sharpe {stocks} | R Documentation |
Sharpe Ratio
Description
Calculates Sharpe ratio from vector of gains or prices. The formula is:
(mean(gains) - rf) / sd(gains)
, where rf
is some risk-free rate
of return.
Usage
sharpe(gains = NULL, prices = NULL, rf = 0)
Arguments
gains |
Numeric matrix with 1 column of gains for each investment (can be a vector if there is only one). |
prices |
Numeric matrix with 1 column of prices for each investment (can be a vector if there is only one). |
rf |
Numeric value. |
Value
Numeric value.
Examples
# Simulate daily gains over a 5-year period
set.seed(123)
stock.gains <- rnorm(252 * 5, 0.0005, 0.01)
# Calculate Sharpe ratio using risk-free return of 0
sharpe(stock.gains)
[Package stocks version 1.1.4 Index]