Since I´m not an expert with Sharp Ratios, what results do you expect? Never the less, don´t forget that you assume a risk free rate of 0 (since the default for SharpeRatio(R, Rf = 0, p = 0.95)
is zero), this might bias your results .
Regarding the second half of your question I would do something like this:
rollapply(dreturns.z, FUN = function(x) SharpeRatio(x, FUN = "StdDev"),
by.column=T, width=20, align="right")
Hope this helps....