\HeaderA{SharpeRatio}{Sharpe Ratio}{SharpeRatio}
\keyword{ts}{SharpeRatio}
\keyword{multivariate}{SharpeRatio}
\keyword{distribution}{SharpeRatio}
\keyword{models}{SharpeRatio}
\begin{Description}\relax
The Sharpe Ratio is a risk-adjusted measure of return that uses standard deviation to represent risk.
\end{Description}
\begin{Usage}
\begin{verbatim}
SharpeRatio(Ra, Rf = 0)
\end{verbatim}
\end{Usage}
\begin{Arguments}
\begin{ldescription}
\item[\code{Ra}] an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns 
\item[\code{Rf}] risk free rate, in same period as your returns 
\end{ldescription}
\end{Arguments}
\begin{Details}\relax
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.

\deqn{\frac{\overline{(R_{a}-R_{f})}}{\sqrt{\sigma_{(R_{a}-R_{f})}}}}{}

William Sharpe now recommends \code{\LinkA{InformationRatio}{InformationRatio}} preferentially to the original Sharpe Ratio.
\end{Details}
\begin{Value}
Sharpe Ratio
\end{Value}
\begin{Author}\relax
Peter Carl
\end{Author}
\begin{References}\relax
Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio Management},Fall 1994, 49-58.
\end{References}
\begin{SeeAlso}\relax
\code{\LinkA{SharpeRatio.annualized}{SharpeRatio.annualized}}  \\
\code{\LinkA{InformationRatio}{InformationRatio}} \\
\code{\LinkA{TrackingError}{TrackingError}} \\
\code{\LinkA{ActivePremium}{ActivePremium}} \\
\code{\LinkA{SortinoRatio}{SortinoRatio}} \\
\end{SeeAlso}
\begin{Examples}
\begin{ExampleCode}
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])
\end{ExampleCode}
\end{Examples}

