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]