| summary.sr {SharpeR} | R Documentation |
Summarize a Sharpe, or (delta) optimal Sharpe object.
Description
Computes a ‘summary’ of an object, adding in some statistics.
Usage
## S3 method for class 'sr'
summary(object, ...)
## S3 method for class 'sropt'
summary(object, ...)
Arguments
object |
an object of class |
... |
additional arguments affecting the summary produced, though ignored here. |
Details
Enhances an object of class sr, sropt or del_sropt to also
include t- or T-statistics, p-values, and so on.
Value
When an sr object is input, the object cast to class summary.sr with some
additional fields:
- tval
the equivalent t-statistic.
- pval
the p-value under the null.
- serr
the standard error of the Sharpe ratio.
When an sropt object is input, the object cast to class summary.sropt with some
additional fields:
- pval
the p-value under the null.
- SRIC
the SRIC value, see
sric.
Author(s)
Steven E. Pav shabbychef@gmail.com
References
Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. https://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html
See Also
Other sr:
as.sr(),
confint.sr(),
dsr(),
is.sr(),
plambdap(),
power.sr_test(),
predint(),
print.sr(),
reannualize(),
se(),
sr_equality_test(),
sr_test(),
sr_unpaired_test(),
sr_vcov(),
sr
Examples
# Sharpe's 'model': just given a bunch of returns.
set.seed(1234)
asr <- as.sr(rnorm(253*3),ope=253)
summary(asr)