Higher Moments Summary: Statistics and Stylized Facts
Summary of the higher moements and Co-Moments of the return distribution. Used to determine diversification potential. Also called "systematic" moments by several papers.
table.HigherMoments(Ra, Rb, scale = NA, Rf = 0, digits = 4, method = "moment")
Ra |
an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
Rb |
return vector of the benchmark asset |
scale |
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) |
Rf |
risk free rate, in same period as your returns |
digits |
number of digits to round results to |
method |
method to use when computing |
Peter Carl
Martellini L., Vaissie M., Ziemann V. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. October 2005. Edhec Risk and Asset Management Research Centre.
data(managers)
table.HigherMoments(managers[,1:3],managers[,8,drop=FALSE])
result=t(table.HigherMoments(managers[,1:6],managers[,8,drop=FALSE]))
rownames(result)=colnames(managers[,1:6])
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=5, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Higher Co-Moments with SP500 TR")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.