sharpe: Compute Sharpe ratio

In PeerPerformance: Luck-Corrected Peer Performance Analysis in R

Description

Function which computes the Sharpe ratio.

Usage

sharpe(X, na.rm = TRUE)

Arguments

X	Vector (of lenght T) or matrix (of size TxN) 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. doi: 10.1016/j.frl.2015.02.008

Ardia, D., Boudt, K. (2016). The Peer Ratios Performance of Hedge Funds. Working paper. doi: 10.2139/ssrn.2000901

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49–58. 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)

Example output

Loading required package: parallel
Loading required package: sandwich
Loading required package: lmtest
Loading required package: zoo

Attaching package: ‘zoo’

The following objects are masked from ‘package:base’:

    as.Date, as.Date.numeric

Loading required package: compiler
       Fund 1        Fund 2        Fund 3        Fund 4        Fund 5 
 0.0204749903 -0.0233936794  0.1093868513  0.1107314220  0.2097945323 
       Fund 6        Fund 7        Fund 8        Fund 9       Fund 10 
-0.0099152666 -0.1136212114 -0.0789624748 -0.0031077211  0.0652233839 
      Fund 11       Fund 12       Fund 13       Fund 14       Fund 15 
 0.1643600260  0.1729218776  0.1994784785  0.0769116839  0.1938170560 
      Fund 16       Fund 17       Fund 18       Fund 19       Fund 20 
-0.1403843793  0.0871264971  0.0123315705  0.2852349288  0.4143683879 
      Fund 21       Fund 22       Fund 23       Fund 24       Fund 25 
 0.4829322148  0.1892482159  0.3403929176  0.1014666313  0.1408483059 
      Fund 26       Fund 27       Fund 28       Fund 29       Fund 30 
 0.1192076144  0.0863957651  0.0230816705  0.3474730188  0.2385220719 
      Fund 31       Fund 32       Fund 33       Fund 34       Fund 35 
 0.2465967697  0.1405256191 -0.3333415765 -0.0424805893  0.1695258038 
      Fund 36       Fund 37       Fund 38       Fund 39       Fund 40 
 0.1150227452  0.1054539098  0.1358952274  0.1908372310  0.1357114160 
      Fund 41       Fund 42       Fund 43       Fund 44       Fund 45 
 0.2909112121  0.2531774526 -0.0019782730  0.0151427069  0.3900235261 
      Fund 46       Fund 47       Fund 48       Fund 49       Fund 50 
 0.0747995904  0.0783412772  0.1319013740  0.1676564404  0.3058057871 
      Fund 51       Fund 52       Fund 53       Fund 54       Fund 55 
 0.2932500127  0.0007046513  0.1591455919 -0.0070234431  0.2073709015 
      Fund 56       Fund 57       Fund 58       Fund 59       Fund 60 
-0.0112543026  0.0283251080  0.6373368809  0.1841739175  0.0690800126 
      Fund 61       Fund 62       Fund 63       Fund 64       Fund 65 
 0.0929447246  0.0375207129 -0.0037595883  0.1682885035  0.2367349247 
      Fund 66       Fund 67       Fund 68       Fund 69       Fund 70 
 0.3031610037  0.1420911111  0.1719719094  0.1149125635  0.2438669584 
      Fund 71       Fund 72       Fund 73       Fund 74       Fund 75 
-0.0569427463  0.0183185469  0.1654496285  0.1862133322  0.4216531035 
      Fund 76       Fund 77       Fund 78       Fund 79       Fund 80 
 0.1448356370  0.1875471835  0.3481811920  0.1932129269  0.3069433497 
      Fund 81       Fund 82       Fund 83       Fund 84       Fund 85 
-0.1117490792  0.0798272586  0.1643573278  0.2639175094  0.0568079399 
      Fund 86       Fund 87       Fund 88       Fund 89       Fund 90 
 0.1949140359  0.2429785764  0.4020222630  0.0119233179  0.1959106743 
      Fund 91       Fund 92       Fund 93       Fund 94       Fund 95 
 0.0544083199  0.0075420246  0.0375898038  0.1867042096  0.1660055159 
      Fund 96       Fund 97       Fund 98       Fund 99      Fund 100 
 0.2078633036  0.2355682286  0.2117466923  0.2254152758  0.2964196324 
       Fund 1        Fund 2        Fund 3        Fund 4        Fund 5 
 0.0204749903 -0.0233936794  0.1093868513  0.1107314220  0.2097945323 
       Fund 6        Fund 7        Fund 8        Fund 9       Fund 10 
-0.0099152666 -0.1136212114 -0.0789624748 -0.0031077211  0.0652233839 
      Fund 11       Fund 12       Fund 13       Fund 14       Fund 15 
 0.1643600260  0.1729218776  0.1994784785  0.0769116839  0.1938170560 
      Fund 16       Fund 17       Fund 18       Fund 19       Fund 20 
-0.1403843793  0.0871264971  0.0123315705  0.2852349288  0.4143683879 
      Fund 21       Fund 22       Fund 23       Fund 24       Fund 25 
 0.4829322148  0.1892482159  0.3403929176  0.1014666313  0.1408483059 
      Fund 26       Fund 27       Fund 28       Fund 29       Fund 30 
 0.1192076144  0.0863957651  0.0230816705  0.3474730188  0.2385220719 
      Fund 31       Fund 32       Fund 33       Fund 34       Fund 35 
 0.2465967697  0.1405256191 -0.3333415765 -0.0424805893  0.1695258038 
      Fund 36       Fund 37       Fund 38       Fund 39       Fund 40 
 0.1150227452  0.1054539098  0.1358952274  0.1908372310  0.1357114160 
      Fund 41       Fund 42       Fund 43       Fund 44       Fund 45 
 0.2909112121  0.2531774526 -0.0019782730  0.0151427069  0.3900235261 
      Fund 46       Fund 47       Fund 48       Fund 49       Fund 50 
 0.0747995904  0.0783412772  0.1319013740  0.1676564404  0.3058057871 
      Fund 51       Fund 52       Fund 53       Fund 54       Fund 55 
 0.2932500127  0.0007046513  0.1591455919 -0.0070234431  0.2073709015 
      Fund 56       Fund 57       Fund 58       Fund 59       Fund 60 
-0.0112543026  0.0283251080  0.6373368809  0.1841739175  0.0690800126 
      Fund 61       Fund 62       Fund 63       Fund 64       Fund 65 
 0.0929447246  0.0375207129 -0.0037595883  0.1682885035  0.2367349247 
      Fund 66       Fund 67       Fund 68       Fund 69       Fund 70 
 0.3031610037  0.1420911111  0.1719719094  0.1149125635  0.2438669584 
      Fund 71       Fund 72       Fund 73       Fund 74       Fund 75 
-0.0569427463  0.0183185469  0.1654496285  0.1862133322  0.4216531035 
      Fund 76       Fund 77       Fund 78       Fund 79       Fund 80 
 0.1448356370  0.1875471835  0.3481811920  0.1932129269  0.3069433497 
      Fund 81       Fund 82       Fund 83       Fund 84       Fund 85 
-0.1117490792  0.0798272586  0.1643573278  0.2639175094  0.0568079399 
      Fund 86       Fund 87       Fund 88       Fund 89       Fund 90 
 0.1949140359  0.2429785764  0.4020222630  0.0119233179  0.1959106743 
      Fund 91       Fund 92       Fund 93       Fund 94       Fund 95 
 0.0544083199  0.0075420246  0.0375898038  0.1867042096  0.1660055159 
      Fund 96       Fund 97       Fund 98       Fund 99      Fund 100 
 0.2078633036  0.2355682286  0.2117466923  0.2254152758  0.2964196324 

PeerPerformance documentation built on May 17, 2021, 1:09 a.m.