SharpeRatio {PerformanceAnalytics} | R Documentation |

## Sharpe Ratio

### Description

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

### Usage

SharpeRatio(Ra, Rf = 0)

### Arguments

`Ra` |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |

`Rf` |
risk free rate, in same period as your returns |

### Details

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_{(R_{a}-R_{f})}}}*

William Sharpe now recommends `InformationRatio`

preferentially to the original Sharpe Ratio.

### Value

Sharpe Ratio

### Author(s)

Peter Carl

### References

Sharpe, W.F. The Sharpe Ratio,*Journal of Portfolio Management*,Fall 1994, 49-58.

### See Also

`SharpeRatio.annualized`

`InformationRatio`

`TrackingError`

`ActivePremium`

`SortinoRatio`

### Examples

data(managers)
SharpeRatio(managers[,1,drop=FALSE], Rf=.035/12)
SharpeRatio(managers[,1,drop=FALSE], Rf = managers[,10,drop=FALSE])
SharpeRatio(managers[,1:6], Rf=.035/12)
SharpeRatio(managers[,1:6], Rf = managers[,10,drop=FALSE])

[Package

*PerformanceAnalytics* version 0.9.9-5

Index]