PerformanceAnalytics v1.1.0


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Econometric tools for performance and risk analysis.

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.

Functions in PerformanceAnalytics

Name Description
SortinoRatio calculate Sortino Ratio of performance over downside risk
CAPM.beta calculate CAPM beta
BernardoLedoitRatio Bernardo and Ledoit ratio of the return distribution
FamaBeta Fama beta of the return distribution
AppraisalRatio Appraisal ratio of the return distribution
PerformanceAnalytics-package Econometric tools for performance and risk analysis.
PainRatio Pain ratio of the return distribution
Return.centered calculate centered Returns
CoMoments Functions for calculating comoments of financial time series
AverageDrawdown Calculates the average of the observed drawdowns.
CDD Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
UpsideFrequency upside frequency of the return distribution
chart.RiskReturnScatter scatter chart of returns vs risk for comparing multiple instruments
Return.relative calculate the relative return of one asset to another
Return.excess Calculates the returns of an asset in excess of the given risk free rate
TotalRisk Total risk of the return distribution
checkData check input data type and format and coerce to the desired output type
StdDev calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio
MartinRatio Martin ratio of the return distribution
StdDev.annualized calculate a multiperiod or annualized Standard Deviation
DrawdownPeak Drawdawn peak of the return distribution
chart.Bar wrapper for barchart of returns
SharpeRatio calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
KellyRatio calculate Kelly criterion ratio (leverage or bet size) for a strategy
chart.CumReturns Cumulates and graphs a set of periodic returns
chart.RollingCorrelation chart rolling correlation fo multiple assets
OmegaSharpeRatio Omega-Sharpe ratio of the return distribution
Frequency Frequency of the return distribution
CalmarRatio calculate a Calmar or Sterling reward/risk ratio
NetSelectivity Net selectivity of the return distribution
MSquared M squared of the return distribution
Omega calculate Omega for a return series
CAPM.CML.slope utility functions for CAPM CML, SML, and RiskPremium
ProspectRatio Prospect ratio of the return distribution
CAPM.epsilon Regression epsilon of the return distribution
BetaCoMoments Functions to calculate systematic or beta co-moments of return series
UpDownRatios calculate metrics on up and down markets for the benchmark asset
table.CalendarReturns Monthly and Calendar year Return table
ActivePremium Active Premium
VolatilitySkewness Volatility and variability of the return distribution
SharpeRatio.annualized calculate annualized Sharpe Ratio
chart.Events Plots a time series with event dates aligned
prices Selected Price Series Example Data
Return.Geltner calculate Geltner liquidity-adjusted return series
chart.ACFplus Create ACF chart or ACF with PACF two-panel chart
VaR calculate various Value at Risk (VaR) measures
chart.RelativePerformance relative performance chart between multiple return series
Return.calculate calculate simple or compound returns from prices
chart.Drawdown Time series chart of drawdowns through time
InformationRatio InformationRatio = ActivePremium/TrackingError
CAPM.jensenAlpha Jensen's alpha of the return distribution
table.Autocorrelation table for calculating the first six autocorrelation coefficients and significance
SpecificRisk Specific risk of the return distribution
CAPM.alpha calculate CAPM alpha
charts.PerformanceSummary Create combined wealth index, period performance, and drawdown chart
UlcerIndex calculate the Ulcer Index
chart.Regression Takes a set of returns and relates them to a market benchmark in a scatterplot
M2Sortino M squared for Sortino of the return distribution
table.CAPM Asset-Pricing Model Summary: Statistics and Stylized Facts Read returns data with different date formats
chart.VaRSensitivity show the sensitivity of Value-at-Risk or Expected Shortfall estimates
UpsideRisk upside risk, variance and potential of the return distribution
ETL calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
UpsidePotentialRatio calculate Upside Potential Ratio of upside performance over downside risk
chart.RollingPerformance wrapper to create a chart of rolling performance metrics in a line chart
SkewnessKurtosisRatio Skewness-Kurtosis ratio of the return distribution
skewness Skewness
Return.clean clean returns in a time series to to provide more robust risk estimates
