SharpeR (version 1.4.0)

summary.sr: Summarize a Sharpe, or (delta) optimal Sharpe object.

Description

Computes a ‘summary’ of an object, adding in some statistics.

Usage

# S3 method for sr
summary(object, ...)
# S3 method for sropt
summary(object, ...)

Value

When an sr object is input, the object cast to class summary.sr with some additional fields:

tval

the equivalent t-statistic.

pval

the p-value under the null.

serr

the standard error of the Sharpe ratio.

When an sropt object is input, the object cast to class summary.sropt with some additional fields:

pval

the p-value under the null.

SRIC

the SRIC value, see sric.

Arguments

object

an object of class sr, sropt or del_sropt.

...

additional arguments affecting the summary produced, though ignored here.

Author

Steven E. Pav

Details

Enhances an object of class sr, sropt or del_sropt to also include t- or T-statistics, p-values, and so on.

References

Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. https://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html

See Also

print.sr.

Other sr: as.sr(), confint.sr(), dsr(), is.sr(), plambdap(), power.sr_test(), predint(), print.sr(), reannualize(), se(), sr, sr_equality_test(), sr_test(), sr_unpaired_test(), sr_vcov()

Examples

# Sharpe's 'model': just given a bunch of returns.
set.seed(1234)
asr <- as.sr(rnorm(253*3),ope=253)
summary(asr)