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SharpeR  

Statistical Significance of the Sharpe Ratio
View on CRAN: Click here


Download and install SharpeR package within the R console
Install from CRAN:
install.packages("SharpeR")

Install from Github:
library("remotes")
install_github("cran/SharpeR")

Install by package version:
library("remotes")
install_version("SharpeR", "1.4.0")



Attach the package and use:
library("SharpeR")
Maintained by
Steven E. Pav
[Scholar Profile | Author Map]
First Published: 2013-05-11
Latest Update: 2021-08-18
Description:
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 .
How to cite:
Steven E. Pav (2013). SharpeR: Statistical Significance of the Sharpe Ratio. R package version 1.4.0, https://cran.r-project.org/web/packages/SharpeR. Accessed 29 Mar. 2025.
Previous versions and publish date:
0.1305 (2013-05-11 15:36), 0.1306 (2013-05-21 07:14), 0.1307 (2013-08-09 07:20), 0.1308 (2013-08-12 19:16), 0.1309 (2013-09-22 07:44), 0.1310 (2013-10-29 18:46), 0.1401 (2014-01-04 00:47), 0.1501 (2014-12-24 01:30), 1.0.0 (2015-06-18 18:00), 1.1.0 (2016-03-14 07:54), 1.2.0 (2018-10-07 23:00), 1.2.1 (2020-02-08 08:00), 1.3.0 (2021-08-18 11:10)
Other packages that cited SharpeR R package
View SharpeR citation profile
Other R packages that SharpeR depends, imports, suggests or enhances
Complete documentation for SharpeR
Functions, R codes and Examples using the SharpeR R package
Some associated functions: NEWS . SharpeR . as.del_sropt . as.sr . as.sropt . confint . del_sropt . dsr . dsropt . inference . is.del_sropt . is.sr . is.sropt . ism_vcov . pco_sropt . plambdap . power.sr_test . power.sropt_test . predint . print . reannualize . se . sm_vcov . sr . sr_bias . sr_equality_test . sr_test . sr_unpaired_test . sr_variance . sr_vcov . sric . sropt . sropt_test . stock_returns . summary . 
Some associated R codes: Full SharpeR package functions and examples
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