test_returns

A dataset containing returns for 10 sectors over 5 month-end periods.

datasets

Collection of econometric functions for performance and risk
analysis. In addition to standard risk and performance metrics, this
package aims to aid practitioners and researchers in utilizing the latest
research in analysis of non-normal return streams.  In general, it is most
tested on return (rather than price) data on a regular scale, but most
functions will work with irregular return data as well, and increasing
numbers of functions will work with P&L or price data where possible.

Brian G Peterson

PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

Peter Carl

Kris Boudt

Ross Bennett

Joshua Ulrich

Eric Zivot

Dries Cornilly

Eric Hung

Matthieu Lestel

Kyle Balkissoon

Diethelm Wuertz

test_returns function

A data frame with 5 rows and 10 variables:<dl class="dl-horizontal">
 <dt>Sector1</dt><dd>returns for Sector1, numeric</dd>
 <dt>Sector2</dt><dd>returns for Sector2, numeric</dd>
 <dt>Sector3</dt><dd>returns for Sector3, numeric</dd>
 <dt>Sector4</dt><dd>returns for Sector4, numeric</dd>
 <dt>Sector5</dt><dd>returns for Sector5, numeric</dd>
 <dt>Sector6</dt><dd>returns for Sector6, numeric</dd>
 <dt>Sector7</dt><dd>returns for Sector7, numeric</dd>
 <dt>Sector8</dt><dd>returns for Sector8, numeric</dd>
 <dt>Sector9</dt><dd>returns for Sector9, numeric</dd>
 <dt>Sector10</dt><dd>returns for Sector10, numeric</dd>
</dl>

Format

Sample sector returns for use by unit tests — test_returns

A data frame with 5 rows and 10 variables:<dl class='dl-horizontal'>
 <dt>Sector1</dt><dd>returns for Sector1, numeric</dd>
 <dt>Sector2</dt><dd>returns for Sector2, numeric</dd>
 <dt>Sector3</dt><dd>returns for Sector3, numeric</dd>
 <dt>Sector4</dt><dd>returns for Sector4, numeric</dd>
 <dt>Sector5</dt><dd>returns for Sector5, numeric</dd>
 <dt>Sector6</dt><dd>returns for Sector6, numeric</dd>
 <dt>Sector7</dt><dd>returns for Sector7, numeric</dd>
 <dt>Sector8</dt><dd>returns for Sector8, numeric</dd>
 <dt>Sector9</dt><dd>returns for Sector9, numeric</dd>
 <dt>Sector10</dt><dd>returns for Sector10, numeric</dd>
</dl>

Sample sector returns for use by unit tests

test_returns: Sample sector returns for use by unit tests

Description

Usage

Arguments

Format