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
Examples
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sterling(dax)
sterling(ftse)
[Package tseries version 0.10-56 Index]