This function computes the Sterling ratio of the univariate time series
(or vector) x.
Usage
sterling(x)
Value
a double representing the Sterling ratio.
Arguments
x
a numeric vector or univariate time series corresponding to a
portfolio's cumulated returns.
Author
A. Trapletti
Details
The Sterling ratio is defined as a portfolio's overall return divided
by the portfolio's maxdrawdown statistic. In finance the
Sterling Ratio represents a measure of the portfolio's risk-adjusted
return.