Man pages for alejandro-sotolongo/InvestmentSuite
Investment Asset and Portfolio Time-Series Analysis
| absorp_ratio | Calculate absorption ratio |
| ann_vol | Annualized volatility |
| auto_reb_wgt | Populate rebalance weight time-series from a vector of... |
| cal_ret | Calculate periodic return betweem two dates |
| cal_time | Calendar time helper |
| change_freq | Change time-series frequency |
| chart_line | Plot line chart |
| chart_pca | Plot PCA charts |
| check_freq | Check frequency character |
| check_time_series | Check time-series structure |
| check_y_param | Check specification of y paramter |
| combine_time_series | Combine multiple time-series into one data.frame |
| contr_to_ret | Asset contribution to portfolio return |
| cov_wgt_avg | Weighted average covariance matrix |
| df_to_kable | Dataframe to kable |
| dot-rank_last_observation | Rank the last observation of a time-series from largest to... |
| down_capture | Down capture ratio |
| download_fred | Download time-series from FRED database |
| download_french | Download from Ken French datalibrary |
| download_shiller | Download data from Bob Shiller's datalibrary |
| download_tiingo | Download time-series from Tiingo |
| down_vol | Downside volatility |
| drawdown | Calculate time-series of loss from prior peak |
| excess_mean | Excess mean |
| excess_ret | Excess return time-series |
| excess_ret_bool | Net y returns from x returns based on boolean index |
| find_drawdowns | Find unique drawdowns from drawdown time-series |
| fNum | Utility function to format numeric data as 1,000.00 |
| fPercent | Utility function to format numeric data as 0.00 fPercent(x,... |
| freq_to_scale | Utility function to convert frequency character to numeric... |
| freq_to_string | Convert frequency character to descriptive string |
| fund_beta | Beta of fund(s) relative to benchmark |
| fund_corr | Correlation of fund(s) relative to benchmark |
| geo_ret | Geometric return |
| guess_freq | Guess time-series frequency |
| info_ratio | Information ratio |
| mv_reg | Multi-variate regression |
| omega_ratio | Omega ratio |
| pca_cov | Principal Component Analysis from the covariance matrix |
| pca_hclust | Heirachical clustering around latents |
| price_fill_na | Fill missing price values with previous non-missing value |
| price_to_ret | Convert price (level) time-series to returns (delta) |
| rebal | Portfolio rebalance |
| reg_fit_table | Format regression summary table from list of fits |
| ret_to_price | Convert returns to prices |
| return_fill_na | Fill missing return values with zero |
| roll_absorp_ratio | Rolling absorption ratio |
| run_reg | Wrapper for running linear regression |
| sharpe_ratio | Sharpe Ratio |
| sortino_ratio | Sortino ratio |
| stat_mode | Calculate mode |
| tbl_cal_perf | Create table of returns over different calendar periods |
| tbl_cov | Create table with beta, correlation, and r^2 stats |
| tbl_perf_summary | Create table of performance statistics |
| tidy_ret | Pivot returns to a tidy structure |
| tracking_error | Tracking error |
| trunc_time_series | Truncate time-series |
| untidy_ret | Pivot returns to a wider (untidy) structure |
| up_capture | Up capture ratio |
| val_at_risk | Value at Risk |
| worst_drawdowm | Calculate worst peak to trough loss |
| worst_n_drawdowns | Find the worst n drawdowns |
| xts_to_dataframe | Convert xts to data.frame |
| zscore_win | Standardized change with short and long windows |
