[R-SIG-Finance] Calculating SharpeRatio for several managers with PerformanceAnalytics
jeff.a.ryan at gmail.com
Mon May 18 16:23:38 CEST 2009
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.
> It is ok if we just calculate SharpeRatio for one manager.
> But it seems that we could not calculate SharpeRatio for several managers at
> HAM1 HAM3
> 0.4670831 0.3161724
> The answer for HAM1 is different now.
> 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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jeffrey.ryan at insightalgo.com
ia: insight algorithmics
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