Documentation

### This is machine translation

Mouseover text to see original. Click the button below to return to the English version of the page.

# sharpe

Compute Sharpe ratio for one or more assets

## Syntax

```sharpe(Asset)
sharpe(Asset,Cash)
Ratio = sharpe(Asset,Cash)
```

## Arguments

 `Asset` `NUMSAMPLES`-by-`NUMSERIES` matrix with `NUMSAMPLES` observations of asset returns for `NUMSERIES` asset return series. `Cash` (Optional) Either a scalar return for a riskless asset or a vector of asset returns to be a proxy for a riskless asset. In either case, the return periodicity must be the same as the periodicity of `Asset`. For example, if `Asset` is monthly data, then `Cash` must be monthly returns. If no value is supplied, the default value for `Cash` returns is 0.

## Description

Given `NUMSERIES` assets with `NUMSAMPLES` returns for each asset in a `NUMSAMPLES`-by-`NUMSERIES` matrix `Asset` and given either a scalar `Cash` asset return or a vector of `Cash` asset returns, the Sharpe ratio is computed for each asset.

The output is `Ratio`, a `1`-by-`NUMSERIES` row vector of Sharpe ratios for each series in `Asset`. Any series in `Asset` with standard deviation of returns equal to 0 has a `NaN` value for its Sharpe ratio.

### Note

If `Cash` is a vector, `Asset` and `Cash` need not have the same number of returns but must have the same periodicity of returns. The classic Sharpe ratio assumes that `Cash` is riskless. In reality, a short-term cash rate is not necessarily riskless. `NaN` values in the data are ignored.

## Examples

See Sharpe Ratio.

## References

William F. Sharpe. "Mutual Fund Performance." Journal of Business. Vol. 39, No. 1, Part 2, January 1966, pp. 119–138.