SharpeRatio       package:PerformanceAnalytics       R Documentation

_S_h_a_r_p_e _R_a_t_i_o

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

     SharpeRatio(Ra, rf = 0)

_A_r_g_u_m_e_n_t_s:

      Ra: a vector, matrix, data frame, timeSeries or zoo object of
          asset returns 

      rf: risk free rate, in same period as your returns 

_D_e_t_a_i_l_s:

     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{sigma}}


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

_V_a_l_u_e:

     Sharpe Ratio

_N_o_t_e:

_A_u_t_h_o_r(_s):

     Peter Carl

_R_e_f_e_r_e_n_c_e_s:

     Sharpe, W.F. The Sharpe Ratio,_Journal of Portfolio
     Management_,Fall 1994, 49-58.

_S_e_e _A_l_s_o:

     'SharpeRatio.annualized'  
      'InformationRatio' 
      'TrackingError' 
      'ActivePremium' 
      'SortinoRatio' 

_E_x_a_m_p_l_e_s:

     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)

