table.RollingPeriods: Rolling Periods Summary: Statistics and Stylized Facts

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

Description

A table of estimates of rolling period return measures

Usage

table.TrailingPeriods(R, periods = subset(c(12, 36, 60), c(12, 36, 60) <
  length(as.matrix(R[, 1]))), FUNCS = c("mean", "sd"),
  funcs.names = c("Average", "Std Dev"), digits = 4, ...)

table.TrailingPeriodsRel(R, Rb, periods = subset(c(12, 36, 60), c(12, 36, 60)
  < length(as.matrix(R[, 1]))), FUNCS = c("cor", "CAPM.beta"),
  funcs.names = c("Correlation", "Beta"), digits = 4, ...)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb	an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, portfolio, or secondary asset returns to compare against
periods	number of periods to use as rolling window(s), subset of c(3, 6, 9, 12, 18, 24, 36, 48)
funcs.names	vector of function names used for labeling table rows
FUNCS	list of functions to apply the rolling period to
digits	number of digits to round results to
...	any other passthru parameters for functions specified in FUNCS

Author(s)

Peter Carl

See Also

rollapply

Examples

data(edhec)
table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36))

result=table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36))
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE,
                   cdec=rep(3,dim(result)[2])), rmar = 0.8, cmar = 1.5,
                   max.cex=.9, halign = "center", valign = "top", row.valign="center",
                   wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Trailing Period Statistics")

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