The d ratio is similar to the Bernado Ledoit ratio but
inverted and taking into account the frequency of
positive and negative returns.
Usage
DRatio(R, ...)
Arguments
R
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
...
any other passthru parameters
Details
It has values between zero and infinity. It can be used
to rank the performance of portfolios. The lower the d
ratio the better the performance, a value of zero
indicating there are no returns less than zero and a
value of infinity indicating there are no returns greater
than zero.
where $n$ is the number of observations of the entire
series, $n_{d}$ is the number of observations less
than zero, $n_{u}$ is the number of observations
greater than zero
References
Carl Bacon, Practical portfolio performance
measurement and attribution, second edition 2008 p.95