{
  "_id": "6a48f7edb5e98c4082a048d9",
  "Package": "SharpeR",
  "Maintainer": "Steven E. Pav <shabbychef@gmail.com>",
  "Authors@R": "c(person(c(\"Steven\", \"E.\"), \"Pav\", \nrole=c(\"aut\",\"cre\"),\nemail=\"shabbychef@gmail.com\",\ncomment = c(ORCID = \"0000-0002-4197-6195\")))",
  "Version": "1.4.0",
  "Date": "2024-12-17",
  "License": "LGPL-3",
  "Title": "Statistical Significance of the Sharpe Ratio",
  "BugReports": "https://github.com/shabbychef/SharpeR/issues",
  "Description": "A collection of tools for analyzing significance of\nassets, funds, and trading strategies, based on the Sharpe\nratio and overfit of the same. Provides density, distribution,\nquantile and random generation of the Sharpe ratio distribution\nbased on normal returns, as well as the optimal Sharpe ratio\nover multiple assets. Computes confidence intervals on the\nSharpe and provides a test of equality of Sharpe ratios based\non the Delta method. The statistical foundations of the Sharpe\ncan be found in the author's Short Sharpe Course\n<doi:10.2139/ssrn.3036276>.",
  "URL": "https://github.com/shabbychef/SharpeR",
  "VignetteBuilder": "knitr",
  "Collate": "'SharpeR.r' 'data.r' 'utils.r' 'distributions.r' 'sr.r'\n'estimation.r' 'overoptimism.r' 'sr_bias.r' 'tests.r'\n'unified.r'",
  "RoxygenNote": "7.3.2",
  "Repository": "https://shabbychef.r-universe.dev",
  "Date/Publication": "2024-12-21 01:46:12 UTC",
  "RemoteUrl": "https://github.com/shabbychef/SharpeR",
  "RemoteRef": "HEAD",
  "RemoteSha": "6b631e862a90deb3a41cfa03846b1921f61ed698",
  "NeedsCompilation": "no",
  "Packaged": {
    "Date": "2026-07-04 12:05:28 UTC",
    "User": "root"
  },
  "Author": "Steven E. Pav [aut, cre] (ORCID:\n<https://orcid.org/0000-0002-4197-6195>)",
  "_user": "shabbychef",
  "_type": "src",
  "_file": "SharpeR_1.4.0.tar.gz",
  "_fileid": "https://r2.ropensci.org/6ba0e88498877ad8ec5cab863834ae5f903df1aad6fcac1df58cfc69d05768b4",
  "_filesize": 3270595,
  "_sha256": "6ba0e88498877ad8ec5cab863834ae5f903df1aad6fcac1df58cfc69d05768b4",
  "_expires": "2026-10-12T12:09:16.000Z",
  "_created": "2026-07-04T12:05:28.000Z",
  "_published": "2026-07-04T12:09:17.593Z",
  "_jobs": [
    {
      "job": 85130780575,
      "time": 155,
      "config": "linux-devel-x86_64",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "8081538296"
    },
    {
      "job": 85130780572,
      "time": 142,
      "config": "linux-release-x86_64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "8081542680"
    },
    {
      "job": 85130780588,
      "time": 97,
      "config": "macos-oldrel-arm64",
      "r": "4.5.3",
      "check": "OK",
      "artifact": "8081530801"
    },
    {
      "job": 85130780581,
      "time": 92,
      "config": "macos-release-arm64",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "8081530289"
    },
    {
      "job": 85130599910,
      "time": 173,
      "config": "source",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "8081519324"
    },
    {
      "job": 85130780571,
      "time": 107,
      "config": "wasm-release",
      "r": "4.6.0",
      "check": "OK",
      "artifact": "8081532429"
    },
    {
      "job": 85130780625,
      "time": 120,
      "config": "windows-devel",
      "r": "4.7.0",
      "check": "OK",
      "artifact": "8081533912"
    },
    {
      "job": 85130780608,
      "time": 137,
      "config": "windows-oldrel",
      "r": "4.5.3",
      "check": "OK",
      "artifact": "8081536124"
    },
    {
      "job": 85130780589,
      "time": 106,
      "config": "windows-release",
      "r": "4.6.1",
      "check": "OK",
      "artifact": "8081532733"
    }
  ],
  "_host": "GitHub-Actions",
  "_buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201",
  "_status": "success",
  "_upstream": "https://github.com/shabbychef/SharpeR",
  "_commit": {
    "id": "6b631e862a90deb3a41cfa03846b1921f61ed698",
    "author": "Steven Pav <shabbychef@gmail.com>",
    "committer": "Steven Pav <shabbychef@gmail.com>",
    "message": "no build vignettes, try 4\n",
