Sterling Ratio
This function computes the Sterling ratio of the univariate time series
(or vector) x.
sterling(x)
x |
a numeric vector or univariate time series corresponding to a portfolio's cumulated returns. |
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.
a double representing the Sterling ratio.
A. Trapletti
data(EuStockMarkets) dax <- log(EuStockMarkets[,"DAX"]) ftse <- log(EuStockMarkets[,"FTSE"]) sterling(dax) sterling(ftse)
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