R: Higher Moments Summary: Statistics and Stylized Facts

table.HigherMoments {PerformanceAnalytics}

R Documentation

Higher Moments Summary: Statistics and Stylized Facts

Description

Summary of the higher moements and Co-Moments of the return distribution. Used to determine diversification potential. Also called "systematic" moments by several papers.

Usage

table.HigherMoments(Ra, Rb, scale = NA, Rf = 0, digits = 4, method = "moment")

Arguments

`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 `kurtosis` one of: `excess`, `moment`, `fisher`

Value

table of summary statistics

Author(s)

Peter Carl

References

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.

Examples

data(managers)
table.HigherMoments(managers[,1:3],managers[,8,drop=FALSE])

[Package PerformanceAnalytics version 0.9.9-5 Index]