tseries (version 0.10-58)

sharpe: Sharpe Ratio

Description

This function computes the Sharpe ratio of the univariate time series (or vector) x.

Usage

sharpe(x, r = 0, scale = sqrt(250))

Value

a double representing the Sharpe ratio.

Arguments

x

a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.

r

the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return.

scale

a scale factor. Default corresponds to an annualization when working with daily financial time series data.

Author

A. Trapletti

Details

The Sharpe ratio is defined as a portfolio's mean return in excess of the riskless return divided by the portfolio's standard deviation. In finance the Sharpe Ratio represents a measure of the portfolio's risk-adjusted (excess) return.

See Also

sterling

Examples

data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sharpe(dax)
sharpe(ftse)