downside frequency of the return distribution
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.
DownsideFrequency(R, MAR = 0, ...)
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 |
DownsideFrequency(R, MAR) = length(subset of returns below MAR) / length(total returns)
where n is the number of observations of the entire series
Matthieu Lestel
Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.94
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
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