table.Distributions: Distributions Summary: Statistics and Stylized Facts

Description Usage Arguments Author(s) References See Also Examples

Description

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

Usage

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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

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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")


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