sharpe | R Documentation |

This function computes the Sharpe ratio of the univariate time series
(or vector) `x`

.

sharpe(x, r = 0, scale = sqrt(250))

`x` |
a numeric vector or univariate time series corresponding to a portfolio's cumulated returns. |

`r` |
the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return. |

`scale` |
a scale factor. Default corresponds to an annualization when working with daily financial time series data. |

The Sharpe ratio is defined as a portfolio's mean return in excess of the riskless return divided by the portfolio's standard deviation. In finance the Sharpe Ratio represents a measure of the portfolio's risk-adjusted (excess) return.

a double representing the Sharpe ratio.

A. Trapletti

`sterling`

data(EuStockMarkets) dax <- log(EuStockMarkets[,"DAX"]) ftse <- log(EuStockMarkets[,"FTSE"]) sharpe(dax) sharpe(ftse)

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