Returns Summary: Statistics and Stylized Facts
Source:R/table.MonthlyReturns.R
table.MonthlyReturns.RdReturns a basic set of statistics that match the period of the data passed in (e.g., monthly returns will get monthly statistics, daily will be daily stats, and so on)
Details
This was created as a way to display a set of related statistics together for comparison across a set of instruments or funds. Careful consideration to missing data or unequal time series should be given when intepreting the results.
Examples
data(edhec)
table.Stats(edhec[,1:3])
#> Convertible Arbitrage CTA Global Distressed Securities
#> Observations 293.0000 293.0000 293.0000
#> NAs 0.0000 0.0000 0.0000
#> Minimum -0.1237 -0.0568 -0.1061
#> Quartile 1 0.0002 -0.0114 -0.0021
#> Median 0.0065 0.0020 0.0088
#> Arithmetic Mean 0.0058 0.0043 0.0068
#> Geometric Mean 0.0056 0.0041 0.0067
#> Quartile 3 0.0137 0.0199 0.0179
#> Maximum 0.0611 0.0691 0.0504
#> SE Mean 0.0010 0.0013 0.0011
#> LCL Mean (0.95) 0.0039 0.0017 0.0047
#> UCL Mean (0.95) 0.0077 0.0069 0.0089
#> Variance 0.0003 0.0005 0.0003
#> Stdev 0.0168 0.0228 0.0181
#> Skewness -2.5970 0.1628 -1.7283
#> Kurtosis 18.6011 -0.0076 7.7946
t(table.Stats(edhec))
#> Observations NAs Minimum Quartile 1 Median
#> Convertible Arbitrage 293 0 -0.1237 0.0002 0.0065
#> CTA Global 293 0 -0.0568 -0.0114 0.0020
#> Distressed Securities 293 0 -0.1061 -0.0021 0.0088
#> Emerging Markets 293 0 -0.1922 -0.0092 0.0100
#> Equity Market Neutral 293 0 -0.0587 0.0009 0.0047
#> Event Driven 293 0 -0.1269 -0.0012 0.0088
#> Fixed Income Arbitrage 293 0 -0.0867 0.0018 0.0055
#> Global Macro 293 0 -0.0313 -0.0039 0.0047
#> Long/Short Equity 293 0 -0.0813 -0.0047 0.0082
#> Merger Arbitrage 293 0 -0.0790 0.0007 0.0059
#> Relative Value 293 0 -0.0692 0.0011 0.0067
#> Short Selling 293 0 -0.1340 -0.0251 -0.0032
#> Funds of Funds 293 0 -0.0705 -0.0033 0.0052
#> Arithmetic Mean Geometric Mean Quartile 3 Maximum
#> Convertible Arbitrage 0.0058 0.0056 0.0137 0.0611
#> CTA Global 0.0043 0.0041 0.0199 0.0691
#> Distressed Securities 0.0068 0.0067 0.0179 0.0504
#> Emerging Markets 0.0067 0.0062 0.0257 0.1230
#> Equity Market Neutral 0.0043 0.0043 0.0083 0.0253
#> Event Driven 0.0067 0.0065 0.0168 0.0666
#> Fixed Income Arbitrage 0.0044 0.0044 0.0093 0.0365
#> Global Macro 0.0056 0.0055 0.0128 0.0738
#> Long/Short Equity 0.0067 0.0065 0.0195 0.0745
#> Merger Arbitrage 0.0056 0.0055 0.0111 0.0472
#> Relative Value 0.0057 0.0057 0.0130 0.0392
#> Short Selling -0.0013 -0.0023 0.0181 0.2463
#> Funds of Funds 0.0045 0.0044 0.0127 0.0666
#> SE Mean LCL Mean (0.95) UCL Mean (0.95) Variance Stdev
#> Convertible Arbitrage 0.0010 0.0039 0.0077 0.0003 0.0168
#> CTA Global 0.0013 0.0017 0.0069 0.0005 0.0228
#> Distressed Securities 0.0011 0.0047 0.0089 0.0003 0.0181
#> Emerging Markets 0.0019 0.0030 0.0105 0.0011 0.0327
#> Equity Market Neutral 0.0005 0.0034 0.0053 0.0001 0.0082
#> Event Driven 0.0011 0.0045 0.0089 0.0004 0.0191
#> Fixed Income Arbitrage 0.0007 0.0031 0.0057 0.0001 0.0115
#> Global Macro 0.0009 0.0039 0.0073 0.0002 0.0146
#> Long/Short Equity 0.0012 0.0043 0.0091 0.0004 0.0209
#> Merger Arbitrage 0.0007 0.0043 0.0069 0.0001 0.0115
#> Relative Value 0.0007 0.0044 0.0071 0.0001 0.0119
#> Short Selling 0.0027 -0.0065 0.0040 0.0021 0.0455
#> Funds of Funds 0.0009 0.0027 0.0064 0.0003 0.0161
#> Skewness Kurtosis
#> Convertible Arbitrage -2.5970 18.6011
#> CTA Global 0.1628 -0.0076
#> Distressed Securities -1.7283 7.7946
#> Emerging Markets -1.2205 6.0126
#> Equity Market Neutral -1.9173 12.4266
#> Event Driven -1.8806 10.2736
#> Fixed Income Arbitrage -3.7918 25.4966
#> Global Macro 0.8826 2.4863
#> Long/Short Equity -0.4702 1.9028
#> Merger Arbitrage -1.6216 12.7706
#> Relative Value -2.0781 10.1597
#> Short Selling 0.7737 3.6282
#> Funds of Funds -0.5969 4.3957
result=t(table.Stats(edhec))
# don't test on CRAN, since it requires Suggested packages
require("Hmisc")
textplot(format.df(result, na.blank=TRUE, numeric.dollar=FALSE, cdec=c(rep(1,2),rep(3,14))),
rmar = 0.8, cmar = 1.5, max.cex=.9, halign = "center", valign = "top",
row.valign="center", wrap.rownames=10, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
title(main="Statistics for EDHEC Indexes")
