[R] TreynorRatio

[R. Michael Weylandt]

On Fri, Nov 9, 2012 at 6:46 AM, sheenmaria <sheenmaria6 at gmail.com> wrote:
> i read about the performance analytics package
>   i have a doubt about the  TreynorRatio
>
> i have code
>
>  g=getSymbols("IBM")
>> c=Cl(g)
>> r=Return.calculate(c)
>> SharpeRatio.annualized(r)
>                                 IBM.Close
> Annualized Sharpe Ratio (Rf=0%) 0.3566339
>
>> TreynorRatio (ret)
> Error in inherits(x, "xts") : argument "Rb" is missing, with no default
>
> TreynorRatio give the error like this.
>   what value i give for the Rb field.  anyboday can help

Type

?TreynorRatio

to see the documentation. The Treynor ratio is a relative performance
metric, so you have to give a benchmark return series as well.

Michael