TECTED]
> [mailto:[EMAIL PROTECTED] On Behalf Of Bernd Dittmann
> Sent: Monday, February 19, 2007 8:39 AM
> To: r-help@stat.math.ethz.ch
> Subject: [R] Calculating the Sharpe ratio
>
> Hi useRs,
>
> I am trying to calculate the Sharpe ratio with "sharpe" of the li
Hi Bernd,
It seems to me that the sharpe function uses the diff to calculate the first
differnce of the input which
is a cumalative return series. This is consistant. see sharpe
Basically you need the rate of returns ((priceFinal - Price
Initial)/priceInitial) which you used. In your case r = 0, s
Hi useRs,
I am trying to calculate the Sharpe ratio with "sharpe" of the library
"tseries".
The documentation requires the univariate time series to be a
portfolio's cumulated returns. In this case, the example given
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"FTSE"])
is however not the
