table.Variability: Variability Summary: Statistics and Stylized Facts

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

Description

Table of Mean absolute difference, Monthly standard deviation and annualised standard deviation

Usage

table.Variability(R, scale = NA, geometric = TRUE, digits = 4)

Arguments

R	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
geometric	utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE
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.65

See Also

StdDev.annualized
MeanAbsoluteDeviation

Examples

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

require("Hmisc")
result = t(table.Variability(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 variability")

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