sterling_ratio: Sterling ratio
In maxto/qapi: Low-level functions for quantitative analysis
sterling_ratio R Documentation
Sterling ratio
Description
A risk-adjusted measure like Calmar ratio but the denominator is the largest consecutive drawdown (excluded the 10% excess in the original formula)
Usage
sterling_ratio(x, ann_frisk = 0, t = 252, is_geom = TRUE)
Arguments
x
asset returns
ann_frisk
annual free risk
t
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily
is_geom
TRUE geometric, FALSE simple
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
sterling_ratio(xx,ann_frisk=0.01,t=12)
maxto/qapi documentation built on Feb. 1, 2024, 9:42 a.m.
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| sterling_ratio | R Documentation |
Sterling ratio
Description
A risk-adjusted measure like Calmar ratio but the denominator is the largest consecutive drawdown (excluded the 10% excess in the original formula)
Usage
sterling_ratio(x, ann_frisk = 0, t = 252, is_geom = TRUE)
Arguments
x |
asset returns |
ann_frisk |
annual free risk |
t |
frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily |
is_geom |
TRUE geometric, FALSE simple |
Value
numeric
Examples
xx <- c(0.003,0.026,0.015,-0.009,-0.014,-0.024,0.015,0.066,-0.014,0.039)
sterling_ratio(xx,ann_frisk=0.01,t=12)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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