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  "Package": "JFE",
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  "Title": "Tools for Analyzing Time Series Data of Just Finance and\nEconometrics",
  "Version": "2.5.11",
  "Date": "2025-06-29",
  "Authors@R": "person(given = \"Ho\",\nfamily = \"Tsung-wu\",\nrole = c(\"aut\", \"cre\"),\nemail = \"tsungwu@ntnu.edu.tw\")",
  "Author": "Ho Tsung-wu [aut, cre]",
  "Maintainer": "Ho Tsung-wu <tsungwu@ntnu.edu.tw>",
  "Description": "Offer procedures to download financial-economic time\nseries data and enhanced procedures for computing the\ninvestment performance indices of Bacon (2004)\n<DOI:10.1002/9781119206309>.",
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    "OmegaSharpeRatio",
    "PainIndex",
    "PainRatio",
    "ProspectRatio",
    "Return.annualized",
    "SharpeRatio",
    "SharpeRatio.annualized",
    "SkewnessKurtosisRatio",
    "SortinoRatio",
    "SterlingRatio",
    "table.AnnualizedReturns",
    "TrackingError",
    "TreynorRatio",
    "UlcerIndex",
    "VolatilitySkewness"
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      "title": "Data Sets",
      "object": "assetReturns",
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        "zoo"
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        "AAPL",
        "AIG",
        "AXP",
        "BA",
        "C",
        "CAT",
        "DIS",
        "GE",
        "HD",
        "HON",
        "HPQ",
        "IBM",
        "INTC",
        "JNJ",
        "JPM",
        "KO",
        "MCD",
        "MMM",
        "MO",
        "MRK",
        "MSFT",
        "PFE",
        "PG",
        "UTX",
        "VZ",
        "WMT",
        "XOM",
        "DJI"
      ],
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      "table": true,
      "tojson": false
    },
    {
      "name": "macrodata",
      "title": "Data Sets",
      "object": "macrodata",
      "class": [
        "xts",
        "zoo"
      ],
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        "OECD",
        "G7",
        "NAFTA"
      ],
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      "table": false,
      "tojson": false
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  "_help": [
    {
      "page": "ActivePremium",
      "title": "Active Premium or Active Return",
      "topics": [
        "ActivePremium"
      ]
    },
    {
      "page": "AdjustedSharpeRatio",
      "title": "Adjusted Sharpe ratio of the return distribution",
      "topics": [
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      ]
    },
    {
      "page": "AppraisalRatio",
      "title": "Appraisal ratio of the return distribution",
      "topics": [
        "AppraisalRatio"
      ]
    },
    {
      "page": "BernardoLedoitRatio",
      "title": "Bernardo and Ledoit ratio of the return distribution",
      "topics": [
        "BernardoLedoitRatio"
      ]
    },
    {
      "page": "BurkeRatio",
      "title": "Burke ratio of the return distribution",
      "topics": [
        "BurkeRatio"
      ]
    },
    {
      "page": "CalmarRatio",
      "title": "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'.",
      "topics": [
        "CalmarRatio",
        "SterlingRatio"
      ]
    },
    {
      "page": "CAPM.jensenAlpha",
      "title": "Jensen's alpha of the return distribution",
      "topics": [
        "CAPM.jensenAlpha"
      ]
    },
    {
      "page": "data-sets",
      "title": "Data Sets",
      "topics": [
        "assetReturns",
        "dataSets",
        "macrodata"
      ]
    },
    {
      "page": "DownsideDeviation",
      "title": "downside risk (deviation, variance) of the return distribution",
      "topics": [
        "DownsideDeviation"
      ]
    },
    {
      "page": "DRatio",
      "title": "d ratio of the return distribution",
      "topics": [
        "DRatio"
      ]
    },
    {
      "page": "DrawdownPeak",
      "title": "Drawdawn peak of the return distribution",
      "topics": [
        "DrawdownPeak"
      ]
    },
    {
      "page": "durbinH",
      "title": "calculate Sortino Ratio of performance over downside risk",
