Description Usage Arguments Details Value Note Author(s) References See Also Examples
Function which computes the modified Sharpe ratio
1 |
X |
vector (of lenght T) or matrix (of size TxN) of returns.
|
level |
modified Value-at-Risk level. Default: |
na.rm |
a logical value indicating whether |
na.neg |
a logical value indicating whether |
The modified Sharpe ratio (Favre and Galeano 2002) is one industry standard for measuring the absolute risk adjusted performance of hedge funds.
A scalar or a vector (of size N) with the modified Sharpe ratios.
Please cite the package in publications. Use citation("PeerPerformance")
.
David Ardia and Kris Boudt.
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.
msharpeTesting
, msharpeScreening
and sharpe
.
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