Statistical Significance of the Sharpe Ratio

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Documentation for package ‘SharpeR’ version 1.3.0

• DESCRIPTION file.
• User guides, package vignettes and other documentation.

Help Pages

SharpeR-package	statistics concerning Sharpe ratio and Markowitz portfolio
as.del_sropt	Compute the Sharpe ratio of a hedged Markowitz portfolio.
as.del_sropt.default	Compute the Sharpe ratio of a hedged Markowitz portfolio.
as.del_sropt.xts	Compute the Sharpe ratio of a hedged Markowitz portfolio.
as.sr	Compute the Sharpe ratio.
as.sr.data.frame	Compute the Sharpe ratio.
as.sr.default	Compute the Sharpe ratio.
as.sr.lm	Compute the Sharpe ratio.
as.sr.matrix	Compute the Sharpe ratio.
as.sr.timeSeries	Compute the Sharpe ratio.
as.sr.xts	Compute the Sharpe ratio.
as.sropt	Compute the Sharpe ratio of the Markowitz portfolio.
as.sropt.default	Compute the Sharpe ratio of the Markowitz portfolio.
as.sropt.xts	Compute the Sharpe ratio of the Markowitz portfolio.
confint.del_sropt	Confidence Interval on (optimal) Signal-Noise Ratio
confint.sr	Confidence Interval on (optimal) Signal-Noise Ratio
confint.sropt	Confidence Interval on (optimal) Signal-Noise Ratio
del_sropt	Create an 'del_sropt' object.
dsr	The (non-central) Sharpe ratio.
dsropt	The (non-central) maximal Sharpe ratio distribution.
inference	Inference on noncentrality parameter of F-like statistic
inference.del_sropt	Inference on noncentrality parameter of F-like statistic
inference.sropt	Inference on noncentrality parameter of F-like statistic
is.del_sropt	Is this in the "del_sropt" class?
is.sr	Is this in the "sr" class?
is.sropt	Is this in the "sropt" class?
ism_vcov	Compute variance covariance of Inverse 'Unified' Second Moment
pco_sropt	The 'confidence distribution' for maximal Sharpe ratio.
plambdap	The lambda-prime distribution.
power.sropt_test	Power calculations for optimal Sharpe ratio tests
power.sr_test	Power calculations for Sharpe ratio tests
predint	prediction interval for Sharpe ratio
print.del_sropt	Print values.
print.sr	Print values.
print.sropt	Print values.
psr	The (non-central) Sharpe ratio.
psropt	The (non-central) maximal Sharpe ratio distribution.
qco_sropt	The 'confidence distribution' for maximal Sharpe ratio.
qlambdap	The lambda-prime distribution.
qsr	The (non-central) Sharpe ratio.
qsropt	The (non-central) maximal Sharpe ratio distribution.
reannualize	Change the annualization of a Sharpe ratio.
reannualize.sr	Change the annualization of a Sharpe ratio.
reannualize.sropt	Change the annualization of a Sharpe ratio.
rlambdap	The lambda-prime distribution.
rsr	The (non-central) Sharpe ratio.
rsropt	The (non-central) maximal Sharpe ratio distribution.
se	Standard error computation
se.sr	Standard error computation
SharpeR-NEWS	News for package 'SharpeR':
sm_vcov	Compute variance covariance of 'Unified' Second Moment
sr	Create an 'sr' object.
sric	Sharpe Ratio Information Coefficient
sropt	Create an 'sropt' object.
sropt_test	test for optimal Sharpe ratio
sr_bias	sr_bias .
sr_equality_test	Paired test for equality of Sharpe ratio
sr_test	test for Sharpe ratio
sr_unpaired_test	test for equation on unpaired Sharpe ratios
sr_variance	sr_variance .
sr_vcov	Compute variance covariance of Sharpe Ratios.
stock_returns	Stock Returns Data
summary.sr	Summarize a Sharpe, or (delta) optimal Sharpe object.
summary.sropt	Summarize a Sharpe, or (delta) optimal Sharpe object.