sharpeRatio | R Documentation |
A modified version of sharpeRatio that compatible with table.Peroformance
sharpeRatio( R, Rf = 0, p = 0.95, method = c("StdDev", "VaR", "ES"), weights = NULL, annualize = FALSE, bootsd = FALSE, geometric = FALSE, ... )
R |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rf |
risk free rate, in same period as your returns |
p |
confidence level for calculation, default p=.95 |
weights |
portfolio weighting vector, default NULL, see Details in
|
annualize |
if TRUE, annualize the measure, default FALSE |
... |
any other passthru parameters to the VaR or ES functions |
methods |
one of "StdDev" or "VaR" or "ES" to use as the denominator |
The Sharpe ratio is simply the return per unit of risk (represented by variability). In the classic case, the unit of risk is the standard deviation of the returns.
\frac{\overline{(R_{a}-R_{f})}}{√{σ_{(R_{a}-R_{f})}}}
William Sharpe now recommends InformationRatio
preferentially
to the original Sharpe Ratio.
The higher the Sharpe ratio, the better the combined performance of "risk" and return.
As noted, the traditional Sharpe Ratio is a risk-adjusted measure of return that uses standard deviation to represent risk.
A number of papers now recommend using a "modified Sharpe" ratio using a Modified Cornish-Fisher VaR or CVaR/Expected Shortfall as the measure of Risk.
We have recently extended this concept to create multivariate modified
Sharpe-like Ratios for standard deviation, Gaussian VaR, modified VaR,
Gaussian Expected Shortfall, and modified Expected Shortfall. See
VaR
and ES
. You can pass additional arguments
to VaR
and ES
via ... The most important is
probably the 'method' argument/
This function returns a traditional or modified Sharpe ratio for the same periodicity of the data being input (e.g., monthly data -> monthly SR)
Brian G. Peterson, Kirk Li
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.
Laurent Favre and Jose-Antonio Galeano. Mean-Modified Value-at-Risk Optimization with Hedge Funds. Journal of Alternative Investment, Fall 2002, v 5.
sharpeRatio.annualized
InformationRatio
TrackingError
ActivePremium
SortinoRatio
VaR
ES
data(managers) sharpeRatio(managers[,1,drop=FALSE], Rf=.035/12, method="StdDev") sharpeRatio(managers[,1,drop=FALSE], Rf = managers[,10,drop=FALSE], method="StdDev") sharpeRatio(managers[,1:6], Rf=.035/12, method="StdDev") sharpeRatio(managers[,1:6], Rf = managers[,10,drop=FALSE], method="StdDev") data(edhec) sharpeRatio(edhec[, 6, drop = FALSE], method="VaR") sharpeRatio(edhec[, 6, drop = FALSE], Rf = .04/12, FUN="VaR") sharpeRatio(edhec[, 6, drop = FALSE], Rf = .04/12, FUN="VaR" , method="gaussian") sharpeRatio(edhec[, 6, drop = FALSE], method="ES") # and all the methods sharpeRatio(managers[,1:9], Rf = managers[,10,drop=FALSE]) sharpeRatio(edhec,Rf = .04/12) # bootstrap sd # sharpeRatio(edhec[, 6, drop = FALSE], Rf = .04/12, method="VaR", bootsd=TRUE)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.