# sharpe

0th

Percentile

##### 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.

sterling

• sharpe
##### Examples
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sharpe(dax)
sharpe(ftse)
Documentation reproduced from package tseries, version 0.9-14, License: GPL (see file COPYING)

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