Package: SharpeR 1.4.0

SharpeR: Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.

Authors:Steven E. Pav [aut, cre]

SharpeR_1.4.0.tar.gz
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SharpeR_1.4.0.tgz(r-4.4-any)SharpeR_1.4.0.tgz(r-4.3-any)
SharpeR_1.4.0.tar.gz(r-4.5-noble)SharpeR_1.4.0.tar.gz(r-4.4-noble)
SharpeR_1.4.0.tgz(r-4.4-emscripten)SharpeR_1.4.0.tgz(r-4.3-emscripten)
SharpeR.pdf |SharpeR.html✨
SharpeR/json (API)

# Install 'SharpeR' in R:
install.packages('SharpeR', repos = c('https://shabbychef.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/shabbychef/sharper/issues

Datasets:

On CRAN:

6.18 score 19 stars 53 scripts 531 downloads 41 exports 4 dependencies

Last updated 1 months agofrom:6b631e862a. Checks:7 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKJan 22 2025
R-4.5-winOKJan 22 2025
R-4.5-linuxOKJan 22 2025
R-4.4-winOKJan 22 2025
R-4.4-macOKJan 22 2025
R-4.3-winOKJan 22 2025
R-4.3-macOKJan 22 2025

Exports:as.del_sroptas.sras.sroptasnr_confintdel_sroptdsrdsroptinferenceis.del_sroptis.sris.sroptism_vcovpco_sroptplambdappower.sr_testpower.sropt_testpredintpsrpsroptqco_sroptqlambdapqsrqsroptreannualizerlambdaprsrrsroptsesm_vcovsrsr_biassr_conditional_testsr_equality_testsr_max_testsr_testsr_unpaired_testsr_variancesr_vcovsricsroptsropt_test

Dependencies:epsiwallatticematrixcalczoo

Asymptotic Distribution of the Markowitz Portfolio

Rendered fromAsymptoticMarkowitz.Rnwusingknitr::knitron Jan 22 2025.

Last update: 2014-01-03
Started: 2014-01-03

Notes on the Sharpe ratio

Rendered fromSharpeRatio.Rnwusingknitr::knitron Jan 22 2025.

Last update: 2018-10-07
Started: 2013-08-31

Using the SharpeR Package

Rendered fromSharpeR.Rnwusingknitr::knitron Jan 22 2025.

Last update: 2020-02-08
Started: 2013-08-06

Readme and manuals

Help Manual

Help pageTopics
statistics concerning Sharpe ratio and Markowitz portfolioSharpeR-package SharpeR
Compute the Sharpe ratio of a hedged Markowitz portfolio.as.del_sropt as.del_sropt.default as.del_sropt.xts
Compute the Sharpe ratio.as.sr as.sr.data.frame as.sr.default as.sr.lm as.sr.matrix as.sr.timeSeries as.sr.xts
Compute the Sharpe ratio of the Markowitz portfolio.as.sropt as.sropt.default as.sropt.xts
Confidence intervals on achieved SnRasnr_confint asnr_confint.del_sropt asnr_confint.sropt
Confidence Interval on (optimal) Signal-Noise Ratioconfint.del_sropt confint.sr confint.sropt
Create an 'del_sropt' object.del_sropt
The (non-central) Sharpe ratio.dsr psr qsr rsr
The (non-central) maximal Sharpe ratio distribution.dsropt psropt qsropt rsropt
Inference on noncentrality parameter of F-like statisticinference inference.del_sropt inference.sropt
Is this in the "del_sropt" class?is.del_sropt
Is this in the "sr" class?is.sr
Is this in the "sropt" class?is.sropt
Compute variance covariance of Inverse 'Unified' Second Momentism_vcov
The 'confidence distribution' for maximal Sharpe ratio.pco_sropt qco_sropt
The lambda-prime distribution.plambdap qlambdap rlambdap
Power calculations for Sharpe ratio testspower.sr_test
Power calculations for optimal Sharpe ratio testspower.sropt_test
prediction interval for Sharpe ratiopredint
Print values.print.del_sropt print.sr print.sropt
Change the annualization of a Sharpe ratio.reannualize reannualize.sr reannualize.sropt
Standard error computationse se.sr
News for package 'SharpeR':SharpeR-NEWS
Compute variance covariance of 'Unified' Second Momentsm_vcov
Create an 'sr' object.sr
sr_bias .sr_bias
conditional test for maximum Sharpe ratios.sr_conditional_test
Paired test for equality of Sharpe ratiosr_equality_test
test for multiple Sharpe ratios.sr_max_test
test for Sharpe ratiosr_test
test for equation on unpaired Sharpe ratiossr_unpaired_test
sr_variance .sr_variance
Compute variance covariance of Sharpe Ratios.sr_vcov
Sharpe Ratio Information Coefficientsric
Create an 'sropt' object.sropt
test for optimal Sharpe ratiosropt_test
Stock Returns Datastock_returns
Summarize a Sharpe, or (delta) optimal Sharpe object.summary.sr summary.sropt