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JFE (version 2.5.6)

Tools for Analyzing Time Series Data of Just Finance and Econometrics

Description

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

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Version

Install

install.packages('JFE')

Monthly Downloads

277

Version

2.5.6

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

January 15th, 2024

Functions in JFE (2.5.6)

Drawdawn peak of the return distribution

DownsideDeviation

downside risk (deviation, variance) of the return distribution

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

SharpeRatio.annualized

calculate annualized Sharpe Ratio

OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution

Burke ratio of the return distribution

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

CAPM.jensenAlpha

Jensen's alpha of the return distribution

Pain index of the return distribution

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

M squared for Sortino of the return distribution

Pain ratio of the return distribution

Martin ratio of the return distribution

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

Calculate Tracking Error of returns against a benchmark

calculate the Ulcer Index

VolatilitySkewness

Volatility and variability of the return distribution

Download financial and economic time series data from the Fed

getFrench.Factors

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

SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution

calculate Sortino Ratio of performance over downside risk

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

Prospect ratio of the return distribution

Return.annualized

calculate an annualized return for comparing instruments with different length history

Assets Data Sets

Download time series data from Bank of International Settlement

getFrench.Portfolios

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

caclulate the maximum drawdown from peak equity

d ratio of the return distribution

Active Premium or Active Return

AdjustedSharpeRatio

Adjusted Sharpe 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.

BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution

Appraisal ratio of the return distribution

InformationRatio

InformationRatio = ActivePremium/TrackingError