se: Standard error computation

Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/estimation.r

Description

Estimates the standard error of the Sharpe ratio statistic.

Usage

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se(z, type)

## S3 method for class 'sr'
se(z, type = c("t", "Lo"))

Arguments

z

an observed Sharpe ratio statistic, of class sr.

type

estimator type. one of "t", "Lo", "exact"

...

further arguments to be passed to or from methods.

Details

For an observed Sharpe ratio, estimate the standard error. There are two methods:

There should be very little difference between these except for very small sample sizes.

Value

an estimate of standard error.

Note

Eventually this should include corrections for autocorrelation, skew, kurtosis.

Author(s)

Steven E. Pav [email protected]

References

Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. http://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html

Johnson, N. L., and Welch, B. L. "Applications of the non-central t-distribution." Biometrika 31, no. 3-4 (1940): 362-389. http://dx.doi.org/10.1093/biomet/31.3-4.362

Lo, Andrew W. "The statistics of Sharpe ratios." Financial Analysts Journal 58, no. 4 (2002): 36-52. http://ssrn.com/paper=377260

Opdyke, J. D. "Comparing Sharpe Ratios: So Where are the p-values?" Journal of Asset Management 8, no. 5 (2006): 308-336. http://ssrn.com/paper=886728

Walck, C. "Hand-book on STATISTICAL DISTRIBUTIONS for experimentalists." 1996. http://www.stat.rice.edu/~dobelman/textfiles/DistributionsHandbook.pdf

See Also

sr-distribution functions, dsr

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

Examples

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asr <- as.sr(rnorm(128,0.2))
anse <- se(asr,type="t")
anse <- se(asr,type="Lo")

SharpeR documentation built on May 29, 2017, 5:15 p.m.