table.MonthlyReturns: Returns Summary: Statistics and Stylized Facts

In PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Description

Returns a basic set of statistics that match the period of the data passed in (e.g., monthly returns will get monthly statistics, daily will be daily stats, and so on)

Usage

table.Stats(R, ci = 0.95, digits = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
ci	confidence interval, defaults to 95%
digits	number of digits to round results to

Details

This was created as a way to display a set of related statistics together for comparison across a set of instruments or funds. Careful consideration to missing data or unequal time series should be given when intepreting the results.

Author(s)

Peter Carl

Examples

data(edhec)
table.Stats(edhec[,1:3])
t(table.Stats(edhec))

result=t(table.Stats(edhec))
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(rep(1,2),rep(3,14))), 
         rmar = 0.8, cmar = 1.5,  max.cex=.9, halign = "center", valign = "top", 
         row.valign="center", wrap.rownames=10, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Statistics for EDHEC Indexes")

PerformanceAnalytics documentation built on Feb. 6, 2020, 5:11 p.m.