Man pages for JFE
Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics
| ActivePremium | Active Premium or Active Return |
| AdjustedSharpeRatio | Adjusted Sharpe ratio of the return distribution |
| AppraisalRatio | Appraisal ratio of the return distribution |
| BernardoLedoitRatio | Bernardo and Ledoit ratio of the return distribution |
| BurkeRatio | Burke ratio of the return distribution |
| CalmarRatio | calculate a Calmar or Sterling reward/risk ratio Calmar and... |
| CAPM.jensenAlpha | Jensen's alpha of the return distribution |
| data-sets | Assets Data Sets |
| DownsideDeviation | downside risk (deviation, variance) of the return... |
| DRatio | d ratio of the return distribution |
| DrawdownPeak | Drawdawn peak of the return distribution |
| getBIS | Download time series data from Bank of International... |
| getFed | Download financial and economic time series data from the Fed |
| getFrench.Factors | Download seven asset pricing factors data from the data... |
| getFrench.Portfolios | Download 24 asset pricing factors data from the data library... |
| getTWSE.fiveSecond | Download Download 5-second index price from the Taiwan Stock... |
| InformationRatio | InformationRatio = ActivePremium/TrackingError |
| JFE | Display the JFE User Interface |
| KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a... |
| M2Sortino | M squared for Sortino of the return distribution |
| MartinRatio | Martin ratio of the return distribution |
| maxDrawdown | caclulate the maximum drawdown from peak equity |
| MeanAbsoluteDeviation | Mean absolute deviation of the return distribution |
| OmegaSharpeRatio | Omega-Sharpe ratio of the return distribution |
| PainIndex | Pain index of the return distribution |
| PainRatio | Pain ratio of the return distribution |
| ProspectRatio | Prospect ratio of the return distribution |
| Return.annualized | calculate an annualized return for comparing instruments with... |
| riskOptimalPortfolio | Compute risk optimal portfolios maxDD, aveDD and CDaR |
| riskParityPortfolio | Compute risk parity portfolio |
| SharpeRatio | calculate a traditional or modified Sharpe Ratio of Return... |
| SharpeRatio.annualized | calculate annualized Sharpe Ratio |
| SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return distribution |
| SortinoRatio | calculate Sortino Ratio of performance over downside risk |
| table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts |
| TrackingError | Calculate Tracking Error of returns against a benchmark |
| TreynorRatio | calculate Treynor Ratio or modified Treynor Ratio of excess... |
| UlcerIndex | calculate the Ulcer Index |
| VolatilitySkewness | Volatility and variability of the return distribution |
