SharpeRatio.modified  package:PerformanceAnalytics  R Documentation

_c_a_l_c_u_l_a_t_e _a _m_o_d_i_f_i_e_d _S_h_a_r_p_e _R_a_t_i_o _o_f _R_e_t_u_r_n _o_v_e_r _V_a_R _o_r _E_S

_D_e_s_c_r_i_p_t_i_o_n:

     The Sharpe ratio is simply the return per unit of risk
     (represented by variability).  The higher the Sharpe ratio, the
     better the combined performance of "risk" and return.

     The Sharpe Ratio is a risk-adjusted measure of return that uses
     standard deviation to represent risk.

     A number of papers now recommend using a "modified Sharpe" ratio
     using a Modified Cornish-Fisher VaR as the measure of Risk.

     We have recently extended this concept to create multivariate
     modified Sharpe-like Ratios for standard deviation, Gaussian VaR,
     modified VaR, Gaussian Expected Shortfall, and modified Expected
     Shortfall. See 'VaR' and 'ES'.

_U_s_a_g_e:

     SharpeRatio.modified(R, Rf = 0, p = 0.95, FUNCT = c("VaR","ES"), ...)

_A_r_g_u_m_e_n_t_s:

       R: an xts, vector, matrix, data frame, timeSeries or zoo object
          of asset returns 

      Rf: risk free rate, in same period as your returns 

       p: confidence level for calculation, default p=.95 

   FUNCT: one of "VaR" or "ES" to use as the denominator 

     ...: any other passthru parameters to the VaR or ES functions 

_V_a_l_u_e:

     This function returns a modified Sharpe ratio for the same
     periodicity of the data being input (e.g., monthly data -> monthly
     SR)

_A_u_t_h_o_r(_s):

     Brian G. Peterson

_R_e_f_e_r_e_n_c_e_s:

     Laurent Favre and Jose-Antonio Galeano. Mean-Modified
     Value-at-Risk Optimization with Hedge Funds. Journal of
     Alternative Investment, Fall 2002, v 5.

_S_e_e _A_l_s_o:

     'VaR' 
      'ES' 
      'SharpeRatio' 

_E_x_a_m_p_l_e_s:

     data(edhec)
     SharpeRatio.modified(edhec[, 6, drop = FALSE])
     SharpeRatio.modified(edhec[, 6, drop = FALSE], Rf = .04/12)
     SharpeRatio.modified(edhec[, 6, drop = FALSE], Rf = .04/12, method="gaussian")
     SharpeRatio.modified(edhec[, 6, drop = FALSE], FUNCT="ES")