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PerformanceAnalytics (version 1.0.2.1)

Econometric tools for performance and risk analysis.

Description

Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

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Version

Install

install.packages('PerformanceAnalytics')

Monthly Downloads

41,286

Version

1.0.2.1

License

GPL

Maintainer

Brian G Peterson

Last Published

April 25th, 2010

Functions in PerformanceAnalytics (1.0.2.1)

calculate CAPM beta

chart.Histogram

histogram of returns

Return.calculate

calculate simple or compound returns from prices

chart.SnailTrail

chart risk versus return over rolling time periods

calculate and display effective style weights

chart.Correlation

correlation matrix chart

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

clean extreme observations in a time series to to provide more robust risk estimates

calculate a function over a rolling window

order list of drawdowns from worst to best

utility functions for CAPM CML, SML, and RiskPremium

caclulate the maximum drawdown from peak equity

Find the drawdowns and drawdown levels in a timeseries.

Hypothetical Alternative Asset Manager and Benchmark Data

calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES

apply.fromstart

calculate a function over an expanding window always starting from the beginning of the series

calculate a Calmar or Sterling reward/risk ratio

calculate various Value at Risk (VaR) measures

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure

Return.annualized

calculate an annualized return for comparing instruments with different length history

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

calculate Kelly criterion ratio (leverage or bet size) for a strategy

SharpeRatio.annualized

calculate annualized Sharpe Ratio

calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

chart.StackedBar

create a stacked bar plot

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

calculate CAPM alpha

Beta Co-Moments

Functions to calculate systematic or beta co-moments of return series

InformationRatio

InformationRatio = ActivePremium/TrackingError

calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL

calculate Geltner liquidity-adjusted return series

chart.RollingCorrelation

chart rolling correlation fo multiple assets

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

calculate Omega for a return series

Calculates the returns of an asset in excess of the given risk free rate

table.CaptureRatios

Calculate and display a table of capture ratio and related statistics

Read returns data with different date formats

chart.RelativePerformance

relative performance chart between multiple return series

Functions for calculating comoments of financial time series

wrapper to draw scatter plot with sensible defaults

calculate metrics on up and down markets for the benchmark asset

Create ACF chart or ACF with PACF two-panel chart

chart.Regression

Takes a set of returns and relates them to a market benchmark in a scatterplot

clean returns in a time series to to provide more robust risk estimates

chart.TimeSeries

Creates a time series chart with some extensions.

Return.cumulative

calculate a compounded (geometric) cumulative return

calculate Treynor Ratio of excess return over CAPM beta

Selected Price Series Example Data

Periodic returns in a bar chart with risk metric overlay

Return.relative

calculate the relative return of one asset to another

calculate a multiperiod or annualized Standard Deviation

wrapper for barchart of returns

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

calculate Sortino Ratio of performance over downside risk

Return.centered

calculate centered Returns

DownsideDeviation

downside risk (deviation, variance) of the return distribution

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

chart.RollingMean

chart the rolling mean return

Plots a time series with event dates aligned

charts.RollingPerformance

rolling performance chart

Plot a QQ chart

Create an ECDF overlaid with a Normal CDF

Return.portfolio

Calculates weighted returns for a portfolio of assets

table.Arbitrary

wrapper function for combining arbitrary function list into a table

box whiskers plot wrapper

table.TrailingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio

chart.CaptureRatios

Chart of Capture Ratios against a benchmark

table.Correlation

calculate correlalations of multicolumn data

Time series chart of drawdowns through time

Calculate Tracking Error of returns against a benchmark

chart.VaRSensitivity

show the sensitivity of Value-at-Risk or Expected Shortfall estimates

chart.RollingPerformance

wrapper to create a chart of rolling performance metrics in a line chart

EDHEC-Risk Hedge Fund Style Indices

calculate Normalized Getmansky Smoothing Index

Returns Summary: Statistics and Stylized Facts

table.CalendarReturns

Monthly and Calendar year Return table

chart.CumReturns

Cumulates and graphs a set of periodic returns

Display text information in a graphics plot.

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

Selected Portfolio Weights Data

check input data type and format and coerce to the desired output type

table.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

Asset-Pricing Model Summary: Statistics and Stylized Facts