Bernardo and Ledoit ratio of the return distribution
To calculate Bernardo and Ledoit ratio we take the sum of the subset of returns that are above 0 and we divide it by the opposite of the sum of the subset of returns that are below 0
BernardoLedoitRatio(R, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
... |
any other passthru parameters |
BernardoLedoitRatio(R) = 1/n*sum(t=1..n)(max(R(t),0)) / 1/n*sum(t=1..n)(max(-R(t),0))
where n is the number of observations of the entire series
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.95
data(portfolio_bacon) print(BernardoLedoitRatio(portfolio_bacon[,1])) #expected 1.78 data(managers) print(BernardoLedoitRatio(managers['1996'])) print(BernardoLedoitRatio(managers['1996',1])) #expected 4.598
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