Sortino {matiming} | R Documentation |
This function computes the Sortino ratio
Sortino(x)
x |
the vector of excess returns |
the Sortino ratio (a scalar)
Sortino, F.A. and Price, L.N. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3 (3), 59-64.
Other performance measures:
Excret()
,
Sharpe()