sterling

0th

Percentile

Sterling Ratio

This function computes the Sterling ratio of the univariate time series (or vector) x.

Keywords
ts
Usage
sterling(x)
Arguments
x
a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.
Details

The Sterling ratio is defined as a portfolio's overall return divided by the portfolio's maxdrawdown statistic. In finance the Sterling Ratio represents a measure of the portfolio's risk-adjusted return.

Value

  • a double representing the Sterling ratio.

See Also

maxdrawdown, sharpe

Aliases
  • sterling
Examples
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sterling(dax)
sterling(ftse)
Documentation reproduced from package tseries, version 0.10-18, License: GPL-2

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