summary: Summarize a Sharpe, or (delta) optimal Sharpe object.

In SharpeR: Statistical Significance of the Sharpe Ratio

Description

Computes a ‘summary’ of an object, adding in some statistics.

Usage

## S3 method for class 'sr'
summary(object, ...)

## S3 method for class 'sropt'
summary(object, ...)

Arguments

object	an object of class sr, sropt or del_sropt.
...	additional arguments affecting the summary produced, though ignored here.

Details

Enhances an object of class sr, sropt or del_sropt to also include t- or T-statistics, p-values, and so on.

Value

When an sr object is input, the object cast to class summary.sr with some additional fields:

tval

the equivalent t-statistic.

pval

the p-value under the null.

serr

the standard error of the Sharpe ratio.

When an sropt object is input, the object cast to class summary.sropt with some additional fields:

pval

the p-value under the null.

SRIC

the SRIC value, see sric.

Author(s)

Steven E. Pav [e-mail]

References

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

See Also

print.sr.

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(), sr

Examples

# Sharpe's 'model': just given a bunch of returns.
set.seed(1234)
asr <- as.sr(rnorm(253*3),ope=253)
summary(asr)

SharpeR documentation built on Aug. 18, 2021, 5:08 p.m.