R: Sterling Ratio

sterling {tseries} | R Documentation

## Sterling Ratio

### Description

This function computes the Sterling ratio of the univariate time series (or vector) `x`.

### Usage

    sterling(x)

### Arguments

`x` | a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.

### Details

The Sterling ratio is defined as a portfolio's overall return divided by the portfolio's `maxdrawdown` statistic. In finance the Sterling Ratio represents a measure of the portfolio's risk-adjusted return.

### Value

a double representing the Sterling ratio.

### Author(s)

A. Trapletti

### See Also

`maxdrawdown`, `sharpe`

### Examples

    data(EuStockMarkets)
    dax <- log(EuStockMarkets[,"DAX"])
    ftse <- log(EuStockMarkets[,"FTSE"])
    sterling(dax)
    sterling(ftse)

[Package tseries version 0.10-47 Index]