sharpe: Compute Sharpe ratio

In PeerPerformance: Luck-Corrected Peer Performance Analysis in R

Compute Sharpe ratio

Description

Function which computes the Sharpe ratio.

Usage

sharpe(X, na.rm = TRUE)

Arguments

X	Vector (of length T) or matrix (of size T \times N) of returns for N funds. NA values are allowed.
na.rm	A logical value indicating whether NA values should be stripped before the computation. Default na.rm = TRUE

Details

The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds.

Value

A scalar or a vector (of size N) with the Sharpe ratios.

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97–104. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.frl.2015.02.008")}

Ardia, D., Boudt, K. (2016). The Peer Ratios Performance of Hedge Funds. Working paper. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2139/ssrn.2000901")}

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49–58. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.3905/jpm.1994.409501")}

See Also

sharpeTesting, sharpeScreening and msharpe.

Examples

## Load the data
data('hfdata')

## Compute the Sharpe ratio
out = sharpe(hfdata)
print(out)

out = sharpe(hfdata, na.rm = FALSE)
print(out)

PeerPerformance documentation built on April 4, 2025, 12:51 a.m.