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JFE (version 2.5.8)

Tools for Analyzing Time Series Data of Just Finance and Econometrics

Description

Offers procedures to support financial-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

2.5.8

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

January 25th, 2025

Functions in JFE (2.5.8)

Pain index of the return distribution

OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution

M squared for Sortino of the return distribution

Pain ratio of the return distribution

calculate the Ulcer Index

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

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 Sortino Ratio of performance over downside risk

getFrench.Factors

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

getFrench.Portfolios

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

SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution

Download time series data from Bank of International Settlement

Download financial and economic time series data from the Fed

calculate Sortino Ratio of performance over downside risk

VolatilitySkewness

Volatility and variability of the return distribution

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

SharpeRatio.annualized

calculate annualized Sharpe Ratio

caclulate the maximum drawdown from peak equity

Active Premium or Active Return

CAPM.jensenAlpha

Jensen's alpha of the return distribution

d ratio of the return distribution

AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution

Burke ratio of the return distribution

DownsideDeviation

downside risk (deviation, variance) of the return distribution

Appraisal 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

Drawdawn peak of the return distribution

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

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

Return.annualized

calculate an annualized return for comparing instruments with different length history

InformationRatio

InformationRatio = ActivePremium/TrackingError

Prospect ratio of the return distribution