Risk adjusted returns based on Lower Partial Moments

PartialMomentsAdjustedReturns.py

"""
Note that this Gist uses functions made available in another Gist -
https://gist.github.com/StuartGordonReid/67a1ec4fbc8a84c0e856
"""


def omega_ratio(er, returns, rf, target=0):
    return (er - rf) / lpm(returns, target, 1)
 
 
def sortino_ratio(er, returns, rf, target=0):
    return (er - rf) / math.sqrt(lpm(returns, target, 2))
 
 
def kappa_three_ratio(er, returns, rf, target=0):
    return (er - rf) / math.pow(lpm(returns, target, 3), float(1/3))
 
 
def gain_loss_ratio(returns, target=0):
    return hpm(returns, target, 1) / lpm(returns, target, 1)
 
 
def upside_potential_ratio(returns, target=0):
    return hpm(returns, target, 1) / math.sqrt(lpm(returns, target, 2))