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SharpeR: Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method. The statistical foundations of the Sharpe can be found in the author's Short Sharpe Course <doi:10.2139/ssrn.3036276>.

Version: 1.3.0
Depends: R (≥ 3.0.0)
Imports: matrixcalc, methods
Suggests: xtable, xts, timeSeries, quantmod, MASS, TTR, testthat, sandwich, txtplot, knitr
Published: 2021-08-18
DOI: 10.32614/CRAN.package.SharpeR
Author: Steven E. Pav ORCID iD [aut, cre]
Maintainer: Steven E. Pav <shabbychef at gmail.com>
BugReports: https://github.com/shabbychef/SharpeR/issues
License: LGPL-3
URL: https://github.com/shabbychef/SharpeR
NeedsCompilation: no
Citation: SharpeR citation info
Materials: README ChangeLog
In views: Finance
CRAN checks: SharpeR results

Documentation:

Reference manual: SharpeR.pdf
Vignettes: Asymptotic Distribution of the Markowitz Portfolio
Using the SharpeR Package
Notes on the Sharpe ratio

Downloads:

Package source: SharpeR_1.3.0.tar.gz
Windows binaries: r-devel: SharpeR_1.3.0.zip, r-release: SharpeR_1.3.0.zip, r-oldrel: SharpeR_1.3.0.zip
macOS binaries: r-release (arm64): SharpeR_1.3.0.tgz, r-oldrel (arm64): SharpeR_1.3.0.tgz, r-release (x86_64): SharpeR_1.3.0.tgz, r-oldrel (x86_64): SharpeR_1.3.0.tgz
Old sources: SharpeR archive

Reverse dependencies:

Reverse suggests: madness, MarkowitzR, sadists

Linking:

Please use the canonical form https://CRAN.R-project.org/package=SharpeR to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.