pt.sortino {YRmisc} | R Documentation |
The Sortino ratio is an analog to the sharp ratio, with standard deviation replaced by the downside deviation.
pt.sortino(r,p,n,rf)
r |
:a vector of a risk asset return |
p |
:target return, aka minimum acceptable return(MAR) |
n |
:number of years of asset return, used to calculate annualized return |
rf |
:risk free rate |
rtn <- runif(12, -1, 1)
pt.sortino(rtn,0.3,1,0.024)