    "time": 1734745572
  },
  "_maintainer": {
    "name": "Steven E. Pav",
    "email": "shabbychef@gmail.com",
    "login": "shabbychef",
    "description": "",
    "uuid": 1456159,
    "orcid": "0000-0002-4197-6195"
  },
  "_distro": "resolute",
  "_registered": true,
  "_dependencies": [
    {
      "package": "R",
      "version": ">= 3.0.0",
      "role": "Depends"
    },
    {
      "package": "matrixcalc",
      "role": "Imports"
    },
    {
      "package": "zoo",
      "role": "Imports"
    },
    {
      "package": "epsiwal",
      "role": "Imports"
    },
    {
      "package": "methods",
      "role": "Imports"
    },
    {
      "package": "xtable",
      "role": "Suggests"
    },
    {
      "package": "xts",
      "role": "Suggests"
    },
    {
      "package": "timeSeries",
      "role": "Suggests"
    },
    {
      "package": "quantmod",
      "role": "Suggests"
    },
    {
      "package": "MASS",
      "role": "Suggests"
    },
    {
      "package": "TTR",
      "role": "Suggests"
    },
    {
      "package": "testthat",
      "role": "Suggests"
    },
    {
      "package": "sandwich",
      "role": "Suggests"
    },
    {
      "package": "txtplot",
      "role": "Suggests"
    },
    {
      "package": "knitr",
      "role": "Suggests"
    }
  ],
  "_owner": "shabbychef",
  "_selfowned": true,
  "_usedby": 0,
  "_updates": [],
  "_tags": [],
  "_stars": 20,
  "_contributors": [
    {
      "user": "shabbychef",
      "count": 352,
      "uuid": 1456159
    },
    {
      "user": "yihui",
      "count": 1,
      "uuid": 163582
    }
  ],
  "_userbio": {
    "uuid": 1456159,
    "type": "user",
    "name": "Steven Pav",
    "followers": 69
  },
  "_downloads": {
    "count": 482,
    "source": "https://cranlogs.r-pkg.org/downloads/total/last-month/SharpeR"
  },
  "_devurl": "https://github.com/shabbychef/sharper",
  "_searchresults": 73,
  "_rbuild": "4.6.1",
  "_assets": [
    "extra/citation.cff",
    "extra/citation.html",
    "extra/citation.json",
    "extra/citation.txt",
    "extra/contents.json",
    "extra/readme.html",
    "extra/readme.md",
    "extra/SharpeR.html",
    "manual.pdf"
  ],
  "_homeurl": "https://github.com/shabbychef/sharper",
  "_realowner": "shabbychef",
  "_cranurl": true,
  "_releases": [
    {
      "version": "0.1305",
      "date": "2013-05-11"
    },
    {
      "version": "0.1306",
      "date": "2013-05-21"
    },
    {
      "version": "0.1307",
      "date": "2013-08-09"
    },
    {
      "version": "0.1308",
      "date": "2013-08-12"
    },
    {
      "version": "0.1309",
      "date": "2013-09-22"
    },
    {
      "version": "0.1310",
      "date": "2013-10-29"
    },
    {
      "version": "0.1401",
      "date": "2014-01-03"
    },
    {
      "version": "0.1501",
      "date": "2014-12-23"
    },
    {
      "version": "1.0.0",
      "date": "2015-06-18"
    },
    {
      "version": "1.1.0",
      "date": "2016-03-14"
    },
    {
      "version": "1.2.0",
      "date": "2018-10-07"
    },
    {
      "version": "1.2.1",
      "date": "2020-02-08"
    },
    {
      "version": "1.3.0",
      "date": "2021-08-18"
    },
    {
      "version": "1.4.0",
      "date": "2024-12-18"
    }
  ],
  "_exports": [
    "as.del_sropt",
    "as.sr",
    "as.sropt",
    "asnr_confint",
    "del_sropt",
    "dsr",
    "dsropt",
    "inference",
    "is.del_sropt",
    "is.sr",
    "is.sropt",
    "ism_vcov",
    "pco_sropt",
    "plambdap",
    "power.sr_test",
    "power.sropt_test",
    "predint",
    "psr",
    "psropt",
    "qco_sropt",
    "qlambdap",
    "qsr",
    "qsropt",
    "reannualize",
    "rlambdap",
    "rsr",
    "rsropt",
    "se",
    "sm_vcov",
    "sr",
    "sr_bias",
    "sr_conditional_test",
    "sr_equality_test",
    "sr_max_test",
    "sr_test",
    "sr_unpaired_test",
    "sr_variance",
    "sr_vcov",
    "sric",
    "sropt",
    "sropt_test"
  ],
  "_datasets": [
    {
      "name": "stock_returns",
      "title": "Stock Returns Data",
      "object": "stock_returns",
