calculate Sortino Ratio of performance over downside risk
calculate CAPM beta
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
calculate centered Returns
Functions for calculating comoments of financial time series
Calculates the average of the observed drawdowns.
Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
measure
upside frequency of the return distribution
scatter chart of returns vs risk for comparing multiple instruments
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
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
Cumulates and graphs a set of periodic returns
chart rolling correlation fo multiple assets
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
Monthly and Calendar year Return table
Active Premium
Volatility and variability of the return distribution
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
calculate simple or compound returns from prices
Time series chart of drawdowns through time
InformationRatio = ActivePremium/TrackingError
Jensen's alpha of the return distribution
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
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
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.
calculate Upside Potential Ratio of upside performance over downside risk
wrapper to create a chart of rolling performance metrics in a line chart
Skewness-Kurtosis ratio of the return distribution
Skewness
clean returns in a time series to to provide more robust risk estimates
box whiskers plot wrapper
Burke ratio of the return distribution
Mean absolute deviation of the return distribution
Adjusted Sharpe ratio of the return distribution
Kurtosis
Pain index of the return distribution
Find the drawdowns and drawdown levels in a timeseries.
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
calculate a function over an expanding window always starting from the
beginning of the series
Downside Summary: Statistics and ratios
Worst Drawdowns Summary: Statistics and Stylized Facts
Calculate Tracking Error of returns against a benchmark
Calculates a standard deviation-type statistic using individual drawdowns.
calculate a function over a rolling window
correlation matrix chart
Periodic returns in a bar chart with risk metric overlay
d ratio of the return distribution
Chart of Capture Ratios against a benchmark
calculate Normalized Getmansky Smoothing Index
Kappa of the return distribution
Variability Summary: Statistics and Stylized Facts
calculate an annualized return for comparing instruments with different
length history
downside risk (deviation, variance) of the return distribution
Selectivity of the return distribution
calculate a compounded (geometric) cumulative return
calculate correlalations of multicolumn data
order list of drawdowns from worst to best
Selected Portfolio Weights Data
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
Higher Moments Summary: Statistics and Stylized Facts
caclulate the maximum drawdown from peak equity
Annualized Returns Summary: Statistics and Stylized Facts
chart the rolling mean return
Bacon(2008) Data
Plot a QQ chart
Specific risk Summary: Statistics and Stylized Facts
charts.RollingPerformance
rolling performance chart
internal functions for setting useful defaults for graphs
Rolling Periods Summary: Statistics and Stylized Facts
clean extreme observations in a time series to to provide more robust risk
estimates
zerofill
Display text information in a graphics plot.
Drawdowns Summary: Statistics and ratios
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
Downside Risk Summary: Statistics and Stylized Facts
Creates a time series chart with some extensions.
Hypothetical Alternative Asset Manager and Benchmark Data
wrapper function for combining arbitrary function list into a table
create a stacked bar plot
Information ratio Summary: Statistics and Stylized Facts
downside frequency of the return distribution
M squared excess of the return distribution
Calculates weighted returns for a portfolio of assets
Create an ECDF overlaid with a Normal CDF
histogram of returns
chart risk versus return over rolling time periods