Statistical Significance of the Sharpe Ratio

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Documentation for package ‘SharpeR’ version 1.4.0

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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.
asnr_confint Confidence intervals on achieved SnR
asnr_confint.del_sropt Confidence intervals on achieved SnR
asnr_confint.sropt Confidence intervals on achieved SnR
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 statistics concerning Sharpe ratio and Markowitz portfolio
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_conditional_test conditional test for maximum Sharpe ratios.
sr_equality_test Paired test for equality of Sharpe ratio
sr_max_test test for multiple Sharpe ratios.
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.