Sharpe Ratio
This function computes the Sharpe ratio of the univariate time series
(or vector) x.
sharpe(x, r = 0, scale = sqrt(250))
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. |
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.
a double representing the Sharpe ratio.
A. Trapletti
data(EuStockMarkets) dax <- log(EuStockMarkets[,"DAX"]) ftse <- log(EuStockMarkets[,"FTSE"]) sharpe(dax) sharpe(ftse)
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