sterling

From tseries v0.10-48 by Kurt Hornik

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.

Examples

# NOT RUN {
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sterling(dax)
sterling(ftse)
# }

Documentation reproduced from package tseries, version 0.10-48, License: GPL-2

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