sharpe
From tseries v0.10-24
by Kurt Hornik
Sharpe Ratio
This function computes the Sharpe ratio of the univariate time series
(or vector) x
.
- Keywords
- ts
Usage
sharpe(x, r = 0, scale = sqrt(250))
Arguments
- x
- a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.
- r
- the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return.
- scale
- a scale factor. Default corresponds to an annualization when working with daily financial time series data.
Details
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.
Value
- a double representing the Sharpe ratio.
See Also
Examples
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sharpe(dax)
sharpe(ftse)
Community examples
Looks like there are no examples yet.