SharpeRatio {PerformanceAnalytics} | R Documentation |
The Sharpe Ratio is a risk-adjusted measure of return that uses standard deviation to represent risk.
SharpeRatio(Ra, rf = 0)
Ra |
a vector, matrix, data frame, timeSeries or zoo object of asset returns |
rf |
risk free rate, in same period as your returns |
The Sharpe ratio is simply the return per unit of risk (represented by variance). The higher the Sharpe Ratio, the better the combined performance of "risk" and return.
frac{overline{(R_{a}-R_{f})}}{sqrt{σ}}
William Sharpe now recommends Information Ratio preferentially to the original Sharpe Ratio.
Sharpe Ratio
Peter Carl
Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58.
SharpeRatio.annualized
InformationRatio
TrackingError
ActivePremium
SortinoRatio
data(edhec) head(edhec[, 6, drop = FALSE]) edhec.length = dim(edhec)[1] start = rownames(edhec[1,]) start end = rownames(edhec[edhec.length,]) rf = download.RiskFree(start=start, end=end) SharpeRatio(edhec[, 6, drop = FALSE]) SharpeRatio(edhec[, 6, drop = FALSE], rf = .04/12) SharpeRatio(edhec[, 6, drop = FALSE], rf = rf)