PerformanceAnalytics (version 1.1.0)

table.TrailingPeriods: 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

See Also

rollapply

Examples

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

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

result=table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36))
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=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Trailing Period Statistics")