      "file": "stock_returns.rda",
      "class": [
        "xts",
        "zoo"
      ],
      "fields": [
        "IBM",
        "AAPL",
        "SPY",
        "XOM"
      ],
      "rows": 4777,
      "table": true,
      "tojson": false
    }
  ],
  "_help": [
    {
      "page": "SharpeR",
      "title": "statistics concerning Sharpe ratio and Markowitz portfolio",
      "concept": [
        "sr sropt"
      ],
      "topics": [
        "SharpeR-package",
        "SharpeR"
      ]
    },
    {
      "page": "as.del_sropt",
      "title": "Compute the Sharpe ratio of a hedged Markowitz portfolio.",
      "concept": [
        "del_sropt"
      ],
      "topics": [
        "as.del_sropt",
        "as.del_sropt.default",
        "as.del_sropt.xts"
      ]
    },
    {
      "page": "as.sr",
      "title": "Compute the Sharpe ratio.",
      "concept": [
        "sr"
      ],
      "topics": [
        "as.sr",
        "as.sr.data.frame",
        "as.sr.default",
        "as.sr.lm",
        "as.sr.matrix",
        "as.sr.timeSeries",
        "as.sr.xts"
      ]
    },
    {
      "page": "as.sropt",
      "title": "Compute the Sharpe ratio of the Markowitz portfolio.",
      "concept": [
        "sropt"
      ],
      "topics": [
        "as.sropt",
        "as.sropt.default",
        "as.sropt.xts"
      ]
    },
    {
      "page": "asnr_confint",
      "title": "Confidence intervals on achieved SnR",
      "concept": [
        "sropt Hotelling"
      ],
      "topics": [
        "asnr_confint",
        "asnr_confint.del_sropt",
        "asnr_confint.sropt"
      ]
    },
    {
      "page": "confint",
      "title": "Confidence Interval on (optimal) Signal-Noise Ratio",
      "concept": [
        "sr",
        "sropt"
      ],
      "topics": [
        "confint.del_sropt",
        "confint.sr",
        "confint.sropt"
      ]
    },
    {
      "page": "del_sropt",
      "title": "Create an 'del_sropt' object.",
      "concept": [
        "del_sropt"
      ],
      "topics": [
        "del_sropt"
      ]
    },
    {
      "page": "dsr",
      "title": "The (non-central) Sharpe ratio.",
      "concept": [
        "sr"
      ],
      "topics": [
        "dsr",
        "psr",
        "qsr",
        "rsr"
      ]
    },
    {
      "page": "dsropt",
      "title": "The (non-central) maximal Sharpe ratio distribution.",
      "concept": [
        "sropt"
      ],
      "topics": [
        "dsropt",
        "psropt",
        "qsropt",
        "rsropt"
      ]
    },
    {
      "page": "inference",
      "title": "Inference on noncentrality parameter of F-like statistic",
      "concept": [
        "sropt Hotelling"
      ],
      "topics": [
        "inference",
        "inference.del_sropt",
        "inference.sropt"
      ]
    },
    {
      "page": "is.del_sropt",
      "title": "Is this in the \"del_sropt\" class?",
      "concept": [
        "del_sropt"
      ],
      "topics": [
        "is.del_sropt"
      ]
    },
    {
      "page": "is.sr",
      "title": "Is this in the \"sr\" class?",
      "concept": [
        "sr"
      ],
      "topics": [
        "is.sr"
      ]
    },
    {
      "page": "is.sropt",
      "title": "Is this in the \"sropt\" class?",
      "concept": [
        "sropt"
      ],
      "topics": [
        "is.sropt"
      ]
    },
    {
      "page": "ism_vcov",
      "title": "Compute variance covariance of Inverse 'Unified' Second Moment",
      "topics": [
        "ism_vcov"
      ]
    },
    {
      "page": "pco_sropt",
      "title": "The 'confidence distribution' for maximal Sharpe ratio.",
      "concept": [
        "sropt"
      ],
      "topics": [
        "pco_sropt",
        "qco_sropt"
      ]
    },
    {
      "page": "plambdap",
      "title": "The lambda-prime distribution.",
      "concept": [
        "sr"
      ],
      "topics": [
        "plambdap",
        "qlambdap",
        "rlambdap"
      ]
    },
    {
      "page": "power.sr_test",
      "title": "Power calculations for Sharpe ratio tests",
      "concept": [
