Forked from StuartGordonReid/PartialMomentsAdjustedReturns.py
Created
January 5, 2021 00:47
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Risk adjusted returns based on Lower Partial Moments
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| """ | |
| 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)) |
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