chart.Boxplot box whiskers plot wrapper
BurkeRatio Burke ratio of the return distribution
MeanAbsoluteDeviation Mean absolute deviation of the return distribution
AdjustedSharpeRatio Adjusted Sharpe ratio of the return distribution
kurtosis Kurtosis
PainIndex Pain index of the return distribution
findDrawdowns Find the drawdowns and drawdown levels in a timeseries.
OmegaExcessReturn Omega excess return of the return distribution
chart.RollingQuantileRegression A wrapper to create charts of relative regression performance through time
SystematicRisk Systematic risk of the return distribution
table.Stats Returns Summary: Statistics and Stylized Facts
apply.fromstart calculate a function over an expanding window always starting from the beginning of the series
table.DownsideRiskRatio Downside Summary: Statistics and ratios
table.Drawdowns Worst Drawdowns Summary: Statistics and Stylized Facts
TrackingError Calculate Tracking Error of returns against a benchmark
DrawdownDeviation Calculates a standard deviation-type statistic using individual drawdowns.
apply.rolling calculate a function over a rolling window
chart.Correlation correlation matrix chart
chart.BarVaR Periodic returns in a bar chart with risk metric overlay
DRatio d ratio of the return distribution
chart.CaptureRatios Chart of Capture Ratios against a benchmark
SmoothingIndex calculate Normalized Getmansky Smoothing Index
Kappa Kappa of the return distribution
table.Variability Variability Summary: Statistics and Stylized Facts
Return.annualized calculate an annualized return for comparing instruments with different length history
DownsideDeviation downside risk (deviation, variance) of the return distribution
Selectivity Selectivity of the return distribution
Return.cumulative calculate a compounded (geometric) cumulative return
table.Correlation calculate correlalations of multicolumn data
sortDrawdowns order list of drawdowns from worst to best
weights Selected Portfolio Weights Data
table.Distributions Distributions Summary: Statistics and Stylized Facts
TreynorRatio calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
chart.Scatter wrapper to draw scatter plot with sensible defaults
edhec EDHEC-Risk Hedge Fund Style Indices
table.HigherMoments Higher Moments Summary: Statistics and Stylized Facts
maxDrawdown caclulate the maximum drawdown from peak equity
table.AnnualizedReturns Annualized Returns Summary: Statistics and Stylized Facts
chart.RollingMean chart the rolling mean return
portfolio_bacon Bacon(2008) Data
chart.QQPlot Plot a QQ chart
table.SpecificRisk Specific risk Summary: Statistics and Stylized Facts
charts.RollingPerformance rolling performance chart
legend internal functions for setting useful defaults for graphs
table.TrailingPeriods Rolling Periods Summary: Statistics and Stylized Facts
clean.boudt clean extreme observations in a time series to to provide more robust risk estimates
zerofill zerofill
replaceTabs.inner Display text information in a graphics plot.
table.DrawdownsRatio Drawdowns Summary: Statistics and ratios
table.CaptureRatios Calculate and display a table of capture ratio and related statistics
mean.geometric calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
table.DownsideRisk Downside Risk Summary: Statistics and Stylized Facts
charts.TimeSeries Creates a time series chart with some extensions.
managers Hypothetical Alternative Asset Manager and Benchmark Data
table.Arbitrary wrapper function for combining arbitrary function list into a table
chart.StackedBar create a stacked bar plot
table.InformationRatio Information ratio Summary: Statistics and Stylized Facts
DownsideFrequency downside frequency of the return distribution
MSquaredExcess M squared excess of the return distribution
Return.rebalancing Calculates weighted returns for a portfolio of assets
chart.ECDF Create an ECDF overlaid with a Normal CDF
chart.Histogram histogram of returns
chart.SnailTrail chart risk versus return over rolling time periods
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Type Package
Date $Date: 2013-01-29 07:04:00 -0600 (Tue, 29 Jan 2013) $
License GPL
Copyright (c) 2004-2012
Contributors Kris Boudt, Diethelm Wuertz, Eric Zivot, Matthieu Lestel
Thanks A special thanks for additional contributions from Stefan Albrecht, Khahn Nygyen, Jeff Ryan, Josh Ulrich, Sankalp Upadhyay, Tobias Verbeke, H. Felix Wittmann, Ram Ahluwalia
Packaged 2013-01-29 13:06:03 UTC; brian
Repository CRAN
Date/Publication 2013-01-29 16:32:18

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