PerformanceAnalytics (version 1.1.0)

DownsideFrequency: downside frequency of the return distribution

Description

To calculate Downside Frequency, we take the subset of returns that are less than the target (or Minimum Acceptable Returns (MAR)) returns and divide the length of this subset by the total number of returns.

Usage

DownsideFrequency(R, MAR = 0, ...)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

MAR

Minimum Acceptable Return, in the same periodicity as your returns

...

any other passthru parameters

Details

$$DownsideFrequency(R , MAR) = \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]}{R_{t}*n}$$

where $n$ is the number of observations of the entire series

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.94

Examples

data(portfolio_bacon)
MAR = 0.005
print(DownsideFrequency(portfolio_bacon[,1], MAR)) #expected 0.458

data(managers)
print(DownsideFrequency(managers['1996']))
print(DownsideFrequency(managers['1996',1])) #expected 0.25