[R-SIG-Finance] Calculating SharpeRatio for several managers with PerformanceAnalytics
peter at braverock.com
Mon May 18 16:29:12 CEST 2009
SharpeRatio was originally written to use on a single column, but because
of the behavior of sd, which provides multi-column support, the error
isn't obvious. Thanks very much for bringing this to our attention, we'll
provide multi-column support for this function in the next release.
To ensure column-by-column results in the meantime, you might use:
> sapply(managers[,c(1,3)], FUN=SharpeRatio)
Sorry for the inconvenience, and thanks again for pointing this out.
> 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
> 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
> several managers directly.
> Any suggestion would be appreciated.
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