PortfolioEffectHFT (version 1.7)

omega_ratio: Omega Ratio

Description

Computes Omega Ratio of a portfolio. Computation employs distribution's skewness and kurtosis to account for non-normality.

Usage

omega_ratio(asset, thresholdReturn)

Arguments

asset

Portfolio or Position object created using portfolio_create( ) or position_add( ) function

thresholdReturn

Return value to be used as a cut-off point

Value

See Also

sharpe_ratio sortino_ratio calmar_ratio

Examples

## Not run: 
# data(aapl.data) 
# data(goog.data) 
# data(spy.data) 
# portfolio=portfolio_create(priceDataIx=spy.data)
# portfolio_settings(portfolio,windowLength = '3600s',resultsSamplingInterval='60s')
# positionGOOG=position_add(portfolio,'GOOG',100,priceData=goog.data)   
# positionAAPL=position_add(portfolio,'AAPL',300,priceData=aapl.data) 
# result=compute(omega_ratio(portfolio,0.05),omega_ratio(positionGOOG,0.05),
# omega_ratio(positionAAPL,0.05)) 
# plot(omega_ratio(portfolio,0.05),omega_ratio(positionGOOG,0.05),
# omega_ratio(positionAAPL,0.05),legend=c('Portfolio','GOOG','AAPL'),title='Omega Ratio')
# 
# dateStart = "2014-11-17 09:30:00"
# dateEnd = "2014-11-17 16:00:00"
# portfolio=portfolio_create(dateStart,dateEnd)
# portfolio_settings(portfolio,portfolioMetricsMode="price",windowLength = '3600s',
# resultsSamplingInterval='60s')
# positionAAPL=position_add(portfolio,'AAPL',100)
# positionC=position_add(portfolio,'C',300) 
# positionGOOG=position_add(portfolio,'GOOG',150) 
# result=compute(omega_ratio(positionC,0.05),omega_ratio(positionGOOG,0.05),
# omega_ratio(positionAAPL,0.05)) 
# plot(omega_ratio(positionC,0.05),omega_ratio(positionGOOG,0.05),
# omega_ratio(positionAAPL,0.05),legend=c('C','GOOG','AAPL'),title='Omega Ratio')
# ## End(Not run)