Package: JFE 2.5.7

Ho Tsung-wu

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

Offers procedures to support financial-economic time series modelling and enhanced procedures for computing the investment performance indices of Bacon (2004) <doi:10.1002/9781119206309>.

Authors:Ho Tsung-wu

JFE_2.5.7.tar.gz
JFE_2.5.7.tar.gz(r-4.5-noble)JFE_2.5.7.tar.gz(r-4.4-noble)
JFE_2.5.7.tgz(r-4.4-emscripten)JFE_2.5.7.tgz(r-4.3-emscripten)
JFE.pdf |JFE.html✨
JFE/json (API)

# Install 'JFE' in R:
install.packages('JFE', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.60 score 2 stars 631 downloads 1 mentions 36 exports 3 dependencies

Last updated 6 months agofrom:ca56b050e5. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 09 2024
R-4.5-linuxOKDec 09 2024

Exports:ActivePremiumAdjustedSharpeRatioAppraisalRatioBernardoLedoitRatioBurkeRatioCalmarRatioCAPM.jensenAlphaDownsideDeviationDRatioDrawdownPeakdurbinHgetBISgetFedgetFrench.FactorsgetFrench.PortfoliosInformationRatioKellyRatioM2SortinoMartinRatiomaxDrawdownMeanAbsoluteDeviationOmegaSharpeRatioPainIndexPainRatioProspectRatioReturn.annualizedSharpeRatioSharpeRatio.annualizedSkewnessKurtosisRatioSortinoRatioSterlingRatiotable.AnnualizedReturnsTrackingErrorTreynorRatioUlcerIndexVolatilitySkewness

Dependencies:latticextszoo

Readme and manuals

Help Manual

Help pageTopics
Active Premium or Active ReturnActivePremium
Adjusted Sharpe ratio of the return distributionAdjustedSharpeRatio
Appraisal ratio of the return distributionAppraisalRatio
Bernardo and Ledoit ratio of the return distributionBernardoLedoitRatio
Burke ratio of the return distributionBurkeRatio
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'.CalmarRatio SterlingRatio
Jensen's alpha of the return distributionCAPM.jensenAlpha
Data SetsassetReturns dataSets macrodata
downside risk (deviation, variance) of the return distributionDownsideDeviation
d ratio of the return distributionDRatio
Drawdawn peak of the return distributionDrawdownPeak
calculate Sortino Ratio of performance over downside riskdurbinH
Download time series data from Bank of International SettlementgetBIS
Download financial and economic time series data from the FedgetFed
Download seven asset pricing factors data from the data library of Dr. FrenchgetFrench.Factors
Download 24 asset pricing factors data from the data library of Dr. FrenchgetFrench.Portfolios
InformationRatio = ActivePremium/TrackingErrorInformationRatio
calculate Kelly criterion ratio (leverage or bet size) for a strategyKellyRatio
M squared for Sortino of the return distributionM2Sortino
Martin ratio of the return distributionMartinRatio
caclulate the maximum drawdown from peak equitymaxDrawdown
Mean absolute deviation of the return distributionMeanAbsoluteDeviation
Omega-Sharpe ratio of the return distributionOmegaSharpeRatio
Pain index of the return distributionPainIndex
Pain ratio of the return distributionPainRatio
Prospect ratio of the return distributionProspectRatio
calculate an annualized return for comparing instruments with different length historyReturn.annualized
calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ESSharpeRatio
calculate annualized Sharpe RatioSharpeRatio.annualized
Skewness-Kurtosis ratio of the return distributionSkewnessKurtosisRatio
calculate Sortino Ratio of performance over downside riskSortinoRatio
Annualized Returns Summary: Statistics and Stylized Factstable.AnnualizedReturns
Calculate Tracking Error of returns against a benchmarkTrackingError
calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM betaTreynorRatio
calculate the Ulcer IndexUlcerIndex
Volatility and variability of the return distributionVolatilitySkewness