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JFE (version 2.5.11)

Tools for Analyzing Time Series Data of Just Finance and Econometrics

Description

Offer procedures to download financial-economic time series data and enhanced procedures for computing the investment performance indices of Bacon (2004) .

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Version

Install

install.packages('JFE')

Monthly Downloads

607

Version

2.5.11

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

June 29th, 2025

Functions in JFE (2.5.11)

data-sets

Data Sets
durbinH

calculate Sortino Ratio of performance over downside risk
VolatilitySkewness

Volatility and variability of the return distribution
UlcerIndex

calculate the Ulcer Index
MartinRatio

Martin ratio of the return distribution
M2Sortino

M squared for Sortino of the return distribution
SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution
SortinoRatio

calculate Sortino Ratio of performance over downside risk
OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution
maxDrawdown

caclulate the maximum drawdown from peak equity
MeanAbsoluteDeviation

Mean absolute deviation of the return distribution
TreynorRatio

calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
PainRatio

Pain ratio of the return distribution
PainIndex

Pain index of the return distribution
TrackingError

Calculate Tracking Error of returns against a benchmark
SharpeRatio

calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts
getEER

Download effective exchange rates data frame 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
SharpeRatio.annualized

calculate annualized Sharpe Ratio
getFrench.Portfolios

Download 24 asset pricing factors data from the data library of Dr. French
DRatio

d 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.
AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution
AppraisalRatio

Appraisal ratio of the return distribution
DownsideDeviation

downside risk (deviation, variance) of the return distribution
ActivePremium

Active Premium or Active Return
CAPM.jensenAlpha

Jensen's alpha of the return distribution
BurkeRatio

Burke ratio of the return distribution
BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution
DrawdownPeak

Drawdawn peak of the return distribution
ProspectRatio

Prospect ratio of the return distribution
Return.annualized

calculate an annualized return for comparing instruments with different length history
InformationRatio

InformationRatio = ActivePremium/TrackingError
KellyRatio

calculate Kelly criterion ratio (leverage or bet size) for a strategy