CRAN/E | SharpeR

SharpeR

Statistical Significance of the Sharpe Ratio

Installation

About

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course doi:10.2139/ssrn.3036276.

Citation SharpeR citation info
github.com/shabbychef/SharpeR
Bug report File report

Key Metrics

Version 1.3.0
R ≥ 3.0.0
Published 2021-08-18 953 days ago
Needs compilation? no
License LGPL-3
CRAN checks SharpeR results

Downloads

Yesterday 8 0%
Last 7 days 75 -28%
Last 30 days 459 0%
Last 90 days 1.453 +48%
Last 365 days 4.801 -13%

Maintainer

Maintainer

Steven E. Pav

shabbychef@gmail.com

Authors

Steven E. Pav

aut / cre

Material

README
ChangeLog
Reference manual
Package source

In Views

Finance

Vignettes

Asymptotic Distribution of the Markowitz Portfolio
Using the SharpeR Package
Notes on the Sharpe ratio

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

SharpeR archive

Depends

R ≥ 3.0.0

Imports

matrixcalc
methods

Suggests

xtable
xts
timeSeries
quantmod
MASS
TTR
testthat
sandwich
txtplot
knitr

Reverse Suggests

madness
MarkowitzR
sadists