The SharpeR package provides basic functionality for testing significance of the Sharpe ratio of a series of returns, and of the Markowitz portfolio on a number of possibly correlated assets.[15] The goal of the package is to make it simple to estimate profitability (in terms of riskadjusted returns) of strategies or asset streams. 1 The Sharpe ratio and Optimal Sharpe ratio Sharpe defined the ...

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

In this paper we analyze the influence of market climates on mutual fund Sharpe ratios. First, in a theoretical analysis based on a common factor model in performance analysis, we show that a significant bias results from market climate – in addition to the obvious influence of fund management performance. Market climate is determined by the random mean and standard deviation of market excess r...

The purpose of this paper is to analyze the effect of either booms or disasters on the Sharpe Ratio. We provide a closed form expression of the Sharpe Ratio of an index whose log-return follows an arbitrary distribution. That is, besides variance, we allow for skewness, kurtosis and higher cumulants of the log-return to be non-zero. Our article has two main contributions. First, the Sharpe Rati...

Main academic criticism on the Sharpe ratio concerns its lack in incorporating skewness in performance evaluation. In this note we rewrite the classical Sharpe ratio for skew normal distributions. This new skew-normal Shape ratio consistently moves with skewness and no distorted information on performance is provided. An empirical investigation illustrates skew-normality of mutual and hedge fun...