# PerformanceAnalytics v1.5.2

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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.

## Readme

# PerformanceAnalytics: Econometric tools for performance and risk analysis.

`PerformanceAnalytics`

provides an R package of econometric functions
for performance and risk analysis of financial instruments or portfolios.
This package aims to aid practitioners and researchers in using the latest research for
analysis of both normally and non-normally distributed return streams.

We created this package to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrappers for some functionality with good defaults and naming consistent with common usage in the finance literature.

In general, this package requires return (rather than price) data. Almost all of the functions will work with any periodicity, from annual, monthly, daily, to even minutes and seconds, either regular or irregular.

The package documentation includes sections on

- Time Series Data
- Performance Analysis
- Style Analysis
- Risk Analysis
- Value at Risk - VaR
- Moments and Co-moments
- Robust Data Cleaning
- Summary Tabular Data
- Charts and Graphs
- Wrapper and Utility Functions

It also includes some thoughts on work yet to be done, acknowledgments, and pointers to other literature and resources in R useful for performance and risk analysis,

Some sample data is provided in the `managers`

dataset.
It is an `xts`

object that contains columns of monthly returns for six hypothetical asset managers (HAM1 through HAM6),
the EDHEC Long-Short Equity hedge fund index, the S&P 500 total returns,
and total return series for the US Treasury 10-year bond and 3-month bill.
Monthly returns for all series end in December 2006 and begin at different periods starting from January 1996.
That data set is used extensively in our examples and should serve as a model for formatting your data.

## Functions in PerformanceAnalytics

Name | Description | |

BurkeRatio | Burke ratio of the return distribution | |

HurstIndex | calculate the Hurst Index The Hurst index can be used to measure whether returns are mean reverting, totally random, or persistent. | |

MCA | Functions for doing Moment Component Analysis (MCA) of financial time series | |

MSquared | M squared of the return distribution | |

PainRatio | Pain ratio of the return distribution | |

PerformanceAnalytics-package | Econometric tools for performance and risk analysis. | |

Return.portfolio | Calculate weighted returns for a portfolio of assets | |

Return.read | Read returns data with different date formats | |

ShrinkageMoments | Functions for calculating shrinkage-based comoments of financial time series | |

SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return distribution | |

UpsideRisk | upside risk, variance and potential of the return distribution | |

VaR | calculate various Value at Risk (VaR) measures | |

apply.rolling | calculate a function over a rolling window | |

Return.centered | calculate centered Returns | |

chart.QQPlot | Plot a QQ chart | |

chart.Histogram | histogram of returns | |

chart.SnailTrail | chart risk versus return over rolling time periods | |

chart.StackedBar | create a stacked bar plot | |

edhec | EDHEC-Risk Hedge Fund Style Indices | |

Drawdowns | Find the drawdowns and drawdown levels in a timeseries. | |

table.Correlation | calculate correlalations of multicolumn data | |

table.Distributions | Distributions Summary: Statistics and Stylized Facts | |

table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts | |

table.InformationRatio | Information ratio Summary: Statistics and Stylized Facts | |

ActiveReturn | Active Premium or Active Return | |

AdjustedSharpeRatio | Adjusted Sharpe ratio of the return distribution | |

DRatio | d ratio of the return distribution | |

DownsideDeviation | downside risk (deviation, variance) of the return distribution | |

DownsideFrequency | downside frequency of the return distribution | |

AppraisalRatio | Appraisal ratio of the return distribution | |

AverageDrawdown | Calculates the average depth of the observed drawdowns. | |

DrawdownDeviation | Calculates a standard deviation-type statistic using individual drawdowns. | |

CAPM.jensenAlpha | Jensen's alpha of the return distribution | |

CDD | Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure | |

MSquaredExcess | M squared excess of the return distribution | |

DrawdownPeak | Drawdawn peak of the return distribution | |

MarketTiming | Market timing models | |

ETL | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. | |

MartinRatio | Martin ratio of the return distribution | |

MeanAbsoluteDeviation | Mean absolute deviation of the return distribution | |

OmegaSharpeRatio | Omega-Sharpe ratio of the return distribution | |

PainIndex | Pain index of the return distribution | |

Omega | calculate Omega for a return series | |

Return.cumulative | calculate a compounded (geometric) cumulative return | |

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

BernardoLedoitRatio | Bernardo and Ledoit ratio of the return distribution | |

CalmarRatio | calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the SharpeRatio. | |

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

OmegaExcessReturn | Omega excess return of the return distribution | |

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

CoMoments | Functions for calculating comoments of financial time series | |

SystematicRisk | Systematic risk of the return distribution | |

FamaBeta | Fama beta of the return distribution | |

EWMAMoments | Functions for calculating EWMA comoments of financial time series | |

SmoothingIndex | calculate Normalized Getmansky Smoothing Index | |

SharpeRatio.annualized | calculate annualized Sharpe Ratio | |

TotalRisk | Total risk of the return distribution | |

AverageLength | Calculates the average length (in periods) of the observed drawdowns. | |

Modigliani | Modigliani-Modigliani measure | |

VolatilitySkewness | Volatility and variability of the return distribution | |

AverageRecovery | Calculates the average length (in periods) of the observed recovery period. | |

CAPM.dynamic | Time-varying conditional single factor model beta | |

SortinoRatio | calculate Sortino Ratio of performance over downside risk | |

apply.fromstart | calculate a function over an expanding window always starting from the beginning of the series | |

