Sharpe {matiming} | R Documentation |
This function computes the Sharpe ratio
Sharpe(x)
x |
the vector of excess returns |
the Sharpe ratio (a scalar)
Sharpe, W.F. (1994). The Sharpe Ratio. Journal of Portfolio Management, 21 (1), 49-58.
Other performance measures:
Excret()
,
Sortino()