statsTable: wrapper function for combining arbitrary function list into a table

Description

This function creates a table of statistics from vectors of functions and labels passed in. The resulting table is formatted such that metrics are calculated separately for each column of returns in the data object.

Assumes an input of period returns. Scale arguements can be used to specify the number of observations during a year (e.g., 12 = monthly returns).

Usage

statsTable(R, metrics = c("mean", "sd"), metricsNames = c("Average Return", "Standard Deviation"), ...)

Arguments

a vector, matrix, data frame, timeSeries or zoo object of asset returns

metrics

lisdt of functions to apply

metricsNames

column names for each function

...

any other passthru parameters

Value

A table with calculated metrics for each column

Details

The idea here is to be able to pass in sets of metrics and values, like:

metrics = c(DownsideDeviation(x,MAR=mean(x)), sd(subset(x,x>0)), sd(subset(x,x<0)), downsidedeviation(x,mar="MAR),">

metricsNames = c("Semi Deviation", "Gain Deviation", "Loss Deviation", paste("Downside Deviation (MAR=",MAR*scale*100,"%)", sep=""), paste("Downside Deviation (rf=",rf*scale*100,"%)", sep=""), paste("Downside Deviation (0%)", sep=""), "Maximum Drawdown" )

Here's how it's working right now: > statsTable(monthlyReturns.ts,metrics=c("VaR.CornishFisher","mean"), metricsNames=c("modVaR","mean"),p=.95) Actual S&P500TR modVaR 0.04186461 0.06261451 mean 0.00945000 0.01013684

Passing in attributes doesn't quite work corrently. The issue is apparent in: > statsTable(monthlyReturns.ts,metrics=c("VaR.CornishFisher", "VaR.CornishFisher"), metricsNames=c("Modified VaR","Traditional VaR"), modified=c(TRUE,FALSE)) Actual S&P500TR Modified VaR 0.06340849 0.09334976 Traditional VaR 0.06340849 0.09334976 Warning messages: 1: the condition has length > 1 and only the first element will be used in: if (modified) 2: the condition has length > 1 and only the first element will be used in: if (modified) 3: the condition has length > 1 and only the first element will be used in: if (modified) 4: the condition has length > 1 and only the first element will be used in: if (modified)