Compute annualized Sharpe ratio for return series.
calculate_sharpe_ratio(returns, risk_free_rate = 0.02, periods_per_year = 252)
Arguments
- returns
Numeric vector of returns
- risk_free_rate
Annual risk-free rate (default: 0.02)
- periods_per_year
Number of periods per year (default: 252 for daily)
Value
Numeric Sharpe ratio
Examples
returns <- rnorm(252, 0.08/252, 0.2/sqrt(252))
sharpe <- calculate_sharpe_ratio(returns)
print(sharpe)
#> [1] 1.048951