Statistical significance of Sharpe ratio


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Documentation for package ‘SharpeR’ version 0.1306

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SharpeR-package statistics concerning Sharpe ratio and Markowitz portfolio
as.sr Compute the Sharpe ratio.
as.sr.data.frame Compute the Sharpe ratio.
as.sr.default Compute the Sharpe ratio.
as.sr.lm Compute the Sharpe ratio.
as.sr.xts Compute the Sharpe ratio.
as.sropt Compute the Sharpe ratio of the Markowitz portfolio.
as.sropt.default Compute the Sharpe ratio of the Markowitz portfolio.
as.sropt.xts Compute the Sharpe ratio of the Markowitz portfolio.
confint.sr Confidence Interval on (optimal) Signal-Noise Ratio
confint.sropt Confidence Interval on (optimal) Signal-Noise Ratio
dsr The (non-central) Sharpe ratio.
dsropt The (non-central) maximal Sharpe ratio distribution.
inference Inference on noncentrality parameter of F-like statistic
is.sr Is this in the "sr" class?
is.sropt Is this in the "sropt" class?
power.sropt_test Power calculations for optimal Sharpe ratio tests
power.sr_test Power calculations for Sharpe ratio tests
print.sr Print values.
print.sropt Print values.
psr The (non-central) Sharpe ratio.
psropt The (non-central) maximal Sharpe ratio distribution.
qsr The (non-central) Sharpe ratio.
qsropt The (non-central) maximal Sharpe ratio distribution.
reannualize Change the annualization of a Sharpe ratio.
reannualize.sr Change the annualization of a Sharpe ratio.
reannualize.sropt Change the annualization of a Sharpe ratio.
rsr The (non-central) Sharpe ratio.
rsropt The (non-central) maximal Sharpe ratio distribution.
se Standard error computation
se.sr Standard error computation
SharpeR statistics concerning Sharpe ratio and Markowitz portfolio
sr Create an 'sr' object.
sropt Create an 'sropt' object.
sropt_test test for optimal Sharpe ratio
sr_equality_test Paired test for equality of Sharpe ratio
sr_test test for Sharpe ratio