summary function

Summarize a Sharpe, or (delta) optimal Sharpe object.

Summarize a Sharpe, or (delta) optimal Sharpe object.

Computes a summary of an object, adding in some statistics.

## S3 method for class 'sr' summary(object, ...) ## S3 method for class 'sropt' summary(object, ...)

Arguments

  • object: an object of class sr, sropt or del_sropt.
  • ...: additional arguments affecting the summary produced, though ignored here.

Returns

When an sr object is input, the object cast to class summary.sr with some additional fields:

  • tval: the equivalent t-statistic.
  • pval: the p-value under the null.
  • serr: the standard error of the Sharpe ratio.

When an sropt object is input, the object cast to class summary.sropt with some additional fields:

  • pval: the p-value under the null.
  • SRIC: the SRIC value, see sric.

Details

Enhances an object of class sr, sropt or del_sropt to also include t- or T-statistics, p-values, and so on.

Examples

# Sharpe's 'model': just given a bunch of returns. set.seed(1234) asr <- as.sr(rnorm(253*3),ope=253) summary(asr)

References

Sharpe, William F. "Mutual fund performance." Journal of business (1966): 119-138. https://ideas.repec.org/a/ucp/jnlbus/v39y1965p119.html

See Also

print.sr.

Other sr: as.sr(), confint.sr(), dsr(), is.sr(), plambdap(), power.sr_test(), predint(), print.sr(), reannualize(), se(), sr, sr_equality_test(), sr_test(), sr_unpaired_test(), sr_vcov()

Author(s)

Steven E. Pav shabbychef@gmail.com

  • Maintainer: Steven E. Pav
  • License: LGPL-3
  • Last published: 2024-12-18