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Install
install.packages('PerformanceAnalytics')
Monthly Downloads
48,292
Version
1.1.0
License
GPL
Maintainer
Brian G Peterson
Last Published
January 29th, 2013
Functions in PerformanceAnalytics (1.1.0)
Search functions
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
Return.read
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