reannualize: Change the annualization of a Sharpe ratio.

In SharpeR: Statistical Significance of the Sharpe Ratio

Description

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

Usage

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 [e-mail]

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

# 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 Aug. 18, 2021, 5:08 p.m.