Tools for Analyzing Time Series Data of Just Finance and Econometrics

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Documentation for package ‘JFE’ version 2.5.7

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ActivePremium Active Premium or Active Return
AdjustedSharpeRatio Adjusted Sharpe ratio of the return distribution
AppraisalRatio Appraisal ratio of the return distribution
assetReturns Data Sets
BernardoLedoitRatio Bernardo and Ledoit ratio of the return distribution
BurkeRatio Burke ratio of the return distribution
CalmarRatio calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the 'SharpeRatio'.
CAPM.jensenAlpha Jensen's alpha of the return distribution
dataSets Data Sets
DownsideDeviation downside risk (deviation, variance) of the return distribution
DRatio d ratio of the return distribution
DrawdownPeak Drawdawn peak of the return distribution
durbinH calculate Sortino Ratio of performance over downside risk
getBIS Download time series data from Bank of International Settlement
getFed Download financial and economic time series data from the Fed
getFrench.Factors Download seven asset pricing factors data from the data library of Dr. French
getFrench.Portfolios Download 24 asset pricing factors data from the data library of Dr. French
InformationRatio InformationRatio = ActivePremium/TrackingError
KellyRatio calculate Kelly criterion ratio (leverage or bet size) for a strategy
M2Sortino M squared for Sortino of the return distribution
macrodata Data Sets
MartinRatio Martin ratio of the return distribution
maxDrawdown caclulate the maximum drawdown from peak equity
MeanAbsoluteDeviation Mean absolute deviation of the return distribution
OmegaSharpeRatio Omega-Sharpe ratio of the return distribution
PainIndex Pain index of the return distribution
PainRatio Pain ratio of the return distribution
ProspectRatio Prospect ratio of the return distribution
Return.annualized calculate an annualized return for comparing instruments with different length history
SharpeRatio calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized calculate annualized Sharpe Ratio
SkewnessKurtosisRatio Skewness-Kurtosis ratio of the return distribution
SortinoRatio calculate Sortino Ratio of performance over downside risk
SterlingRatio calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the 'SharpeRatio'.
table.AnnualizedReturns Annualized Returns Summary: Statistics and Stylized Facts
TrackingError Calculate Tracking Error of returns against a benchmark
TreynorRatio calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
UlcerIndex calculate the Ulcer Index
VolatilitySkewness Volatility and variability of the return distribution