UlcerIndex | calculate the Ulcer Index | |

InformationRatio | InformationRatio = ActivePremium/TrackingError | |

CAPM.epsilon | Regression epsilon of the return distribution | |

chart.CaptureRatios | Chart of Capture Ratios against a benchmark | |

chart.Correlation | correlation matrix chart | |

Kappa | Kappa of the return distribution | |

chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple instruments | |

NetSelectivity | Net selectivity of the return distribution | |

chart.RollingCorrelation | chart rolling correlation fo multiple assets | |

charts.PerformanceSummary | Create combined wealth index, period performance, and drawdown chart | |

charts.RollingPerformance | rolling performance chart | |

Return.annualized | calculate an annualized return for comparing instruments with different length history | |

UpDownRatios | calculate metrics on up and down markets for the benchmark asset | |

KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy | |

kurtosis | Kurtosis | |

chart.BarVaR | Periodic returns in a bar chart with risk metric overlay | |

M2Sortino | M squared for Sortino of the return distribution | |

Return.annualized.excess | calculates an annualized excess return for comparing instruments with different length history | |

Return.calculate | calculate simple or compound returns from prices | |

legend | internal functions for setting useful defaults for graphs | |

chart.Boxplot | box whiskers plot wrapper | |

ProspectRatio | Prospect ratio of the return distribution | |

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

SpecificRisk | Specific risk of the return distribution | |

chart.RollingMean | chart the rolling mean return | |

table.CalendarReturns | Monthly and Calendar year Return table | |

lpm | calculate a lower partial moment for a time series | |

chart.RollingPerformance | wrapper to create a chart of rolling performance metrics in a line chart | |

chart.VaRSensitivity | show the sensitivity of Value-at-Risk or Expected Shortfall estimates | |

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

chart.TimeSeries | Creates a time series chart with some extensions. | |

TrackingError | Calculate Tracking Error of returns against a benchmark | |

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

Return.Geltner | calculate Geltner liquidity-adjusted return series | |

managers | Hypothetical Alternative Asset Manager and Benchmark Data | |

chart.ACF | Create ACF chart or ACF with PACF two-panel chart | |

table.CaptureRatios | Calculate and display a table of capture ratio and related statistics | |

chart.Bar | wrapper for barchart of returns | |

Return.relative | calculate the relative return of one asset to another | |

skewness | Skewness | |

sortDrawdowns | order list of drawdowns from worst to best | |

chart.ECDF | Create an ECDF overlaid with a Normal CDF | |

StructuredMoments | Functions for calculating structured comoments of financial time series | |

StdDev.annualized | calculate a multiperiod or annualized Standard Deviation | |

Selectivity | Selectivity of the return distribution | |

table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts | |

UpsideFrequency | upside frequency of the return distribution | |

table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts | |

UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over downside risk | |

table.DrawdownsRatio | Drawdowns Summary: Statistics and ratios | |

chart.CumReturns | Cumulates and graphs a set of periodic returns | |

chart.Events | Plots a time series with event dates aligned | |

chart.Drawdown | Time series chart of drawdowns through time | |

chart.Regression | Takes a set of returns and relates them to a market benchmark in a scatterplot | |

table.Variability | Variability Summary: Statistics and Stylized Facts | |

chart.RelativePerformance | relative performance chart between multiple return series | |

replaceTabs.inner | Display text information in a graphics plot. | |

chart.RollingQuantileRegression | A wrapper to create charts of relative regression performance through time | |

table.SpecificRisk | Specific risk Summary: Statistics and Stylized Facts | |

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

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

chart.Scatter | wrapper to draw scatter plot with sensible defaults | |

maxDrawdown | caclulate the maximum drawdown from peak equity | |

portfolio_bacon | Bacon(2008) Data | |

prices | Selected Price Series Example Data | |

table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts | |

mean.geometric | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL | |

table.Stats | Returns Summary: Statistics and Stylized Facts | |

table.ProbOutPerformance | Outperformance Report of Asset vs Benchmark | |

table.Arbitrary | wrapper function for combining arbitrary function list into a table | |

zerofill | zerofill | |

table.Autocorrelation | table for calculating the first six autocorrelation coefficients and significance | |

table.SFM | Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts | |

table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts | |

table.DownsideRiskRatio | Downside Summary: Statistics and ratios | |

to.period.contributions | Aggregate contributions through time | |

weights | Selected Portfolio Weights Data | |

CAPM.CML.slope | utility functions for single factor (CAPM) CML, SML, and RiskPremium | |

CAPM.alpha | calculate single factor model (CAPM) alpha | |

CAPM.beta | calculate single factor model (CAPM) beta | |

Frequency | Frequency of the return distribution | |

No Results! |

## Vignettes of PerformanceAnalytics

## Last month downloads

## Details

Type | Package |

Date | 2018-02-28 $Date$ |

License | GPL-2 | GPL-3 |

URL | https://github.com/braverock/PerformanceAnalytics |

Copyright | (c) 2004-2018 |

RoxygenNote | 6.0.1.9000 |

NeedsCompilation | yes |

Packaged | 2018-03-01 15:16:42.16791 UTC; brian |

Repository | CRAN |

Date/Publication | 2018-03-02 17:06:04 UTC |

suggests | dygraphs , gamlss , gamlss.dist , gplots , Hmisc , MASS , quantmod , quantreg , robustbase , testthat |

imports | methods , quadprog , zoo |

depends | R (>= 3.0.0) , xts (>= 0.10.0) |

Contributors | Ross Bennett, Joshua Ulrich, Diethelm Wuertz, Kris Boudt, Peter Carl, Eric Zivot, Matthieu Lestel, Kyle Balkissoon, Dries Cornilly, Eric Hung |

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