PerformanceAnalytics (version 1.1.0)

table.Variability: Variability Summary: Statistics and Stylized Facts

Description

Table of Mean absolute difference, Monthly standard deviation and annualised standard deviation

Usage

table.Variability(R, scale = NA, geometric = TRUE,
    digits = 4)

Arguments

R

an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns

geometric

utilize geometric chaining (TRUE) or simple/arithmetic chaining (FALSE) to aggregate returns, default TRUE

scale

number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)

digits

number of digits to round results to

References

Carl Bacon, Practical portfolio performance measurement and attribution, second edition 2008 p.65

See Also

StdDev.annualized MeanAbsoluteDeviation

Examples

data(managers)
table.Variability(managers[,1:8])

require("Hmisc")
result = t(table.Variability(managers[,1:8]))

textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(3,3,1)),
rmar = 0.8, cmar = 2,  max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=20, wrap.colnames=10,
col.rownames=c("red", rep("darkgray",5), rep("orange",2)), mar = c(0,0,3,0)+0.1)
title(main="Portfolio variability")