R: Tools for Analyzing Time Series Data of Just Finance and Econometrics

# Tools for Analyzing Time Series Data of Just Finance and Econometrics

## Documentation for package ‘JFE’ version 2.5.11

- DESCRIPTION file

## Help Pages

ActivePremium | Active Premium or Active Return
AdjustedSharpeRatio | Adjusted Sharpe ratio of the return distribution
AppraisalRatio | Appraisal ratio of the return distribution
assetReturns | Data Sets
BernardoLedoitRatio | Bernardo and Ledoit 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'.
CAPM.jensenAlpha | Jensen's alpha of the return distribution
dataSets | Data Sets
DownsideDeviation | downside risk (deviation, variance) of the return distribution
DRatio | d ratio of the return distribution
DrawdownPeak | Drawdawn peak of the return distribution
durbinH | calculate Sortino Ratio of performance over downside risk
getEER | Download effective exchange rates data frame from Bank of International Settlement
getFed | 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
getFrench.Portfolios | Download 24 asset pricing factors data from the data library of Dr. French
InformationRatio | InformationRatio = ActivePremium/TrackingError
KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy
M2Sortino | M squared for Sortino of the return distribution
macrodata | Data Sets
MartinRatio | Martin ratio of the return distribution
maxDrawdown | caclulate the maximum drawdown from peak equity
MeanAbsoluteDeviation | Mean absolute deviation of the return distribution
OmegaSharpeRatio | Omega-Sharpe ratio of the return distribution
PainIndex | Pain index of the return distribution
PainRatio | Pain ratio of the return distribution
ProspectRatio | Prospect ratio of the return distribution
Return.annualized | calculate an annualized return for comparing instruments with different length history
SharpeRatio | calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized | calculate annualized Sharpe Ratio
SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return distribution
SortinoRatio | calculate Sortino Ratio of performance over downside risk
SterlingRatio | 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'.
table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts
TrackingError | Calculate Tracking Error of returns against a benchmark
TreynorRatio | calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
UlcerIndex | calculate the Ulcer Index
VolatilitySkewness | Volatility and variability of the return distribution