        "sr"
      ],
      "topics": [
        "power.sr_test"
      ]
    },
    {
      "page": "power.sropt_test",
      "title": "Power calculations for optimal Sharpe ratio tests",
      "concept": [
        "sropt"
      ],
      "topics": [
        "power.sropt_test"
      ]
    },
    {
      "page": "predint",
      "title": "prediction interval for Sharpe ratio",
      "concept": [
        "sr"
      ],
      "topics": [
        "predint"
      ]
    },
    {
      "page": "print",
      "title": "Print values.",
      "concept": [
        "sr"
      ],
      "topics": [
        "print.del_sropt",
        "print.sr",
        "print.sropt"
      ]
    },
    {
      "page": "reannualize",
      "title": "Change the annualization of a Sharpe ratio.",
      "concept": [
        "sr",
        "sropt"
      ],
      "topics": [
        "reannualize",
        "reannualize.sr",
        "reannualize.sropt"
      ]
    },
    {
      "page": "se",
      "title": "Standard error computation",
      "concept": [
        "sr"
      ],
      "topics": [
        "se",
        "se.sr"
      ]
    },
    {
      "page": "NEWS",
      "title": "News for package 'SharpeR':",
      "topics": [
        "SharpeR-NEWS"
      ]
    },
    {
      "page": "sm_vcov",
      "title": "Compute variance covariance of 'Unified' Second Moment",
      "topics": [
        "sm_vcov"
      ]
    },
    {
      "page": "sr",
      "title": "Create an 'sr' object.",
      "concept": [
        "sr"
      ],
      "topics": [
        "sr"
      ]
    },
    {
      "page": "sr_bias",
      "title": "sr_bias .",
      "topics": [
        "sr_bias"
      ]
    },
    {
      "page": "sr_conditional_test",
      "title": "conditional test for maximum Sharpe ratios.",
      "topics": [
        "sr_conditional_test"
      ]
    },
    {
      "page": "sr_equality_test",
      "title": "Paired test for equality of Sharpe ratio",
      "concept": [
        "sr"
      ],
      "topics": [
        "sr_equality_test"
      ]
    },
    {
      "page": "sr_max_test",
      "title": "test for multiple Sharpe ratios.",
      "topics": [
        "sr_max_test"
      ]
    },
    {
      "page": "sr_test",
      "title": "test for Sharpe ratio",
      "concept": [
        "sr"
      ],
      "topics": [
        "sr_test"
      ]
    },
    {
      "page": "sr_unpaired_test",
      "title": "test for equation on unpaired Sharpe ratios",
      "concept": [
        "sr"
      ],
      "topics": [
        "sr_unpaired_test"
      ]
    },
    {
      "page": "sr_variance",
      "title": "sr_variance .",
      "topics": [
        "sr_variance"
      ]
    },
    {
      "page": "sr_vcov",
      "title": "Compute variance covariance of Sharpe Ratios.",
      "concept": [
        "sr"
      ],
      "topics": [
        "sr_vcov"
      ]
    },
    {
      "page": "sric",
      "title": "Sharpe Ratio Information Coefficient",
      "concept": [
        "sropt Hotelling"
      ],
      "topics": [
        "sric"
      ]
    },
    {
      "page": "sropt",
      "title": "Create an 'sropt' object.",
      "concept": [
        "sropt"
      ],
      "topics": [
        "sropt"
      ]
    },
    {
      "page": "sropt_test",
      "title": "test for optimal Sharpe ratio",
      "concept": [
        "sropt"
      ],
      "topics": [
        "sropt_test"
      ]
    },
    {
      "page": "stock_returns",
      "title": "Stock Returns Data",
      "topics": [
        "stock_returns"
      ]
    },
    {
      "page": "summary",
      "title": "Summarize a Sharpe, or (delta) optimal Sharpe object.",
      "concept": [
        "sr"
      ],
      "topics": [
        "summary.sr",
        "summary.sropt"
      ]
    }
  ],
  "_readme": "https://github.com/shabbychef/SharpeR/raw/HEAD/README.md",
  "_rundeps": [
    "epsiwal",
    "lattice",
    "matrixcalc",
    "zoo"
  ],
  "_vignettes": [
    {
      "source": "AsymptoticMarkowitz.Rnw",
      "filename": "AsymptoticMarkowitz.pdf",
