Sterling Ratio

This function computes the Sterling ratio of the univariate time series (or vector) x.

sterling(x)

Arguments

x

a numeric vector or univariate time series corresponding to a portfolio's cumulated returns.

Details

The Sterling ratio is defined as a portfolio's overall return divided by the portfolio's maxdrawdown statistic. In finance the Sterling Ratio represents a measure of the portfolio's risk-adjusted return.

Value

a double representing the Sterling ratio.

Author

A. Trapletti

See also

maxdrawdown, sharpe

Examples

data(EuStockMarkets)
dax <- log(EuStockMarkets[,"DAX"])
ftse <- log(EuStockMarkets[,"FTSE"])
sterling(dax)
#> [1] 4.726247
sterling(ftse)
#> [1] 3.976783