Statistical Significance of the Sharpe Ratio
Compute the Sharpe ratio of a hedged Markowitz portfolio.
Compute the Sharpe ratio.
Compute the Sharpe ratio of the Markowitz portfolio.
Confidence Interval on (optimal) Signal-Noise Ratio
Create an 'del_sropt' object.
The (non-central) Sharpe ratio.
The (non-central) maximal Sharpe ratio distribution.
Inference on noncentrality parameter of F-like statistic
Is this in the "del_sropt" class?
Is this in the "sr" class?
Is this in the "sropt" class?
Compute variance covariance of Inverse 'Unified' Second Moment
News for package 'SharpeR':
The 'confidence distribution' for maximal Sharpe ratio.
The lambda-prime distribution.
Power calculations for Sharpe ratio tests
Power calculations for optimal Sharpe ratio tests
prediction interval for Sharpe ratio
Print values.
Change the annualization of a Sharpe ratio.
Standard error computation
statistics concerning Sharpe ratio and Markowitz portfolio
Compute variance covariance of 'Unified' Second Moment
Create an 'sr' object.
sr_bias .
Paired test for equality of Sharpe ratio
test for Sharpe ratio
test for equation on unpaired Sharpe ratios
sr_variance .
Compute variance covariance of Sharpe Ratios.
Sharpe Ratio Information Coefficient
Create an 'sropt' object.
test for optimal Sharpe ratio
Summarize a Sharpe, or (delta) optimal Sharpe object.
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>.