Re: [R] TreynorRatio

On Fri, Nov 9, 2012 at 8:35 AM, sheen maria wrote: > Sir, > But in this price returns only the closing value (Cl(getsymbols("IBM")) > i already refer the ?TreynorRatio > > But it not specify how to calculate the benchmark return. > In this case what value i put as benchmark return series. > Ple

Re: [R] TreynorRatio

On Fri, Nov 9, 2012 at 6:46 AM, sheenmaria 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 > Annu

[R] TreynorRatio

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) Err