SharpeR (version 1.1.0)

summary: Summarize a Sharpe, or (delta) optimal Sharpe object.

Description

Computes a ‘summary’ of an object, adding in some statistics.

Usage

summary(obj)
# S3 method for sr
summary(obj)
# S3 method for sropt
summary(obj)

Arguments

obj

an object of class sr, sropt or del_sropt.

Value

When an sr object is input, the object cast to class summary.sr with some additional fields:

tval

the equivalent t-statistic.

pval

the p-value under the null.

serr

the standard error of the Sharpe ratio.

When an sropt object is input, the object cast to class summary.sropt with some additional fields:

pval

the p-value under the null.

SRIC

the SRIC value, see sric.

Details

Enhances an object of class sr, sropt or del_sropt to also include t- or T-statistics, p-values, and so on.

References

Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. http://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html

See Also

print.sr.

Other sr: as.sr, confint.sr, dsr, is.sr, plambdap, power.sr_test, predint, print.sr, reannualize, se, sr_equality_test, sr_test, sr_unpaired_test, sr_vcov, sr

Examples

# NOT RUN {
# Sharpe's 'model': just given a bunch of returns.
set.seed(1234)
asr <- as.sr(rnorm(253*3),ope=253)
summary(asr)
# }