MartinRatio: Martin ratio of the return distribution
Description
To calculate Martin ratio we divide the difference of the
portfolio return and the risk free rate by the Ulcer
index
Usage
MartinRatio(R, Rf = 0, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
Rf
risk free rate, in same period as your returns
...
any other passthru parameters
Details
$$Martin ratio = \frac{r_P -
r_F}{\sqrt{\sum^{n}_{i=1} \frac{{D'_i}^2}{n}}}$$
where $r_P$ is the annualized portfolio return,
$r_F$ is the risk free rate, $n$ is the number of
observations of the entire series, $D'_i$ is the
drawdown since previous peak in period i
References
Carl Bacon, Practical portfolio performance
measurement and attribution, second edition 2008 p.91