Calculating SharpeRatio for several managers with PerformanceAnalytics

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Hi Wind,

Try:

apply(managers[,c(1,3)],2, SharpeRatio)
  HAM1      HAM3
0.4481450 0.3289917

HTH
Jeff
I wonder whether there is any better method calculating ratios such as
SharpRatio, SortinoRatio and so on, for several managers.

library(PerformanceAnalytics)
data(managers)
It is ok if we just calculate SharpeRatio for one manager.
SharpeRatio(managers[,1,drop=FALSE])
? ?HAM1
0.448145

But it seems that we could not calculate SharpeRatio for several managers at
once.
SharpeRatio(managers[,c(1,3),drop=FALSE])
? ? HAM1 ? ? ?HAM3
0.4670831 0.3161724

The answer for HAM1 is different now.

SharpeRatio(managers[,c(1,2,3),drop=FALSE])
HAM1 HAM2 HAM3
?NA ? NA ? NA

?I guess maybe I have not use the function properly.

If I change the mean function in SharpeRatio or SortinoRatio to colMeans
function, it seems ok.
Because PerformanceAnalytics provides many useful ratios I wonder whether
there are some better methods so one could utilize the ratio calculating for
several managers directly.

Any suggestion would be appreciated.

? ? ? ?[[alternative HTML version deleted]]

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Jeffrey Ryan
jeffrey.ryan at insightalgo.com

ia: insight algorithmics
www.insightalgo.com
SharpeRatio was originally written to use on a single column, but because
of the behavior of sd, which provides multi-column support, the error
isn't obvious.  Thanks very much for bringing this to our attention, we'll
provide multi-column support for this function in the next release.

To ensure column-by-column results in the meantime, you might use:
sapply(managers[,c(1,3)], FUN=SharpeRatio)
sapply(managers[,c(1,3)], FUN=SharpeRatio)
HAM1.Column HAM3.Column
  0.4481450   0.3289917
SharpeRatio(managers[,1,drop=F])
HAM1
0.448145

Sorry for the inconvenience, and thanks again for pointing this out.

pcc
Peter Carl
http://www.braverock.com/~peter

> I wonder whether there is any better method calculating ratios such as
> SharpRatio, SortinoRatio and so on, for several managers.
>
>>library(PerformanceAnalytics)
>>data(managers)
>
> It is ok if we just calculate SharpeRatio for one manager.
>> SharpeRatio(managers[,1,drop=FALSE])
>     HAM1
> 0.448145
>
> But it seems that we could not calculate SharpeRatio for several managers
> at
> once.
>> SharpeRatio(managers[,c(1,3),drop=FALSE])
>      HAM1      HAM3
> 0.4670831 0.3161724
>
> The answer for HAM1 is different now.
>
>> SharpeRatio(managers[,c(1,2,3),drop=FALSE])
> HAM1 HAM2 HAM3
>   NA   NA   NA
>
>  I guess maybe I have not use the function properly.
>
> If I change the mean function in SharpeRatio or SortinoRatio to colMeans
> function, it seems ok.
> Because PerformanceAnalytics provides many useful ratios I wonder whether
> there are some better methods so one could utilize the ratio calculating
> for
> several managers directly.
>
> Any suggestion would be appreciated.
>
> 	[[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>
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