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

Spawns an object of class `sr`

.

1 2 |

`sr` |
a Sharpe ratio statistic. |

`df` |
the degrees of freedom of the equivalent t-statistic. |

`c0` |
the 'risk-free' or 'disastrous' rate of return. this is
assumed to be given in the same units as x, |

`ope` |
the number of observations per 'epoch'. For convenience of
interpretation, The Sharpe ratio is typically quoted in 'annualized'
units for some epoch, that is, 'per square root epoch', though returns
are observed at a frequency of |

`rescal` |
the rescaling parameter. |

`epoch` |
the string representation of the 'epoch', defaulting to 'yr'. |

`cumulants` |
an optional array of the higher order cumulants of the returns distribution. The first element shall be the skew; the second the excess kurtosis. Up to the sixth cumulant can be given. Higher order approximations for the moments of the Sharpe ratio can be computed based on these cumulants. |

The `sr`

class contains information about a rescaled t-statistic.
The following are list attributes of the object:

- sr
The Sharpe ratio statistic.

- df
The d.f. of the equivalent t-statistic.

- c0
The drag 'risk free rate' used.

- ope
The 'observations per epoch'.

- rescal
The rescaling parameter.

- epoch
The string name of the 'epoch'.

The stored Sharpe statistic, `sr`

is equal to the t-statistic
times *rescal * sqrt(ope)*.

For the most part, this constructor should *not* be called directly,
rather `as.sr`

should be called instead to compute the
Sharpe ratio.

a list cast to class `sr`

.

2FIX: allow rownames?

Steven E. Pav [email protected]

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

Other sr: `as.sr`

, `confint.sr`

,
`dsr`

, `is.sr`

,
`plambdap`

, `power.sr_test`

,
`predint`

, `print.sr`

,
`reannualize`

, `se`

,
`sr_equality_test`

, `sr_test`

,
`sr_unpaired_test`

, `sr_vcov`

,
`summary.sr`

1 2 3 4 5 6 7 8 9 |

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

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