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

Peter Carl 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)

> sapply(managers[,c(1,3)], FUN=SharpeRatio)
HAM1.Column HAM3.Column
  0.4481450   0.3289917
> SharpeRatio(managers[,1,drop=F])

Sorry for the inconvenience, and thanks again for pointing this out.

Peter Carl

> 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.
>> 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])
>   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.
> 	[[alternative HTML version deleted]]
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