sharpe_ratio: Sharpe Ratio

In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis

Description

Sharpe Ratio

Usage

sharpe_ratio(ret, rf, freq)

Arguments

ret	data.frame containing returns
rf	either numeric value representing annual risk-free rate or data.frame containing risk-free time-series
freq	character representing frequency

Note

Sharpe ratio = (annualized return less annual risk-free rate) / annualized volatility

Examples

data(ETF)
data(FF)
sharpe_ratio(ret, ff$ff_ret, 'd')
sharpe_ratio(ret, 0.02, 'd')

alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.