PeerPerformance (version 2.2.5)

sharpe: Compute Sharpe ratio

Description

Function which computes the Sharpe ratio.

Usage

sharpe(X, na.rm = TRUE)

Arguments

X

Vector (of lenght \(T\)) or matrix (of size \(T \times N\)) of returns for \(N\) funds. NA values are allowed.

na.rm

A logical value indicating whether NA values should be stripped before the computation. Default na.rm = TRUE

Value

A scalar or a vector (of size \(N\)) with the Sharpe ratios.

Details

The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97--104. 10.1016/j.frl.2015.02.008

Ardia, D., Boudt, K. (2016). The Peer Ratios Performance of Hedge Funds. Working paper. 10.2139/ssrn.2000901

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49--58. 10.3905/jpm.1994.409501

See Also

sharpeTesting, sharpeScreening and msharpe.

Examples

# NOT RUN {
## Load the data
data('hfdata')

## Compute the Sharpe ratio
out = sharpe(hfdata)
print(out)

out = sharpe(hfdata, na.rm = FALSE)
print(out)
# }