R: Rolling Periods Summary: Statistics and Stylized Facts

table.TrailingPeriods {PerformanceAnalytics}

R Documentation

Rolling Periods Summary: Statistics and Stylized Facts

Description

A table of estimates of rolling period return measures

Usage

table.TrailingPeriods(R,  periods = subset(c(12,36,60), c(12,36,60)
< length(as.matrix(R[,1]))), FUNCS=c("mean","sd"), funcs.names = c("Average", "Std Dev"), digits = 4, ...)
table.TrailingPeriodsRel(R, Rb, periods = subset(c(12,36,60), c(12,36,60)
< length(as.matrix(R[,1]))), FUNCS=c("cor","CAPM.beta"), funcs.names = c("Correlation", "Beta"), digits = 4, ...)

Arguments

`R`	an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns
`Rb`	an xts, vector, matrix, data frame, timeSeries or zoo object of index, benchmark, portfolio, or secondary asset returns to compare against
`periods`	number of periods to use as rolling window(s), subset of `c(3, 6, 9, 12, 18, 24, 36, 48)`
`funcs.names`	vector of function names used for labeling table rows
`FUNCS`	list of functions to apply the rolling period to
`digits`	number of digits to round results to
`...`	any other passthru parameters for functions specified in FUNCS

Value

A table of estimates of rolling period return measures

Author(s)

Peter Carl

Examples

data(edhec)
table.TrailingPeriods(edhec[,10:13], FUNCS=c("SharpeRatio","VaR"), funcs.names = c("Sharpe Ratio", "Modified VaR"), periods=c(12,24,36))

[Package PerformanceAnalytics version 0.9.9-5 Index]