sterling
From tseries v0.9-21
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.
See Also
Examples
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sterling(dax)
sterling(ftse)
Community examples
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