summary.cusumActMgr: Summarizing a cusumActMgr object

In chindhanai/GSoC2017: Advancing factorAnalytics

Description

summary method for object of class cusumActMgr. Returned object is of class summary.cusumActMgr. The resulting object is fed to print.summary.cusumActMgr to print all the summarized objects.

Usage

## S3 method for class 'cusumActMgr'
summary(object, digits = 3, ...)

## S3 method for class 'summary.cusumActMgr'
print(x, digits = 3, ...)

Arguments

object	an object of class cusumActMgr returned from cusumActMgr.
digits	number of significants digits to use when printing. Default is 3.
...	futher arguments passed to or from other methods.
x	an object of class summary.cusumActMgr returned from summary.cusumActMgr.

Value

Returns an object of class summary.ffm.

Object of class summary.cusumActMgr is a list of length 10 containing:

Logarithmic Excess Returns	The logarithmic excess returns of the fund relative to the benchmark
Annualized Moving Average	The annualized moving average of the logarithmic excess returns
Tracking Error	The monthly tracking error of the logarithmic excess returns
Information Ratios	The vector of monthly information ratios
Lindley's Recursion	The vector Lindley's recursion with a reset after the detection threshold (6.81) is passed.
Annualized Cusum IR	The vector annualized CUSUM of the information ratios
Annualized Cusum Excess Return	The vector annualized CUSUM of the excess returns
Excess Volatility	Excess volatility of the fund, the benchmark and the excess return
Summary Annualized cusumIR	The summary of annualized cusum IR
Summary Annualized Cusum Excess Returns	The summary of annualized cusum excess returns

Author(s)

Chindhanai Uthaisaad.

Examples

data(cusumData)
results = cusumActMgr(portfolioName = "Parvest", benchmarkName = "RUS2500",
data = cusumData)
x = summary(results)
print(x)

chindhanai/GSoC2017 documentation built on May 3, 2019, 5:15 p.m.