sortino {stocks} | R Documentation |
Calculates Sortino ratio from vector of gains or prices. The formula is:
(mean(gains) - rf) / sd(gains[gains < 0])
, where rf
is some
risk-free rate of return.
sortino(gains = NULL, prices = NULL, rf = 0)
gains |
Numeric matrix with 1 column of gains for each investment (can be a vector if there is only one). |
prices |
Numeric matrix with 1 column of prices for each investment (can be a vector if there is only one). |
rf |
Numeric value. |
Numeric value or vector.
# Simulate daily 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(stock.gains)