Displaying 1 result from an estimated 1 matches for "percentreturns".
2007 Feb 19
2
Calculating the Sharpe ratio
...returns. In this case, the example given
data(EuStockMarkets)
dax <- log(EuStockMarkets[,"FTSE"])
is however not the cumulated returns but rather the daily returns of the
FTSE stock index.
Is this way of calculating the Sharpe ratio correct?
Here are my own data:
year Index PercentReturns
1985 117 0.091
1986 129.9 0.11
1987 149.9 0.154
1988 184.8 0.233
1989 223.1 0.208
1990 223.2 0
1991 220.5 -0.012
1992 208.1 -0.056
1993 202.1 -0.029
1994 203.1 0.005
1995 199.6 -0.017
1996 208.6 0.045
1997 221.7 0.063
199...