table.HigherMoments: Higher Moments Summary: Statistics and Stylized Facts
Description
Summary of the higher moements and Co-Moments of the return distribution. Used to determine diversification potential.
Also called "systematic" moments by several papers.
a vector, matrix, data frame, timeSeries or zoo object of asset returns
Rb
return vector of the benchmark asset
scale
number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4)
rf
risk free rate, in same period as your returns
digits
number of digits to round results to
method
method to use when computing kurtosis one of: excess, moment, fisher
Value
table of summary statistics
References
Martellini L., Vaissie M., Ziemann V. Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions. October 2005. Edhec Risk and Asset Management Research Centre.