# sharpe

From tseries v0.9-19
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)
```

*Documentation reproduced from package tseries, version 0.9-19, License: GPL (see file COPYING)*

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