Learn R Programming

JFE (version 2.5.9)

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) .

Copy Link

Version

Install

install.packages('JFE')

Monthly Downloads

277

Version

2.5.9

License

GPL (>= 2)

Maintainer

Ho Tsung-wu

Last Published

April 1st, 2025

Functions in JFE (2.5.9)

Return.annualized

calculate an annualized return for comparing instruments with different length history
KellyRatio

calculate Kelly criterion ratio (leverage or bet size) for a strategy
M2Sortino

M squared for Sortino of the return distribution
PainIndex

Pain index of the return distribution
MeanAbsoluteDeviation

Mean absolute deviation of the return distribution
MartinRatio

Martin ratio of the return distribution
SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution
data-sets

Data Sets
getFrench.Factors

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

calculate annualized Sharpe Ratio
UlcerIndex

calculate the Ulcer Index
durbinH

calculate Sortino Ratio of performance over downside risk
getFrench.Portfolios

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

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

Download effective exchange rates data frame from Bank of International Settlement
VolatilitySkewness

Volatility and variability of the return distribution
getFed

Download financial and economic time series data from the Fed
SortinoRatio

calculate Sortino Ratio of performance over downside risk
maxDrawdown

caclulate the maximum drawdown from peak equity
table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts
PainRatio

Pain ratio of the return distribution
TrackingError

Calculate Tracking Error of returns against a benchmark
TreynorRatio

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

Adjusted Sharpe ratio of the return distribution
BurkeRatio

Burke ratio of the return distribution
CalmarRatio

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
DrawdownPeak

Drawdawn peak of the return distribution
DownsideDeviation

downside risk (deviation, variance) of the return distribution
CAPM.jensenAlpha

Jensen's alpha of the return distribution
AppraisalRatio

Appraisal ratio of the return distribution
DRatio

d ratio of the return distribution
ActivePremium

Active Premium or Active Return
OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution
InformationRatio

InformationRatio = ActivePremium/TrackingError
ProspectRatio

Prospect ratio of the return distribution