se | R Documentation |
Estimates the standard error of the Sharpe ratio statistic.
se(z, type)
## S3 method for class 'sr'
se(z, type = c("t", "Lo", "Mertens", "Bao"))
z |
an observed Sharpe ratio statistic, of class |
type |
estimator type. one of |
For an observed Sharpe ratio, estimate the standard error. The following methods are recognized:
The default, based on Johnson & Welch, with a correction
for small sample size. Also known as 'Lo'
.
An approximation to the standard error taking into skewness and kurtosis of the returns distribution.
An even higher accuracty approximation using higher order moments.
There should be very little difference between these except for very small sample sizes.
See ‘The Sharpe Ratio: Statistics and Applications’, sections 2.5.1 and 3.2.3.
an estimate of standard error.
The units of the standard error are consistent with those of the
input sr
object.
Steven E. Pav shabbychef@gmail.com
Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. https://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. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/biomet/31.3-4.362")}
Lo, Andrew W. "The statistics of Sharpe ratios." Financial Analysts Journal 58, no. 4 (2002): 36-52. https://www.ssrn.com/paper=377260
Bao, Yong. "Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking Under a General Return Distribution." Journal of Financial Econometrics 7, no. 2 (2009): 152-173. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1093/jjfinec/nbn022")}
Opdyke, J. D. "Comparing Sharpe Ratios: So Where are the p-values?" Journal of Asset Management 8, no. 5 (2006): 308-336. https://www.ssrn.com/paper=886728
Pav, S. E. "The Sharpe Ratio: Statistics and Applications." CRC Press, 2021.
Walck, C. "Hand-book on STATISTICAL DISTRIBUTIONS for experimentalists." 1996. https://www.stat.rice.edu/~dobelman/textfiles/DistributionsHandbook.pdf
sr-distribution functions, dsr
,
sr_variance
.
Other sr:
as.sr()
,
confint.sr()
,
dsr()
,
is.sr()
,
plambdap()
,
power.sr_test()
,
predint()
,
print.sr()
,
reannualize()
,
sr
,
sr_equality_test()
,
sr_test()
,
sr_unpaired_test()
,
sr_vcov()
,
summary.sr
asr <- as.sr(rnorm(128,0.2))
anse <- se(asr,type="t")
anse <- se(asr,type="Lo")
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