PerformanceAnalytics (version 1.5.2)

table.Distributions: Distributions Summary: Statistics and Stylized Facts

Description

Table of Monthly standard deviation, Skewness, Sample standard deviation, Kurtosis, Excess kurtosis, Sample Skweness and Sample excess kurtosis

Usage

table.Distributions(R, scale = NA, digits = 4)

Arguments

R

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

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.87

See Also

StdDev.annualized skewness kurtosis

Examples

# NOT RUN {
data(managers)
table.Distributions(managers[,1:8])

require("Hmisc")
result = t(table.Distributions(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 Distributions statistics")

# }

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