R: Trouble using SharpeRatio from the PerformanceAnalytics package

Discussion in 'App Development' started by Cinji18, Aug 12, 2019.

  1. To convert from a monthly to yearly value multiply by sqrt(12). The StdDev calculation is based on a square root hence the sqrt().

    I suspect the difference you're seeing is due to the risk free rate.

    You can do this calculation in Excel using average and stdev to check your results.
     
    #11     Oct 27, 2019