Sortino {matiming}R Documentation

Computes the Sortino ratio

Description

This function computes the Sortino ratio

Usage

Sortino(x)

Arguments

x

the vector of excess returns

Value

the Sortino ratio (a scalar)

References

Sortino, F.A. and Price, L.N. (1994). Performance measurement in a downside risk framework. Journal of Investing, 3 (3), 59-64.

See Also

Other performance measures: Excret(), Sharpe()


[Package matiming version 1.0 Index]