Prospect ratio of the return distribution
Prospect ratio is a ratio used to penalise loss since most people feel loss greater than gain
ProspectRatio(R, MAR, ...)
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
MAR |
the minimum acceptable return |
... |
any other passthru parameters |
ProspectRatio(R) = (1/n * sum(Max(ri,0) + 2.25 * Min(ri,0)) - MAR) / DownsideRisk
where n is the number of observations of the entire series, MAR is the minimum acceptable return and σ_D is the downside risk
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.100
data(portfolio_bacon) MAR = 0.05 print(ProspectRatio(portfolio_bacon[,1], MAR)) #expected -0.134 data(managers) MAR = 0 print(ProspectRatio(managers['1996'], MAR)) print(ProspectRatio(managers['1996',1], MAR))
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