Active Premium or Active Return
Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
measure
Selectivity of the return distribution
calculate Geltner liquidity-adjusted return series
calculate the Hurst Index
The Hurst index can be used to measure whether returns are mean reverting,
totally random, or persistent.
Omega-Sharpe ratio of the return distribution
Calculates a standard deviation-type statistic using individual drawdowns.
downside frequency of the return distribution
Calculate weighted returns for a portfolio of assets
M squared excess of the return distribution
Net selectivity of the return distribution
correlation matrix chart
calculate Sortino Ratio of performance over downside risk
Kurtosis
Regression epsilon of the return distribution
Omega excess return of the return distribution
Burke ratio of the return distribution
wrapper function for combining arbitrary function list into a table
calculate Upside Potential Ratio of upside performance over downside risk
calculate single factor model (CAPM) beta
Read returns data with different date formats
calculate a function over an expanding window always starting from the
beginning of the series
Specific risk Summary: Statistics and Stylized Facts
chart rolling correlation fo multiple assets
Functions to calculate systematic or beta co-moments of return series
calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
calculate a compounded (geometric) cumulative return
Martin ratio of the return distribution
calculate annualized Sharpe Ratio
chart.RollingQuantileRegression
A wrapper to create charts of relative regression performance through time
Creates a time series chart with some extensions.
clean extreme observations in a time series to to provide more robust risk
estimates
scatter chart of returns vs risk for comparing multiple instruments
d ratio of the return distribution
Skewness
histogram of returns
Display text information in a graphics plot.
Cumulates and graphs a set of periodic returns
Outperformance Report of Asset vs Benchmark
M squared of the return distribution
Volatility and variability of the return distribution
check input data type and format and coerce to the desired output type
EDHEC-Risk Hedge Fund Style Indices
Market timing models
Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
Calculates the average length (in periods) of the observed drawdowns.
calculate a Calmar or Sterling reward/risk ratio
Downside Summary: Statistics and ratios
Jensen's alpha of the return distribution
Downside Risk Summary: Statistics and Stylized Facts
Plots a time series with event dates aligned
calculate Normalized Getmansky Smoothing Index
InformationRatio = ActivePremium/TrackingError
Periodic returns in a bar chart with risk metric overlay
charts.PerformanceSummary
Create combined wealth index, period performance, and drawdown chart
calculate simple or compound returns from prices
Calculates the average length (in periods) of the observed recovery period.
M squared for Sortino of the return distribution
Time-varying conditional single factor model beta
table for calculating the first six autocorrelation coefficients and
significance
calculate an annualized return for comparing instruments with different
length history
Pain index of the return distribution
calculate a lower partial moment for a time series
downside risk (deviation, variance) of the return distribution
Calculate Tracking Error of returns against a benchmark
Prospect ratio of the return distribution
calculate centered Returns
Fama beta of the return distribution
calculate the relative return of one asset to another
PerformanceAnalytics-package
Econometric tools for performance and risk analysis.
caclulate the maximum drawdown from peak equity
Drawdowns Summary: Statistics and ratios
calculate single factor model (CAPM) alpha
Appraisal ratio of the return distribution
Frequency of the return distribution
Pain ratio of the return distribution
Higher Moments Summary: Statistics and Stylized Facts
utility functions for single factor (CAPM) CML, SML, and RiskPremium
Plot a QQ chart
Kappa of the return distribution
charts.RollingPerformance
rolling performance chart
Total risk of the return distribution
Specific risk of the return distribution
calculate a traditional or modified Sharpe Ratio of Return over StdDev or
VaR or ES
calculate a multiperiod or annualized Standard Deviation
calculates Standard Deviation for univariate and multivariate series, also
calculates component contribution to standard deviation of a portfolio
calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for
univariate and component, using a variety of analytical methods.
Mean absolute deviation of the return distribution
calculates an annualized excess return for comparing instruments with different
length history
calculate metrics on up and down markets for the benchmark asset
Modigliani-Modigliani measure
Adjusted Sharpe ratio of the return distribution
Skewness-Kurtosis ratio of the return distribution
upside frequency of the return distribution
calculate Omega for a return series
Systematic risk of the return distribution
chart.RelativePerformance
relative performance chart between multiple return series
calculate a function over a rolling window
Returns Summary: Statistics and Stylized Facts
Create ACF chart or ACF with PACF two-panel chart
Variability Summary: Statistics and Stylized Facts
zerofill
show the sensitivity of Value-at-Risk or Expected Shortfall estimates
clean returns in a time series to to provide more robust risk estimates
Calculates the returns of an asset in excess of the given risk free rate
Calculates the average depth of the observed drawdowns.
Selected Portfolio Weights Data
calculate various Value at Risk (VaR) measures
upside risk, variance and potential of the return distribution
chart risk versus return over rolling time periods
Drawdawn peak of the return distribution
Calculate and display a table of capture ratio and related statistics
Rolling Periods Summary: Statistics and Stylized Facts
Distributions Summary: Statistics and Stylized Facts
Takes a set of returns and relates them to a market benchmark in a
scatterplot
Hypothetical Alternative Asset Manager and Benchmark Data
calculate Kelly criterion ratio (leverage or bet size) for a strategy
Time series chart of drawdowns through time
calculate correlalations of multicolumn data
wrapper for barchart of returns
wrapper to create a chart of rolling performance metrics in a line chart
Chart of Capture Ratios against a benchmark
Bacon(2008) Data
chart the rolling mean return
wrapper to draw scatter plot with sensible defaults
internal functions for setting useful defaults for graphs
Find the drawdowns and drawdown levels in a timeseries.
Worst Drawdowns Summary: Statistics and Stylized Facts
order list of drawdowns from worst to best
calculate attributes relative to the mean of the observation series given,
including geometric, stderr, LCL and UCL
Information ratio Summary: Statistics and Stylized Facts
Create an ECDF overlaid with a Normal CDF
Monthly and Calendar year Return table
Bernardo and Ledoit ratio of the return distribution
Functions for calculating comoments of financial time series
calculate the Ulcer Index
box whiskers plot wrapper
create a stacked bar plot
Selected Price Series Example Data
Annualized Returns Summary: Statistics and Stylized Facts