R/sumstat.R

In Bjerring/rispackage4: RIS alpha

sumstat <- function(b.test,ETFs){
  
  dat <- diff(log(b.test))
  sds <- sd(dat)*sqrt(52)
  means <- mean(dat)*52*100
  sharpe <- ((means - 0.02)/sds)/100
  maxs <- max(diff(log(b.test[seq(1,length(b.test),52)])))*100
  mins <- min(diff(log(b.test[seq(1,length(b.test),52)])))*100
  
  output <- c()
  output[1] <- sds*100
  output[2] <- means
  output[3] <- maxs
  output[4] <- mins
  output[5] <- sharpe
  
  names(output) <- c("Standard Deviation.", "Average Return","Max Annual Return","Min Annual Return","Sharpe Ratio")
  return(output)
}