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Description
Description
When using SortinoRatio(Stats_Data$EQ, MAR = Stats_Data$RF), I got the following error:
Error in DownsideDeviation(R, MAR) :
dims [product 71] do not match the length of object [197]
In addition: Warning message:
In MAR - r :
longer object length is not a multiple of shorter object length
Stats_Data is a grouped tibble and EQ and RF are columns with equity and risk-free returns, resp. They are numerical, of equal length and without any NAs.
The same error occurs with randomly generated data (see below).
Expected behavior
I would have expected an output as the one returned for MAR = 0:
SortinoRatio(Stats_Data$EQ, MAR = 0)
[,1]
Sortino Ratio (MAR = 0%) 0.6913074
Minimal, reproducible example
On randomly generated data:
Rand_EQ <- rnorm(100) # Random returns
Rand_RF <- rnorm(100, mean = 0.01) # Random benchmark returns
DownsideDeviation(Rand_EQ, MAR = 0) # Results in 0.5808906
DownsideDeviation(Rand_EQ, MAR = Rand_RF) # Results in error
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