Suppose I want to calculate the Sharpe ratio given a risk free rate of 0.05 for a portfolio consisting of assets from 500 ETFs. How can I do so in R given the data I've collected thus far in my R code? The following is a part of my code:
#To extract ETF-prices for each column
prices <- data.frame(ETF=ETF,row.names = dates)
head(prices)
# Function for calculating continous returns & log returns
returnscalc <- function(x){
diff(x)/x[-length(x)]
}
returns <- apply(prices, 2, returnscalc)
head(returns)
# Function for calculating geometric mean
geomAveCalc <- function(x){
(prod((1+x)))^(1/length(x))-1
}
weeklymean <- apply(returns, 2, geomAveCalc)
yearlymean <- matrix((1+weeklymean)^52-1)
yearlystd <- sqrt (52 * apply(returns, 2, var))
yearlycov <- 52 * cov(returns)
where ETF is the data extracted from the .csv file containing the ETFs data.
Some help will be deeply appreciated.