      "title": "Asymptotic Distribution of the Markowitz Portfolio",
      "engine": "knitr::knitr",
      "headings": [
        "Introduction",
        "The augmented second moment",
        "Distribution under Gaussian returns",
        "Extensions",
        "Confirming the scalar Gaussian case"
      ],
      "created": "2014-01-03 22:44:41",
      "modified": "2014-01-03 22:44:41",
      "commits": 1
    },
    {
      "source": "SharpeRatio.Rnw",
      "filename": "SharpeRatio.pdf",
      "title": "Notes on the Sharpe ratio",
      "engine": "knitr::knitr",
      "headings": [
        "The Sharpe ratio",
        "Sharpe ratio and portfolio optimization",
        "Sharpe ratio and constrained portfolio optimization",
        "Multivariate inference in unified form",
        "Miscellanea",
        "Glossary",
        "Asymptotic efficiency of sharpe ratio",
        "Some moments",
        "Untangling Giri"
      ],
      "created": "2013-08-31 06:31:01",
      "modified": "2018-10-07 17:23:43",
      "commits": 36
    },
    {
      "source": "SharpeR.Rnw",
      "filename": "SharpeR.pdf",
      "title": "Using the SharpeR Package",
      "engine": "knitr::knitr",
      "headings": [
        "The Sharpe ratio and Optimal Sharpe ratio",
        "Using the sr Class",
        "Using the sropt Class",
        "Using the del_sropt Class",
        "Hypothesis Tests",
        "Asymptotics",
        "Miscellanea"
      ],
      "created": "2013-08-06 04:31:52",
      "modified": "2020-02-08 06:30:29",
      "commits": 23
    }
  ],
  "_score": 6.3404441148401185,
  "_indexed": true,
  "_nocasepkg": "sharper",
  "_universes": [
    "shabbychef"
  ],
  "_binaries": [
    {
      "r": "4.7.0",
      "os": "linux",
      "version": "1.4.0",
      "date": "2026-07-04T12:07:36.000Z",
      "distro": "resolute",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/b43256e732eea5fe964fa5fcfdfbf0d5f08f83c5e2929f31e88d049b4bd62c91",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.6.1",
      "os": "linux",
      "version": "1.4.0",
      "date": "2026-07-04T12:08:14.000Z",
      "distro": "resolute",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/529732082a2b74726d9bd4dd753df5cd052468575b554f4d84d7d75b00d5908b",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.5.3",
      "os": "mac",
      "version": "1.4.0",
      "date": "2026-07-04T12:06:57.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/0f31258ae9233dae3e4c0e4a20e8729ea3bab6fd909094e7710bc5ab29a97f14",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.6.1",
      "os": "mac",
      "version": "1.4.0",
      "date": "2026-07-04T12:06:54.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/729a197c22c560178718f4cc6bca735dc439dab4bb57f0eab1d04be0b88e1707",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.6.0",
      "os": "wasm",
      "version": "1.4.0",
      "date": "2026-07-04T12:07:34.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/8e2a1cf9d18c33e25f331375a62fd7a2cc8df711c4f7c968d05e37d3eea32ca0",
      "status": "success",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.7.0",
      "os": "win",
      "version": "1.4.0",
      "date": "2026-07-04T12:06:46.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/56e6ff3f51af2de3edf1ea6e7768fff3928dbcfebc874a4224579d8c2959ed7a",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.5.3",
      "os": "win",
      "version": "1.4.0",
      "date": "2026-07-04T12:06:42.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/1a230d7a573a7759c5b47881e8b0dd0bf9fbfcaa621809e8ca8e92cc1d95d0ab",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    },
    {
      "r": "4.6.1",
      "os": "win",
      "version": "1.4.0",
      "date": "2026-07-04T12:06:56.000Z",
      "commit": "6b631e862a90deb3a41cfa03846b1921f61ed698",
      "fileid": "https://r2.ropensci.org/77183f2575fcee7dfc21b6339ae6ffe44d19e8c758aa5831657d3a1df8cb74ee",
      "status": "success",
      "check": "OK",
      "buildurl": "https://github.com/r-universe/shabbychef/actions/runs/28705585201"
    }
  ]
}