      "topics": [
        "durbinH"
      ]
    },
    {
      "page": "getEER",
      "title": "Download effective exchange rates data frame from Bank of International Settlement",
      "topics": [
        "getEER"
      ]
    },
    {
      "page": "getFed",
      "title": "Download financial and economic time series data from the Fed",
      "topics": [
        "getFed"
      ]
    },
    {
      "page": "getFrench.Factors",
      "title": "Download seven asset pricing factors data from the data library of Dr. French",
      "topics": [
        "getFrench.Factors"
      ]
    },
    {
      "page": "getFrench.Portfolios",
      "title": "Download 24 asset pricing factors data from the data library of Dr. French",
      "topics": [
        "getFrench.Portfolios"
      ]
    },
    {
      "page": "InformationRatio",
      "title": "InformationRatio = ActivePremium/TrackingError",
      "topics": [
        "InformationRatio"
      ]
    },
    {
      "page": "KellyRatio",
      "title": "calculate Kelly criterion ratio (leverage or bet size) for a strategy",
      "topics": [
        "KellyRatio"
      ]
    },
    {
      "page": "M2Sortino",
      "title": "M squared for Sortino of the return distribution",
      "topics": [
        "M2Sortino"
      ]
    },
    {
      "page": "MartinRatio",
      "title": "Martin ratio of the return distribution",
      "topics": [
        "MartinRatio"
      ]
    },
    {
      "page": "maxDrawdown",
      "title": "caclulate the maximum drawdown from peak equity",
      "topics": [
        "maxDrawdown"
      ]
    },
    {
      "page": "MeanAbsoluteDeviation",
      "title": "Mean absolute deviation of the return distribution",
      "topics": [
        "MeanAbsoluteDeviation"
      ]
    },
    {
      "page": "OmegaSharpeRatio",
      "title": "Omega-Sharpe ratio of the return distribution",
      "topics": [
        "OmegaSharpeRatio"
      ]
    },
    {
      "page": "PainIndex",
      "title": "Pain index of the return distribution",
      "topics": [
        "PainIndex"
      ]
    },
    {
      "page": "PainRatio",
      "title": "Pain ratio of the return distribution",
      "topics": [
        "PainRatio"
      ]
    },
    {
      "page": "ProspectRatio",
      "title": "Prospect ratio of the return distribution",
      "topics": [
        "ProspectRatio"
      ]
    },
    {
      "page": "Return.annualized",
      "title": "calculate an annualized return for comparing instruments with different length history",
      "topics": [
        "Return.annualized"
      ]
    },
    {
      "page": "SharpeRatio",
      "title": "calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES",
      "topics": [
        "SharpeRatio"
      ]
    },
    {
      "page": "SharpeRatio.annualized",
      "title": "calculate annualized Sharpe Ratio",
      "topics": [
        "SharpeRatio.annualized"
      ]
    },
    {
      "page": "SkewnessKurtosisRatio",
      "title": "Skewness-Kurtosis ratio of the return distribution",
      "topics": [
        "SkewnessKurtosisRatio"
      ]
    },
    {
      "page": "SortinoRatio",
      "title": "calculate Sortino Ratio of performance over downside risk",
      "topics": [
        "SortinoRatio"
      ]
    },
    {
      "page": "table.AnnualizedReturns",
      "title": "Annualized Returns Summary: Statistics and Stylized Facts",
      "topics": [
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    },
    {
      "page": "TrackingError",
      "title": "Calculate Tracking Error of returns against a benchmark",
      "topics": [
        "TrackingError"
      ]
    },
    {
      "page": "TreynorRatio",
      "title": "calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta",
      "topics": [
        "TreynorRatio"
      ]
    },
    {
      "page": "UlcerIndex",
      "title": "calculate the Ulcer Index",
      "topics": [
        "UlcerIndex"
      ]
    },
    {
      "page": "VolatilitySkewness",
      "title": "Volatility and variability of the return distribution",
      "topics": [
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