sharpe                package:tseries                R Documentation

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

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

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

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

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

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

       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.

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

     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.

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

     a double representing the Sharpe ratio.

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

     A. Trapletti

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

     'sterling'

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

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

