table.Distributions: Distributions Summary: Statistics and Stylized Facts

In guillermozbta/portafolio-master: Econometric tools for performance and risk analysis.

Description

Table of Monthly standard deviation, Skewness, Sample standard deviation, Kurtosis, Excess kurtosis, Sample Skweness and Sample excess kurtosis

Usage

table.Distributions(R, scale = NA, 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)
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.87

See Also

StdDev.annualized
skewness
kurtosis

Examples

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

require("Hmisc")
result = t(table.Distributions(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 Distributions statistics")

guillermozbta/portafolio-master documentation built on May 11, 2019, 7:20 p.m.