Omega excess return of the return distribution
Omega excess return is another form of downside risk-adjusted return. It is calculated by multiplying the downside variance of the style benchmark by 3 times the style beta.
OmegaExcessReturn(Ra, Rb, MAR = 0, ...)
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
MAR |
the minimum acceptable return |
... |
any other passthru parameters |
OmegaExcessReturn = Portfolio return - 3*style beta*style benchmark variance squared
where ω is omega excess return, β_S is style beta, σ_D is the portfolio annualised downside risk and σ_{MD} is the benchmark annualised downside risk.
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.103
data(portfolio_bacon) MAR = 0.005 print(OmegaExcessReturn(portfolio_bacon[,1], portfolio_bacon[,2], MAR)) #expected 0.0805 data(managers) MAR = 0 print(OmegaExcessReturn(managers['1996',1], managers['1996',8], MAR)) print(OmegaExcessReturn(managers['1996',1:5], managers['1996',8], MAR))
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