pt.treynor: Treynor ratio
In YRmisc: Y&R Miscellaneous R Functions
Description
Usage
Arguments
Examples
Description
The Treynor ratio is an analog to the sharp ratio, with standard deviation replaced
by the asset beta to benchmark.
Usage
1
pt.treynor(ar,br,n,rf)
Arguments
ar
:a vector of a risk asset return
br
:a vector of benchmark return
n
:number of years of asset return, used to calculate annualized return
rf
:risk free rate
Examples
1
2
3
rtn <- runif(24, -1, 1)
brtn <- runif(24,-1,1)
pt.treynor(rtn,brtn,2,0.024)
YRmisc documentation built on March 25, 2020, 5:13 p.m.
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Description Usage Arguments Examples
Description
The Treynor ratio is an analog to the sharp ratio, with standard deviation replaced by the asset beta to benchmark.
Usage
1 | pt.treynor(ar,br,n,rf)
|
Arguments
ar |
:a vector of a risk asset return |
br |
:a vector of benchmark return |
n |
:number of years of asset return, used to calculate annualized return |
rf |
:risk free rate |
Examples
1 2 3 | rtn <- runif(24, -1, 1)
brtn <- runif(24,-1,1)
pt.treynor(rtn,brtn,2,0.024)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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