Econometric tools for performance and risk analysis.


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Documentation for package ‘PerformanceAnalytics’ version 1.1.0

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A B C D E F I J K M N O P R S T U V W Z

PerformanceAnalytics-package Econometric tools for performance and risk analysis.

-- A --

ActivePremium Active Premium
AdjustedSharpeRatio Adjusted Sharpe ratio of the return distribution
apply.fromstart calculate a function over an expanding window always starting from the beginning of the series
apply.rolling calculate a function over a rolling window
AppraisalRatio Appraisal ratio of the return distribution
AverageDrawdown Calculates the average of the observed drawdowns.
AverageRecovery Calculates the average of the observed drawdowns.

-- B --

BernardoLedoitRatio Bernardo and Ledoit ratio of the return distribution
BetaCoKurtosis Functions to calculate systematic or beta co-moments of return series
BetaCoMoments Functions to calculate systematic or beta co-moments of return series
BetaCoSkewness Functions to calculate systematic or beta co-moments of return series
BetaCoVariance Functions to calculate systematic or beta co-moments of return series
BurkeRatio Burke ratio of the return distribution

-- C --

CalculateReturns calculate simple or compound returns from prices
CalmarRatio calculate a Calmar or Sterling reward/risk ratio
CAPM.alpha calculate CAPM alpha
CAPM.beta calculate CAPM beta
CAPM.beta.bear calculate CAPM beta
CAPM.beta.bull calculate CAPM beta
CAPM.CML utility functions for CAPM CML, SML, and RiskPremium
CAPM.CML.slope utility functions for CAPM CML, SML, and RiskPremium
CAPM.epsilon Regression epsilon of the return distribution
CAPM.jensenAlpha Jensen's alpha of the return distribution
CAPM.RiskPremium utility functions for CAPM CML, SML, and RiskPremium
CAPM.SML.slope utility functions for CAPM CML, SML, and RiskPremium
CAPM.utils utility functions for CAPM CML, SML, and RiskPremium
CDaR Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
CDD Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
centeredcomoment calculate centered Returns
centeredmoment calculate centered Returns
chart.ACF Create ACF chart or ACF with PACF two-panel chart
chart.ACFplus Create ACF chart or ACF with PACF two-panel chart
chart.Bar wrapper for barchart of returns
chart.BarVaR Periodic returns in a bar chart with risk metric overlay
chart.Boxplot box whiskers plot wrapper
chart.CaptureRatios Chart of Capture Ratios against a benchmark
chart.Correlation correlation matrix chart
chart.CumReturns Cumulates and graphs a set of periodic returns
chart.Drawdown Time series chart of drawdowns through time
chart.ECDF Create an ECDF overlaid with a Normal CDF
chart.Events Plots a time series with event dates aligned
chart.Histogram histogram of returns
chart.QQPlot Plot a QQ chart
chart.Regression Takes a set of returns and relates them to a market benchmark in a scatterplot
chart.RelativePerformance relative performance chart between multiple return series
chart.RiskReturnScatter scatter chart of returns vs risk for comparing multiple instruments
chart.RollingCorrelation chart rolling correlation fo multiple assets
chart.RollingMean chart the rolling mean return
chart.RollingPerformance wrapper to create a chart of rolling performance metrics in a line chart
chart.RollingQuantileRegression A wrapper to create charts of relative regression performance through time
chart.RollingRegression A wrapper to create charts of relative regression performance through time
chart.Scatter wrapper to draw scatter plot with sensible defaults
chart.SnailTrail chart risk versus return over rolling time periods
chart.StackedBar create a stacked bar plot
chart.TimeSeries Creates a time series chart with some extensions.
chart.VaRSensitivity show the sensitivity of Value-at-Risk or Expected Shortfall estimates
charts.Bar wrapper for barchart of returns
charts.BarVaR Periodic returns in a bar chart with risk metric overlay
charts.PerformanceSummary Create combined wealth index, period performance, and drawdown chart
charts.RollingPerformance rolling performance chart
charts.RollingRegression A wrapper to create charts of relative regression performance through time
charts.TimeSeries Creates a time series chart with some extensions.
checkData check input data type and format and coerce to the desired output type
clean.boudt clean extreme observations in a time series to to provide more robust risk estimates
CoKurtosis Functions for calculating comoments of financial time series
CoMoments Functions for calculating comoments of financial time series
CoSkewness Functions for calculating comoments of financial time series
CoVariance Functions for calculating comoments of financial time series
CVaR calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

-- D --

DownsideDeviation downside risk (deviation, variance) of the return distribution
DownsideFrequency downside frequency of the return distribution
DownsidePotential downside risk (deviation, variance) of the return distribution
DRatio d ratio of the return distribution
DrawdownDeviation Calculates a standard deviation-type statistic using individual drawdowns.
DrawdownPeak Drawdawn peak of the return distribution
Drawdowns Find the drawdowns and drawdown levels in a timeseries.

