reannualize: Change the annualization of a Sharpe ratio.

Description Usage Arguments Value Author(s) See Also Examples

View source: R/sr.r

Description

Changes the annualization factor of a Sharpe ratio statistic, or the rate at which observations are made.

Usage

1
2
3
4
5
6
7
reannualize(object, new.ope = NULL, new.epoch = NULL)

## S3 method for class 'sr'
reannualize(object, new.ope = NULL, new.epoch = NULL)

## S3 method for class 'sropt'
reannualize(object, new.ope = NULL, new.epoch = NULL)

Arguments

object

an object of class sr or sropt.

new.ope

the new observations per epoch. If none given, it is not updated.

new.epoch

a string representation of the epoch. If none given, it is not updated.

Value

the input object with the annualization and/or epoch updated.

Author(s)

Steven E. Pav [email protected]

See Also

sr

sropt

Other sr: as.sr, confint.sr, dsr, is.sr, plambdap, power.sr_test, predint, print.sr, se, sr_equality_test, sr_test, sr_unpaired_test, sr_vcov, sr, summary.sr

Other sropt: as.sropt, confint.sr, dsropt, is.sropt, pco_sropt, power.sropt_test, sropt_test, sropt

Examples

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
# compute a 'daily' Sharpe
mysr <- as.sr(rnorm(253*8),ope=1,epoch="day")
# turn into annual 
mysr2 <- reannualize(mysr,new.ope=253,new.epoch="yr")

# for sropt
ope <- 253
zeta.s <- 1.0  
df1 <- 10
df2 <- 6 * ope
rvs <- rsropt(1,df1,df2,zeta.s,ope,drag=0)
roll.own <- sropt(z.s=rvs,df1,df2,drag=0,ope=ope,epoch="yr")
# make 'monthly'
roll.monthly <- reannualize(roll.own,new.ope=21,new.epoch="mo.")
# make 'daily'
roll.daily <- reannualize(roll.own,new.ope=1,new.epoch="day")

SharpeR documentation built on Oct. 8, 2018, 1:05 a.m.