sr_calc: Sharpe Ratio
In antshi/auxPort: Auxiliary functions for portfolio optimization
Description
Usage
Arguments
Value
Examples
Description
Calculates the Sharpe ratio of returns time series.
Usage
1
Arguments
rets
a numerical vector with returns time series.
rf
a double, the assumed risk-free return. Default=0.
ann_factor
a double, the annualization factor. If ann_factor=1 (default), no annualization is performed.
For monthly returns, set ann_factor=12. For daily returns, set ann_factor=252, etc.
Value
an index vector of the position of NAs.
Examples
1
2
data(sp500_rets)
srs <- apply(sp500_rets[,-1], 2, sr_calc)
antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.
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Description Usage Arguments Value Examples
Description
Calculates the Sharpe ratio of returns time series.
Usage
1 |
Arguments
rets |
a numerical vector with returns time series. |
rf |
a double, the assumed risk-free return. Default=0. |
ann_factor |
a double, the annualization factor. If ann_factor=1 (default), no annualization is performed. For monthly returns, set ann_factor=12. For daily returns, set ann_factor=252, etc. |
Value
an index vector of the position of NAs.
Examples
1 2 | data(sp500_rets)
srs <- apply(sp500_rets[,-1], 2, sr_calc)
|
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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