R: Sharpe Ratio

sharpe {tseries} | R Documentation

## Sharpe Ratio

### Description

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

### Usage

    sharpe(x, r = 0, scale = sqrt(250))

### Arguments

`x` | a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.
`r` | the risk free rate. Default corresponds to using portfolio returns not in excess of the riskless return.
`scale` | a scale factor. Default corresponds to an annualization when working with daily financial time series data.

### Details

The Sharpe ratio is defined as a portfolio's mean return in excess of the riskless return divided by the portfolio's standard deviation. In finance the Sharpe Ratio represents a measure of the portfolio's risk-adjusted (excess) return.

### Value

a double representing the Sharpe ratio.

### Author(s)

A. Trapletti

### See Also

`sterling`

### Examples

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

[Package tseries version 0.10-47 Index]