table.RollingPeriods: Rolling Periods Summary: Statistics and Stylized Facts

Description Usage Arguments Author(s) See Also Examples

Description

A table of estimates of rolling period return measures

Usage

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table.RollingPeriods(
  R,
  periods = subset(c(12, 36, 60), c(12, 36, 60) < length(as.matrix(R[, 1]))),
  FUNCS = c("mean", "sd"),
  funcs.names = c("Average", "Std Dev"),
  digits = 4,
  ...
)

table.TrailingPeriodsRel(
  R,
  Rb,
  periods = subset(c(12, 36, 60), c(12, 36, 60) < length(as.matrix(R[, 1]))),
  FUNCS = c("cor", "CAPM.beta"),
  funcs.names = c("Correlation", "Beta"),
  digits = 4,
  ...
)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

periods

number of periods to use as rolling window(s), subset of c(3, 6, 9, 12, 18, 24, 36, 48)

FUNCS

list of functions to apply the rolling period to

funcs.names

vector of function names used for labeling table rows

digits

number of digits to round results to

...

any other passthru parameters for functions specified in FUNCS

Rb

an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, portfolio, or secondary asset returns to compare against

Author(s)

Peter Carl

See Also

rollapply

Examples

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data(edhec)
table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36))

result=table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36))
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, 
                   cdec=rep(3,dim(result)[2])), rmar = 0.8, cmar = 1.5,  
                   max.cex=.9, halign = "center", valign = "top", row.valign="center", 
                   wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Trailing Period Statistics")

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