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 | |
| 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 | |
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Details
| Type | Package |
| Date | $Date: 2013-01-29 07:04:00 -0600 (Tue, 29 Jan 2013) $ |
| License | GPL |
| URL | http://r-forge.r-project.org/projects/returnanalytics/ |
| 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 |
| depends | base (>= 2.14.0) , R (>= 2.14.0) , xts (>= 0.8-9) , zoo |
| suggests | ff , gplots , Hmisc , MASS , quadprog , quantreg , robustbase , sn , tseries |
| Contributors | Peter Carl, Brian Peterson |
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