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PerformanceAnalytics (version 1.1.0)

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

32,313

Version

1.1.0

License

GPL

Maintainer

Brian G Peterson

Last Published

January 29th, 2013

Functions in PerformanceAnalytics (1.1.0)

calculate Sortino Ratio of performance over downside risk

calculate CAPM beta

BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution

Fama beta of the return distribution

Appraisal ratio of the return distribution

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

Pain ratio of the return distribution

Return.centered

calculate centered Returns

Functions for calculating comoments of financial time series

AverageDrawdown

Calculates the average of the observed drawdowns.

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

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

Total risk of the return distribution

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

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

Martin ratio of the return distribution

StdDev.annualized

calculate a multiperiod or annualized Standard Deviation

Drawdawn peak of the return distribution

wrapper for barchart of returns

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

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 of the return distribution

calculate a Calmar or Sterling reward/risk ratio

Net selectivity of the return distribution

M squared of the return distribution

calculate Omega for a return series

utility functions for CAPM CML, SML, and RiskPremium

Prospect ratio of the return distribution

Regression epsilon of the return distribution

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

calculate metrics on up and down markets for the benchmark asset

table.CalendarReturns

Monthly and Calendar year Return table

VolatilitySkewness

Volatility and variability of the return distribution

SharpeRatio.annualized

calculate annualized Sharpe Ratio

Plots a time series with event dates aligned

Selected Price Series Example Data

calculate Geltner liquidity-adjusted return series

Create ACF chart or ACF with PACF two-panel chart

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

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

Specific risk of the return distribution

calculate CAPM alpha

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

calculate the Ulcer Index

chart.Regression

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

M squared for Sortino of the return distribution

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

upside risk, variance and potential of the return distribution

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

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

box whiskers plot wrapper

Burke ratio of the return distribution

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution

Pain index of the return distribution

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

Systematic risk of the return distribution

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

Calculate Tracking Error of returns against a benchmark

DrawdownDeviation

Calculates a standard deviation-type statistic using individual drawdowns.

calculate a function over a rolling window

chart.Correlation

correlation matrix chart

Periodic returns in a bar chart with risk metric overlay

d ratio of the return distribution

chart.CaptureRatios

Chart of Capture Ratios against a benchmark

calculate Normalized Getmansky Smoothing Index

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 of the return distribution

Return.cumulative

calculate a compounded (geometric) cumulative return

table.Correlation

calculate correlalations of multicolumn data

order list of drawdowns from worst to best

Selected Portfolio Weights Data

table.Distributions

Distributions Summary: Statistics and Stylized Facts

calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta

wrapper to draw scatter plot with sensible defaults

EDHEC-Risk Hedge Fund Style Indices

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

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

Plot a QQ chart

table.SpecificRisk

Specific risk Summary: Statistics and Stylized Facts

charts.RollingPerformance

rolling performance chart

internal functions for setting useful defaults for graphs

table.TrailingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

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

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

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.

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

M squared excess of the return distribution

Return.rebalancing

Calculates weighted returns for a portfolio of assets

Create an ECDF overlaid with a Normal CDF

chart.Histogram

histogram of returns

chart.SnailTrail

chart risk versus return over rolling time periods