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.

Sharpe Ratio

Peter Carl

### References

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

`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]