function sterlingratio
sterlingratio(
x: array,
frisk?: number,
t?: number,
dim?: 0 | 1,
): number

Sterling Ratio.

A risk-adjusted performance measure like Calmar ratio but the denominator is the largest consecutive drawdown (excluded the 10% excess in the original formula). Sterling Ratio = (Annualized Return - Risk Free Rate) / Largest Drawdown

Examples

Single asset sterling ratio

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
assertEquals(sterlingratio(x,0,12), 16.701048718978136);

Multiple assets sterling ratios

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(sterlingratio(x,0,12), 16.701048718978136);
assertEquals(sterlingratio(y,0,12), 1.3190010333058182);

Parameters

x: array

asset/portfolio returns

optional
frisk: number

annual free-risk rate (def: 0)

optional
t: number

frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily (def: 252)

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

number

Sterling Ratio

sterlingratio(
x: matrix,
frisk?: number,
t?: number,
dim?: 0 | 1,
): array | matrix

Sterling Ratio.

A risk-adjusted performance measure like Calmar ratio but the denominator is the largest consecutive drawdown (excluded the 10% excess in the original formula). Sterling Ratio = (Annualized Return - Risk Free Rate) / Largest Drawdown

Examples

Single asset sterling ratio

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];
assertEquals(sterlingratio(x,0,12), 16.701048718978136);

Multiple assets sterling ratios

import { assertEquals } from "jsr:@std/assert";

var x = [0.003,0.026,0.015,-0.009,0.014,0.024,0.015,0.066,-0.014,0.039];

var y = [-0.005,0.081,0.04,-0.037,-0.061,0.058,-0.049,-0.021,0.062,0.058];
assertEquals(sterlingratio(x,0,12), 16.701048718978136);
assertEquals(sterlingratio(y,0,12), 1.3190010333058182);

Parameters

asset/portfolio returns

optional
frisk: number

annual free-risk rate (def: 0)

optional
t: number

frequency of data. 1: yearly, 4: quarterly, 12: monthly, 52: weekly, 252: daily (def: 252)

optional
dim: 0 | 1

dimension 0: row, 1: column (def: 0)

Return Type

Sterling Ratio

Usage

import sterlingratio from "quants/sterlingratio.ts";