f_SR: Function computing the Sharpe ratio or one of its modified...

In DiversificationR: Econometric Tools to Measure Portfolio Diversification

Description

This function computes the Sharpe ratio (SR) or one of its modified version (mSR) from two vectors of financial returns (a given portfolios and its benchmark).

Usage

f_SR(v_input_data_portfolio, v_input_data_benchmark, c_input_method, input_prob)

Arguments

v_input_data_portfolio	A vector of numerical values (returns)
v_input_data_benchmark	A vector of numerical values (returns)
c_input_method	A vector of characters (method)
input_prob	A numerical value (probability)

Value

result

A numeric value

Author(s)

Jean-Baptiste Hasse

References

Bali, Turan G., Stephen J. Brown, and K. Ozgur Demirtas. "Do hedge funds outperform stocks and bonds?." Management Science 59.8 (2013): 1887-1903.

Favre, Laurent, and José-Antonio Galeano. "Mean-modified value-at-risk optimization with hedge funds." The journal of alternative investments 5.2 (2002): 21-25.

Gregoriou, Greg N., and Jean-Pierre Gueyie. "Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio." The Journal of wealth management 6.3 (2003): 77-83.

Sharpe, William F. "The sharpe ratio." Journal of Portfolio Management 21.1 (1994): 49-58.

Sharpe, William F. "Mutual fund performance." The Journal of business 39.1 (1966): 119-138.

Examples

# NOT RUN {

  # Load data
  data("data_efficient_portfolios_returns")

  # Prepare data
  v_port <- data_efficient_portfolios_returns[,2]
  v_bench <- data_efficient_portfolios_returns[,1]
  v_rf <- v_bench


  # Compute the Reward-to-Variablity Ratio as in Sharpe (1966)
  f_SR(v_port, v_rf, "", 0.95)

  # Compute the Sharpe ratio as in Sharpe (1994)
  f_SR(v_port, v_bench, "S", 0.95)

  # Compute the modified Sharpe ratio as in Favre and Galeano (2002) and Gregoriou and Gueyie (2003)
  f_SR(v_port, v_bench, "FG-GG", 0.95)

  # Compute the modified Sharpe ratio as in Bali et al. (2013)
  f_SR(v_port, v_bench, "BBD", 0.95)

# }

DiversificationR documentation built on Feb. 11, 2021, 5:05 p.m.