",MAR,"%)", sep="")
+        return(result)
+    }
+}
\ No newline at end of file

Added: pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd	                        (rev 0)
+++ pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd	2012-06-29 20:56:57 UTC (rev 2093)
@@ -0,0 +1,60 @@
+\name{OmegaSharpeRatio}
+\alias{OmegaSharpeRatio}
+\title{Omega-Sharpe ratio of the return distribution}
+\usage{
+  OmegaSharpeRatio(R, MAR = 0, ...)
+}
+\arguments{
+  \item{R}{an xts, vector, matrix, data frame, timeSeries
+  or zoo object of asset returns}
+
+  \item{MAR}{Minimum Acceptable Return, in the same
+  periodicity as your returns}
+
+  \item{method}{one of "full" or "subset", indicating
+  whether to use the length of the full series or the
+  length of the subset of the series below the MAR as the
+  denominator, defaults to "subset"}
+
+  \item{\dots}{any other passthru parameters}
+}
+\description{
+  The omega ratio is a conversion of the omega ratio to a
+  ranking statistic in familiar form to the Sharpe ratio.
+}
+\details{
+  To calculate the Omega-Sharpe ration we subtract the
+  target (or Minimum Acceptable Returns (MAR)) return from
+  the portfolio return and we divide it by the opposite of
+  the Downside Deviation.
+
+  \deqn{OmegaSharpeRatio(R,MAR) = \frac{r_p -
+  r_t}{\sum^n_{t=1}\frac{max(r_t - r_i, 0)}{n}}}
+  {OmegaSharpeRatio(R,MAR) = (Rp - Rt) /
+  -DownsidePotential(R,MAR)}
+
+  where \eqn{n} is the number of observations of the entire
+  series
+}
+\examples{
+data(portfolio_bacon)
+MAR = 0.5
+print(OmegaSharpeRatio(portfolio_bacon, MAR)) #expected 0.29
+
+MAR = 0
+data(managers)
+print(OmegaSharpeRatio(managers['1996'], MAR))
+print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60
+}
+\author{
+  Matthieu Lestel
+}
+\references{
+  Carl Bacon, \emph{Practical portfolio performance
+  measurement and attribution}, second edition 2008, p.95
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+