This function computes the Sterling ratio of the univariate time series
- a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.
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
- a double representing the Sterling ratio.
data(EuStockMarkets) dax <- log(EuStockMarkets[,"DAX"]) ftse <- log(EuStockMarkets[,"FTSE"]) sterling(dax) sterling(ftse)