Sharpe Ratio


Code to compute the Sharpe Ratio

  • SharpeR, an R package for computing the Sharpe ratio, and performing significance tests on the Sharpe.
  • PerformanceAnalytics is an R package for computing many performance metrics of assets, including the Sharpe ratio, but also the Sortino, maximum drawdown, and so on.
  • sharpeRratio is an R package that supports an alternative computation of the Sharpe ratio, via the distribution of drawdown and drawup of the sample. This method appears to have higher efficiency for fat tailed returns distributions. pysharperratio supports the same test in Python.

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The above references an opinion and is for information purposes only. It is not offered as investment advice.