Kappa was defined as
,
Where
yt is return of subject for time period t,
rf is the investor�s minimum acceptable or threshold periodic return.
LPM (Lower Partial moment) was defined by Harlow [1991]. It is a downside risk measure.
Kappa generates Omega when N=1, Sortino Ratio when N=2, and Kappa (3) when N=3.
Kappa (3) using arithmetic Method:
Monthly,
Annualized,
