(Yıllıklandırılmış) Sharpe oranı
R ile Portföy Analizine Giriş
Kris Boudt
Professor, Free University Brussels & Amsterdam
Performansın karşılaştırılması
Performansın karşılaştırılması
Risk-getiri dengesi
Risk-getiri dengesi
Risk-getiri dengesi
Risk-getiri dengesi
Risk-getiri dengesi
Risk-getiri dengesi
Sermaye tahsis hattı
Sermaye tahsis hattı
Sermaye tahsis hattı
Sermaye tahsis hattı
Sharpe oranı
Sharpe oranı
Sharpe oranı
Sharpe oranı
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c(-0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c(-0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
mean(sample_returns)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c(-0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
mean.geometric(sample_returns)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c(-0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
StdDev(sample_returns)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c(-0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
(mean(sample_returns)-0.004)/StdDev(sample_returns)
Aylık performansı yıllıklandırma
- Aritmetik ortalama: aylık ortalama * 12
- Geometrik ortalama, $R_i$ aylık getiriler ise:
- $[(1+R_1)\cdot(1+R_2)\cdot...\cdot(1+R_T)]^{12/T} -1$
- Oynaklık: aylık oynaklık * sqrt(12)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c( -0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c( -0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Return.annualized(sample_returns, scale = 12, geometric = FALSE)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c( -0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Return.annualized(sample_returns, scale = 12, geometric = TRUE)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c( -0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Std.Dev.annualized(sample_returns, scale = 12)
Performans istatistikleri uygulamada
library(PerformanceAnalytics)
sample_returns <- c( -0.02, 0.00, 0.00, 0.06, 0.02, 0.03, -0.01, 0.04)
Return.annualized(sample_returns, scale = 12)/
Std.Dev.annualized(sample_returns, scale = 12)
