fAssets-package: Analysing and Modelling Financial Assets

Description

The Rmetrics fAssets package is a collection of functions to manage, to investigate and to analyze data sets of financial assets from different points of view.

Arguments

Introduction

The package fAssets was written to explore and investigate data sets of financial asssets Included are functions to make the the asset selection process easier, to robustify return and covariances for modeling portfolios, to test financial returns for multivariate normality, and to measure in a simple way performance and risk of funds and portfolios. Beside this many functions for graphs and plots, and for a more sophisticated explorative data analysis are provided. They range from simple time series plots to more elaborated statisitical chart tools: histogram, density, boxplots, and QQ plots; pairs,similaries, and covarinace ellipses plots; star plots, and risk/reward graphs.

Assets Selection

The assets selection chapter containts functions which arrange assets from a data set according to different measaures applying ideas from principal component analysis, from hierarchical clustering, or by a user defined statistical measure: assetsArrange Rearranges the columns in a data set of assets pcaArrange Returns PCA correlation ordered column names hclustArrange Returns hierarchical clustered column names abcArrange Returns assets sorted by column names orderArrange Returns assets ordered by column names sampleArrange Returns a re-sampled set of assets statsArrange Returns statistically rearranged column names

In addition we have summarized and bundle of distance measure functions to determine the similarity or dissimilarity of individual assets from a set of multivariate financial return series. assetsDist Computes the distances between assets corDist Returns correlation distance measure kendallDist Returns kendalls correlation distance measure spearmanDist Returns spearmans correlation distance measure mutinfoDist Returns mutual information distance measure euclideanDist Returns Euclidean distance measure maximumDist Returns maximum distance measure manhattanDist Returns Manhattan distance measure canberraDist Returns Canberra distance measure binaryDist Returns binary distance measure minkowskiDist Returns Minkowsky distance measure braycurtisDist Returns Bray Curtis distance measure mahalanobisDist Returns Mahalanobis distance measure jaccardDist Returns Jaccard distance mesaure sorensenDist Returns Sorensen distance measure

A last group of functions allows to select assets by concepts from hierarchical or k-means clustering: assetsSelect Selects similar or dissimilar assets .hclustSelect Selects due to hierarchical clustering .kmeansSelect Selects due to k-means clustering

Assets Covariance Robustification

We provide several functions to compute robust measures for mean and/or covariance estimates which can be used for example in robustified Markowitz portfolio Optimization. assetsMeanCov Estimates mean and variance for a set of assets .covMeanCov uses sample covariance estimation .mveMeanCov uses "cov.mve" from [MASS] .mcdMeanCov uses "cov.mcd" from [MASS] .studentMeanCov uses "cov.trob" from [MASS] .MCDMeanCov requires "covMcd" from [robustbase] .OGKMeanCov requires "covOGK" from [robustbase] .nnveMeanCov uses builtin from [covRobust] .shrinkMeanCov uses builtin from [corpcor] .baggedMeanCov uses builtin from [corpcor] .arwMeanCov uses builtin from [mvoutlier] .donostahMeanCov uses builtin from [robust] .bayesSteinMeanCov uses builtin from Alexios Ghalanos .ledoitWolfMeanCov uses builtin from [tawny] .rmtMeanCov uses builtin from [tawny]

An additional function allows to detect outliers from a PCA outlier analysis. assetsOutliers Detects outliers in multivariate assets sets

Modelling Assets Sets and Testing for Normality

Functions are available to fit the parameters for skew-Normal and related financial return distributions. assetsFit Fits the parameters of a set of assets assetsSim Simulates a set of artificial assets The multivariate Shapiro test and the E-Statistic Energy Test allow to test multivariate Normality of financial returns. assetsTest Tests for multivariate Normal Assets mvshapiroTest Multivariate Shapiro Test mvenergyTest Multivariate E-Statistic (Energy) Test

Portfolio Measures

The fAssets package provides selected function to compute diverse risk Measure, Like VaR, CVaR, CVaR-Plus, and lambda-CVaR: pfolioVaR Computes VaR for a portfolio of assets pfolioCVaR Computes CVaR for a portfoluio of assets pfolioCVaRplus Computes CVaR-Plus for a portfolio of assets lambdaCVaR Computes CVaR's atomic split value lambda Also some simple fund and portfolio performance measures are included: pfolioMaxLoss Computes maximum loss for a portfolio pfolioReturn Computes return series for a portfolio pfolioTargetReturn Computes target return for a portfolio pfolioTargetRisk Computes target risk for a portfolio pfolioHist Plots a histogram of portfolio returns The following functions compute marginal contributions to covariance risk and covariance risk budgets: covarRisk Computes covariance portfolio risk mcr Computes marginal contribution to cov risk mcrBeta Computes beta, the rescaled mcr to cov risk riskContributions Computes covariance risk contributions riskBudgets Computes covariance risk budgets The computation of Lower partial moments is done by the follooing two functions: assetsLPM Computes asymmetric lower partial moments assetsSLPM Computes symmetric lower partial moments

Assets Time Series and Density Plot Functions

Dozens of tailored plot functions are included in the fAssets package. This makes it very easy to visualize properties and to perform an explorative data analysis. Starting from simple time series functions. assetsReturnPlot Displays time series of individual assets assetsCumulatedPlot Displays time series of individual assets assetsSeriesPlot Displays time series of individual assets we can also explore the distributional properties of the returns by histogram, density, boxplots, and QQ Plots: assetsHistPlot Displays a histograms of a single asset assetsLogDensityPlot Displays a pdf plot on logarithmic scale assetsHistPairsPlot Displays a bivariate histogram plot assetsBoxPlot Displays a standard box plot assetsBoxPercentilePlot Displays a side-by-side box-percentile plot assetsQQNormPlot Displays normal qq-plots of individual assets

Assets Dependency and Structure Plot Functions

Corellation and similarities are another source of information about the dependence structure of individual financial returns. The functions which help us to detect those properties in data sets of financial assets include: assetsPairsPlot Displays pairs of scatterplots of assets assetsCorgramPlot Displays pairwise correlations between assets assetsCorTestPlot Displays and tests pairwise correlations assetsCorImagePlot Displays an image plot of a correlations covEllipsesPlot Displays a covariance ellipses plot assetsDendrogramPlot Displays hierarchical clustering dendrogram assetsCorEigenPlot Displays ratio of the largest two eigenvalues

Beside correlations und dependencies also risk/reward graphs give additional insight into the structure of assets. assetsRiskReturnPlot Displays risk-return diagram of assets assetsNIGShapeTrianglePlot Displays NIG Shape Triangle assetsTreePlot Displays a minimum spanning tree of assets Statistic visualized by star plots is a very appealing tool for characterization and classification of assets by eye: assetsStarsPlot Draws segment/star diagrams of asset sets assetsBasicStatsPlot Displays a segment plot of basic return stats assetsMomentsPlot Displays a segment plot of distribution moments assetsBoxStatsPlot Displays a segment plot of box plot statistics assetsNIGFitPlot Displays a segment plot NIG parameter estimates