SharpeR: Statistical Significance of the Sharpe Ratio

A collection of tools for analyzing significance of assets, funds, and trading strategies, based on the Sharpe ratio and overfit of the same. Provides density, distribution, quantile and random generation of the Sharpe ratio distribution based on normal returns, as well as the optimal Sharpe ratio over multiple assets. Computes confidence intervals on the Sharpe and provides a test of equality of Sharpe ratios based on the Delta method.

Version: 1.2.0
Depends: R (≥ 3.0.0)
Imports: matrixcalc, methods, sadists (≥ 0.2.0)
Suggests: xtable, xts, timeSeries, quantmod, MASS, TTR, testthat, sandwich, knitr
Published: 2018-10-07
Author: Steven E. Pav ORCID iD [aut, cre]
Maintainer: Steven E. Pav <shabbychef at>
License: LGPL-3
NeedsCompilation: no
Citation: SharpeR citation info
Materials: README ChangeLog
In views: Finance
CRAN checks: SharpeR results


Reference manual: SharpeR.pdf
Vignettes: Asymptotic Distribution of the Markowitz Portfolio
Using the SharpeR Package
Notes on the Sharpe ratio
Package source: SharpeR_1.2.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X binaries: r-release: SharpeR_1.2.0.tgz, r-oldrel: SharpeR_1.2.0.tgz
Old sources: SharpeR archive

Reverse dependencies:

Reverse suggests: madness, MarkowitzR


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