Apply or sapply. That's exactly the solution I need.
Thanks Jeff and Peter. Your packages are great and very useful.
wind
On Mon, May 18, 2009 at 10:23 PM, Jeff Ryan wrote:
> 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 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.
> >
> > [[alternative HTML version deleted]]
> >
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>
>
>
> --
> Jeffrey Ryan
> jeffrey.ryan@insightalgo.com
>
> ia: insight algorithmics
> www.insightalgo.com
>
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