This function computes the Sharpe ratio of the univariate time series
sharpe(x, r = 0, scale = sqrt(250))
- a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.
- the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return.
- a scale factor. Default corresponds to an annualization when working with daily financial time series data.
The Sharpe ratio is defined as a portfolio's mean return in excess of the riskless return divided by the portfolio's standard deviation. In finance the Sharpe Ratio represents a measure of the portfolio's risk-adjusted (excess) return.
- a double representing the Sharpe ratio.
data(EuStockMarkets) dax <- log(EuStockMarkets[,"DAX"]) ftse <- log(EuStockMarkets[,"FTSE"]) sharpe(dax) sharpe(ftse)