{ "_id": "6a140a99acfb0bcc41d3a4fe", "Package": "JFE", "Type": "Package", "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 ", "Description": "Offer procedures to download financial-economic time\nseries data and enhanced procedures for computing the\ninvestment performance indices of Bacon (2004)\n.", "License": "GPL (>= 2)", "LazyData": "TRUE", "LazyLoad": "yes", "NeedsCompilation": "no", "Packaged": { "Date": "2026-05-25 08:35:53 UTC", "User": "root" }, "Repository": "https://cran.r-universe.dev", "Date/Publication": "2025-06-29 08:40:02 UTC", "RemoteUrl": "https://github.com/cran/JFE", "RemoteRef": "HEAD", "RemoteSha": "bb631bf49a9822487245bb77e913b2d9bc4564f2", "MD5sum": "42d02683963ebb432a96e2e2378748d3", "_user": 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"date": "2024-06-11" }, { "version": "2.5.8", "date": "2025-01-25" }, { "version": "2.5.9", "date": "2025-04-01" }, { "version": "2.5.10", "date": "2025-05-27" }, { "version": "2.5.11", "date": "2025-06-29" } ], "_exports": [ "ActivePremium", "AdjustedSharpeRatio", "AppraisalRatio", "BernardoLedoitRatio", "BurkeRatio", "CalmarRatio", "CAPM.jensenAlpha", "DownsideDeviation", "DRatio", "DrawdownPeak", "durbinH", "getEER", "getFed", "getFrench.Factors", "getFrench.Portfolios", "InformationRatio", "KellyRatio", "M2Sortino", "MartinRatio", "maxDrawdown", "MeanAbsoluteDeviation", "OmegaSharpeRatio", "PainIndex", "PainRatio", "ProspectRatio", "Return.annualized", "SharpeRatio", "SharpeRatio.annualized", "SkewnessKurtosisRatio", "SortinoRatio", "SterlingRatio", "table.AnnualizedReturns", "TrackingError", "TreynorRatio", "UlcerIndex", "VolatilitySkewness" ], "_datasets": [ { "name": "assetReturns", "title": "Data Sets", "object": "assetReturns", "class": [ "xts", "zoo" ], "fields": [ "AA", "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" ], "rows": 2735, "table": true, "tojson": false }, { "name": "macrodata", "title": "Data Sets", "object": "macrodata", "class": [ "xts", "zoo" ], "fields": [ "unrate", "OECD", "G7", "NAFTA" ], "rows": 669, "table": false, "tojson": false } ], "_help": [ { "page": "ActivePremium", "title": "Active Premium or Active Return", "topics": [ "ActivePremium" ] }, { "page": "AdjustedSharpeRatio", "title": "Adjusted Sharpe ratio of the return distribution", "topics": [ "AdjustedSharpeRatio" ] }, { "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": [ "table.AnnualizedReturns" ] }, { "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" ] }, { 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