Returns Summary: Statistics and Stylized Facts

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Description

Returns a basic set of statistics that match the period of the data passed in (e.g., monthly returns will get monthly statistics, daily will be daily stats, and so on)

Usage

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table.Stats(R, ci = 0.95, digits = 4)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

ci

confidence interval, defaults to 95%

digits

number of digits to round results to

Details

This was created as a way to display a set of related statistics together for comparison across a set of instruments or funds. Careful consideration to missing data or unequal time series should be given when intepreting the results.

Author(s)

Peter Carl

Examples

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data(edhec)
table.Stats(edhec[,1:3])
t(table.Stats(edhec))

result=t(table.Stats(edhec))
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(rep(1,2),rep(3,14))), 
         rmar = 0.8, cmar = 1.5,  max.cex=.9, halign = "center", valign = "top", 
         row.valign="center", wrap.rownames=10, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Statistics for EDHEC Indexes")

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