sharpe: Compute Sharpe ratio

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

View source: R/functions.R View source: R/functions.R

Description

Function which computes the Sharpe ratio.

Usage

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sharpe(X, na.rm = TRUE)

Arguments

X

Vector (of lenght T) or matrix (of size TxN) of returns for N funds. NA values are allowed.

na.rm

A logical value indicating whether NA values should be stripped before the computation. Default na.rm = TRUE

Details

The Sharpe ratio (Sharpe 1992) is one industry standard for measuring the absolute risk adjusted performance of hedge funds.

Value

A scalar or a vector (of size N) with the Sharpe ratios.

Author(s)

David Ardia and Kris Boudt.

References

Ardia, D., Boudt, K. (2015). Testing equality of modified Sharpe ratios. Finance Research Letters 13, pp.97-104. doi: 10.1016/j.frl.2015.02.008

Ardia, D., Boudt, K. (2016). The peer performance ratios of hedge funds. Working paper. doi: 10.2139/ssrn.2000901

Sharpe, W.F. (1994). The Sharpe ratio. Journal of Portfolio Management 21(1), pp.49-58. doi: 10.3905/jpm.1994.409501

See Also

sharpeTesting, sharpeScreening and msharpe.

Examples

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## Load the data
data('hfdata')

## Compute the Sharpe ratio
out = sharpe(hfdata)
print(out)

out = sharpe(hfdata, na.rm = FALSE)
print(out)

ArdiaD/PeerPerformance documentation built on June 7, 2017, 10:44 a.m.