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

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

Description

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

Usage

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## 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 [email protected]

References

Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. http://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

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# 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 Oct. 8, 2018, 1:05 a.m.