PerformanceAnalytics: table.MonthlyReturns – R documentation

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table.MonthlyReturns

Returns Summary: Statistics and Stylized Facts

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

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

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")

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.4

GPL-2 | GPL-3

Authors

Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]

Initial release

2020-02-05