SharpeRatio {PerformanceAnalytics} | R Documentation

## Sharpe Ratio

### Description

The Sharpe Ratio is a risk-adjusted measure of return that uses standard deviation to represent risk.

### Usage

    SharpeRatio(Ra, rf = 0)

### Arguments

`Ra` | a vector, matrix, data frame, timeSeries or zoo object of asset returns
`rf` | risk free rate, in same period as your returns

### Details

The Sharpe ratio is simply the return per unit of risk (represented by variance). The higher the Sharpe Ratio, the better the combined performance of "risk" and return.

frac{overline{(R_{a}-R_{f})}}{sqrt{σ}}

William Sharpe now recommends `InformationRatio` preferentially to the original Sharpe Ratio.

### Value

Sharpe Ratio

### Note

### Author(s)

Peter Carl

### References

Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.

### See Also

`SharpeRatio.annualized`
`InformationRatio`
`TrackingError`
`ActivePremium`
`SortinoRatio`

### Examples

    data(edhec)
    head(edhec[, 6, drop = FALSE])
    edhec.length = dim(edhec)[1]
    start = rownames(edhec[1,])
    start
    end = rownames(edhec[edhec.length,])
    rf = download.RiskFree(start=start, end=end)

    SharpeRatio(edhec[, 6, drop = FALSE])
    SharpeRatio(edhec[, 6, drop = FALSE], rf = .04/12)
    SharpeRatio(edhec[, 6, drop = FALSE], rf = rf)

[Package PerformanceAnalytics version 0.9.5 Index]