msharpe | R Documentation |
Function which computes the modified Sharpe ratio
msharpe(X, level = 0.9, na.rm = TRUE, na.neg = TRUE)
X |
Vector (of length |
level |
Modified Value-at-Risk level. Default: |
na.rm |
A logical value indicating whether |
na.neg |
A logical value indicating whether |
The modified Sharpe ratio (Favre and Galeano 2002) is one industry standard for measuring the absolute risk adjusted performance of hedge funds.
Scalar or a vector (of size N
) with the modified Sharpe
ratios.
David Ardia and Kris Boudt.
Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, 97–104.
Ardia, D., Boudt, K. (2018). The peer performance ratios of hedge Funds. Journal of Banking and Finance 87, 351–368.
Favre, L., Galeano, J.A. (2002). Mean-modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investments 5(2), 21–25.
Gregoriou, G. N., Gueyie, J.-P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. Journal of Wealth Management 6(3), 77–83.
msharpeTesting
, msharpeScreening
and
sharpe
.
## Load the data (randomized data of monthly hedge fund returns)
data('hfdata')
out = msharpe(hfdata)
print(out)
out = msharpe(hfdata, na.rm = FALSE)
print(out)
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