msharpe: Compute Modified Sharpe ratio

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

View source: R/functions.R

Description

Function which computes the modified Sharpe ratio

Usage

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  msharpe(X, level = 0.90, na.rm = TRUE, na.neg = TRUE)

Arguments

X

vector (of lenght T) or matrix (of size TxN) of returns. NA values are allowed.

level

modified Value-at-Risk level. Default: level = 0.90.

na.rm

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

na.neg

a logical value indicating whether NA values should be returned if a negative modified Value-at-Risk is obtained. Default na.neg = TRUE.

Details

The modified Sharpe ratio (Favre and Galeano 2002) 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 modified Sharpe ratios.

Note

Please cite the package in publications. Use citation("PeerPerformance").

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.

Ardia, D., Boudt, K. (2015). The Peer Performance of Hedge Funds. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2000901

Favre, L., Galeano, J.A. (2002). Mean-modified Value-at-Risk with Hedge Funds. The Journal of Alternative Investments 5, pp.21–25.

Gregoriou, G. N., Gueyie, J.-P. (2003). Risk-adjusted performance of funds of hedge funds using a modified Sharpe ratio. The Journal of Wealth Management Winter, pp.77–83.

See Also

msharpeTesting, msharpeScreening and sharpe.

Examples

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  ## Load the data (randomized data of monthly hedge fund returns)
  data("hfdata")

  out = msharpe(hfdata)
  print(out)

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

PeerPerformance documentation built on May 2, 2019, 4:53 p.m.