sterling               package:tseries               R Documentation

_S_t_e_r_l_i_n_g _R_a_t_i_o

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

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

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

     sterling(x)

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

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

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

     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.

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

     a double representing the Sterling ratio.

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

     A. Trapletti

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

     'maxdrawdown', 'sharpe'

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

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

