table.Variability: Variability Summary: Statistics and Stylized Facts

Description Usage Arguments Author(s) References See Also Examples

Description

Table of Mean absolute difference, period standard deviation and annualised standard deviation

Usage

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table.Variability(R, scale = NA, geometric = TRUE, digits = 4)

Arguments

R

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

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

digits

number of digits to round results to

Author(s)

Matthieu Lestel

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.65

See Also

StdDev.annualized
MeanAbsoluteDeviation

Examples

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data(managers)
table.Variability(managers[,1:8])

require("Hmisc")
result = t(table.Variability(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Portfolio variability")

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