Learn R Programming

⚠️There's a newer version (2.5.9) of this package.Take me there.

JFE (version 2.5.5)

Tools and GUI for Analyzing Time Series Data of Just Finance and Econometrics

Description

Offers a menu-driven GUI to support financial and economic time series modelling and enhanced procedures for computing the investment performance indices of Bacon (2004) .

Copy Link

Version

Install

install.packages('JFE')

Monthly Downloads

267

Version

2.5.5

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

August 28th, 2023

Functions in JFE (2.5.5)

OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution

Return.annualized

calculate an annualized return for comparing instruments with different length history

calculate Sortino Ratio of performance over downside risk

VolatilitySkewness

Volatility and variability of the return distribution

Assets Data Sets

getFrench.Factors

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

Download time series data from Bank of International Settlement

getFrench.Portfolios

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

Calculate Tracking Error of returns against a benchmark

Download financial and economic time series data from the Fed

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

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

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

Pain index of the return distribution

riskOptimalPortfolio

Compute risk optimal portfolios maxDD, aveDD and CDaR

calculate the Ulcer Index

riskParityPortfolio

Compute risk parity portfolio

getTWSE.fiveSecond

Download Download 5-second index price from the Taiwan Stock Exchange

SharpeRatio.annualized

calculate annualized Sharpe Ratio

SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution

caclulate the maximum drawdown from peak equity

Appraisal ratio of the return distribution

Burke ratio of the return distribution

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.

d ratio of the return distribution

CAPM.jensenAlpha

Jensen's alpha of the return distribution

Active Premium or Active Return

Pain ratio of the return distribution

Prospect ratio of the return distribution

M squared for Sortino of the return distribution

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

InformationRatio

InformationRatio = ActivePremium/TrackingError

BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution

Display the JFE User Interface

AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution

Drawdawn peak of the return distribution

Martin ratio of the return distribution

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

DownsideDeviation

downside risk (deviation, variance) of the return distribution