-- E --

edhec EDHEC-Risk Hedge Fund Style Indices
epsilon Regression epsilon of the return distribution
ES calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
ETL calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

-- F --

FamaBeta Fama beta of the return distribution
findDrawdowns Find the drawdowns and drawdown levels in a timeseries.
Frequency Frequency of the return distribution

-- I --

InformationRatio InformationRatio = ActivePremium/TrackingError

-- J --

Jensen'sAlpha Jensen's alpha of the return distribution

-- K --

Kappa Kappa of the return distribution
KellyRatio calculate Kelly criterion ratio (leverage or bet size) for a strategy
kurtosis Kurtosis

-- M --

M2Sortino M squared for Sortino of the return distribution
managers Hypothetical Alternative Asset Manager and Benchmark Data
MartinRatio Martin ratio of the return distribution
maxDrawdown caclulate the maximum drawdown from peak equity
mean.geometric calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.LCL calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.stderr calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.UCL calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.utils calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
MeanAbsoluteDeviation Mean absolute deviation of the return distribution
MSquared M squared of the return distribution
MSquaredExcess M squared excess of the return distribution

-- N --

NetSelectivity Net selectivity of the return distribution

-- O --

Omega calculate Omega for a return series
OmegaExcessReturn Omega excess return of the return distribution
OmegaExessReturn Omega excess return of the return distribution
OmegaSharpeRatio Omega-Sharpe ratio of the return distribution

-- P --

PainIndex Pain index of the return distribution
PainRatio Pain ratio of the return distribution
PerformanceAnalytics Econometric tools for performance and risk analysis.
portfolio_bacon Bacon(2008) Data
prices Selected Price Series Example Data
ProspectRatio Prospect ratio of the return distribution

-- R --

Regression Regression epsilon of the return distribution
replaceTabs Display text information in a graphics plot.
replaceTabs.inner Display text information in a graphics plot.
Return.annualized calculate an annualized return for comparing instruments with different length history
Return.calculate calculate simple or compound returns from prices
Return.centered calculate centered Returns
Return.clean clean returns in a time series to to provide more robust risk estimates
Return.cumulative calculate a compounded (geometric) cumulative return
Return.excess Calculates the returns of an asset in excess of the given risk free rate
Return.Geltner calculate Geltner liquidity-adjusted return series
Return.portfolio Calculates weighted returns for a portfolio of assets
Return.read Read returns data with different date formats
Return.rebalancing Calculates weighted returns for a portfolio of assets
Return.relative calculate the relative return of one asset to another

-- S --

sd.annualized calculate a multiperiod or annualized Standard Deviation
sd.multiperiod calculate a multiperiod or annualized Standard Deviation
Selectivity Selectivity of the return distribution
SemiDeviation downside risk (deviation, variance) of the return distribution
SemiVariance downside risk (deviation, variance) of the return distribution
SharpeRatio calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized calculate annualized Sharpe Ratio
SharpeRatio.modified calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
skewness Skewness
Skewness-KurtosisRatio Skewness-Kurtosis ratio of the return distribution
SkewnessKurtosisRatio Skewness-Kurtosis ratio of the return distribution
SmoothingIndex calculate Normalized Getmansky Smoothing Index
sortDrawdowns order list of drawdowns from worst to best
SortinoRatio calculate Sortino Ratio of performance over downside risk
SpecificRisk Specific risk of the return distribution
statsTable wrapper function for combining arbitrary function list into a table
StdDev calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio
StdDev.annualized calculate a multiperiod or annualized Standard Deviation
SterlingRatio calculate a Calmar or Sterling reward/risk ratio
SystematicKurtosis Functions to calculate systematic or beta co-moments of return series
SystematicRisk Systematic risk of the return distribution
SystematicSkewness Functions to calculate systematic or beta co-moments of return series

-- T --

table.AnnualizedReturns Annualized Returns Summary: Statistics and Stylized Facts
table.Arbitrary wrapper function for combining arbitrary function list into a table
table.Autocorrelation table for calculating the first six autocorrelation coefficients and significance
table.CalendarReturns Monthly and Calendar year Return table
table.CAPM Asset-Pricing Model Summary: Statistics and Stylized Facts
table.CaptureRatios Calculate and display a table of capture ratio and related statistics
table.Correlation calculate correlalations of multicolumn data
table.Distributions Distributions Summary: Statistics and Stylized Facts
table.DownsideRisk Downside Risk Summary: Statistics and Stylized Facts
table.DownsideRiskRatio Downside Summary: Statistics and ratios
table.Drawdowns Worst Drawdowns Summary: Statistics and Stylized Facts
table.DrawdownsRatio Drawdowns Summary: Statistics and ratios
table.HigherMoments Higher Moments Summary: Statistics and Stylized Facts
table.InformationRatio Information ratio Summary: Statistics and Stylized Facts
table.MonthlyReturns Returns Summary: Statistics and Stylized Facts
table.Returns Monthly and Calendar year Return table
table.RollingPeriods Rolling Periods Summary: Statistics and Stylized Facts
table.SpecificRisk Specific risk Summary: Statistics and Stylized Facts
table.Stats Returns Summary: Statistics and Stylized Facts
table.TrailingPeriods Rolling Periods Summary: Statistics and Stylized Facts
table.TrailingPeriodsRel Rolling Periods Summary: Statistics and Stylized Facts
table.UpDownRatios Calculate and display a table of capture ratio and related statistics
table.Variability Variability Summary: Statistics and Stylized Facts
textplot Display text information in a graphics plot.
textplot.character Display text information in a graphics plot.
textplot.data.frame Display text information in a graphics plot.
textplot.default Display text information in a graphics plot.
textplot.matrix Display text information in a graphics plot.
TimingRatio calculate CAPM beta
TotalRisk Total risk of the return distribution
TrackingError Calculate Tracking Error of returns against a benchmark
TreynorRatio calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta

-- U --

UlcerIndex calculate the Ulcer Index
UpDownRatios calculate metrics on up and down markets for the benchmark asset
UPR calculate Upside Potential Ratio of upside performance over downside risk
UpsideFrequency upside frequency of the return distribution
UpsidePotentialRatio calculate Upside Potential Ratio of upside performance over downside risk
UpsideRisk upside risk, variance and potential of the return distribution

-- V --

VaR calculate various Value at Risk (VaR) measures
VaR.CornishFisher calculate various Value at Risk (VaR) measures
VolatilitySkewness Volatility and variability of the return distribution

-- W --

weights Selected Portfolio Weights Data

-- Z --

zerofill zerofill