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PerformanceAnalytics (version 1.4.3541)

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

34,347

Version

1.4.3541

License

GPL-2 | GPL-3

Maintainer

Brian G Peterson

Last Published

September 16th, 2014

Functions in PerformanceAnalytics (1.4.3541)

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.

OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution

DrawdownDeviation

Calculates a standard deviation-type statistic using individual drawdowns.

DownsideFrequency

downside frequency of the return distribution

Return.portfolio

Calculate weighted returns for a portfolio of assets

M squared excess of the return distribution

Net selectivity of the return distribution

chart.Correlation

correlation matrix chart

calculate Sortino Ratio of performance over downside risk

Regression epsilon of the return distribution

OmegaExcessReturn

Omega excess return of the return distribution

Burke ratio of the return distribution

table.Arbitrary

wrapper function for combining arbitrary function list into a table

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

calculate single factor model (CAPM) beta

Read returns data with different date formats

apply.fromstart

calculate a function over an expanding window always starting from the beginning of the series

table.SpecificRisk

Specific risk Summary: Statistics and Stylized Facts

chart.RollingCorrelation

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

Return.cumulative

calculate a compounded (geometric) cumulative return

Martin ratio of the return distribution

SharpeRatio.annualized

calculate annualized Sharpe Ratio

chart.RollingQuantileRegression

A wrapper to create charts of relative regression performance through time

chart.TimeSeries

Creates a time series chart with some extensions.

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

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

d ratio of the return distribution

chart.Histogram

histogram of returns

replaceTabs.inner

Display text information in a graphics plot.

chart.CumReturns

Cumulates and graphs a set of periodic returns

table.ProbOutPerformance

Outperformance Report of Asset vs Benchmark

M squared of the return distribution

VolatilitySkewness

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

table.DownsideRiskRatio

Downside Summary: Statistics and ratios

CAPM.jensenAlpha

Jensen's alpha of the return distribution

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

Plots a time series with event dates aligned

calculate Normalized Getmansky Smoothing Index

InformationRatio

InformationRatio = ActivePremium/TrackingError

Periodic returns in a bar chart with risk metric overlay

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

Return.calculate

calculate simple or compound returns from prices

AverageRecovery

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.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

Return.annualized

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

DownsideDeviation

downside risk (deviation, variance) of the return distribution

Calculate Tracking Error of returns against a benchmark

Prospect ratio of the return distribution

Return.centered

calculate centered Returns

Fama beta of the return distribution

Return.relative

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

table.DrawdownsRatio

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

table.HigherMoments

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

StdDev.annualized

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.

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

Return.annualized.excess

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

AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution

SkewnessKurtosisRatio

Skewness-Kurtosis ratio of the return distribution

UpsideFrequency

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

table.Variability

Variability Summary: Statistics and Stylized Facts

chart.VaRSensitivity

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

AverageDrawdown

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.SnailTrail

chart risk versus return over rolling time periods

Drawdawn peak of the return distribution

table.CaptureRatios

Calculate and display a table of capture ratio and related statistics

table.TrailingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

table.Distributions

Distributions Summary: Statistics and Stylized Facts

chart.Regression

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

table.Correlation

calculate correlalations of multicolumn data

wrapper for barchart of returns

chart.RollingPerformance

wrapper to create a chart of rolling performance metrics in a line chart

chart.CaptureRatios

Chart of Capture Ratios against a benchmark

portfolio_bacon

Bacon(2008) Data

chart.RollingMean

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.

table.Drawdowns

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

table.InformationRatio

Information ratio Summary: Statistics and Stylized Facts

Create an ECDF overlaid with a Normal CDF

table.CalendarReturns

Monthly and Calendar year Return table

BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution

Functions for calculating comoments of financial time series

calculate the Ulcer Index

box whiskers plot wrapper

chart.StackedBar

create a stacked bar plot

Selected Price Series Example Data

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts