On Fri, Nov 9, 2012 at 6:46 AM, sheenmaria <sheenmar...@gmail.com> wrote:
> i read about the performance analytics package
> i have a doubt about the TreynorRatio
>
> i have code
>
> g=getSymbols("IBM")
>> c=Cl(g)
>> r=Return.calculate(c)
>> SharpeRatio.annualized(r)
> IBM.Close
> Annualized Sharpe Ratio (Rf=0%) 0.3566339
>
>> TreynorRatio (ret)
> Error in inherits(x, "xts") : argument "Rb" is missing, with no default
>
> TreynorRatio give the error like this.
> what value i give for the Rb field. anyboday can help
Type
?TreynorRatio
to see the documentation. The Treynor ratio is a relative performance
metric, so you have to give a benchmark return series as well.
Michael
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