[R-SIG-Finance] Calculating SharpeRatio for several managers with PerformanceAnalytics

[Jeff Ryan]

Hi Wind,

Try:

apply(managers[,c(1,3)],2, SharpeRatio)
  HAM1      HAM3
0.4481450 0.3289917

HTH
Jeff

On Mon, May 18, 2009 at 5:47 AM, Wind <windspeedo99 at gmail.com> wrote:
> I wonder whether there is any better method calculating ratios such as
> SharpRatio, SortinoRatio and so on, for several managers.
>
>>library(PerformanceAnalytics)
>>data(managers)
>
> It is ok if we just calculate SharpeRatio for one manager.
>> SharpeRatio(managers[,1,drop=FALSE])
>    HAM1
> 0.448145
>
> But it seems that we could not calculate SharpeRatio for several managers at
> once.
>> SharpeRatio(managers[,c(1,3),drop=FALSE])
>     HAM1      HAM3
> 0.4670831 0.3161724
>
> The answer for HAM1 is different now.
>
>> SharpeRatio(managers[,c(1,2,3),drop=FALSE])
> HAM1 HAM2 HAM3
>  NA   NA   NA
>
>  I guess maybe I have not use the function properly.
>
> If I change the mean function in SharpeRatio or SortinoRatio to colMeans
> function, it seems ok.
> Because PerformanceAnalytics provides many useful ratios I wonder whether
> there are some better methods so one could utilize the ratio calculating for
> several managers directly.
>
> Any suggestion would be appreciated.
>
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>
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-- 
Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com