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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.

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install.packages('PerformanceAnalytics')

Monthly Downloads

34,156

Version

1.5.2

License

GPL-2 | GPL-3

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Repository

https://github.com/braverock/PerformanceAnalytics

Maintainer

Brian G Peterson

Last Published

March 2nd, 2018

Functions in PerformanceAnalytics (1.5.2)

Burke ratio of the return distribution

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

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

M squared of the return distribution

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

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

upside risk, variance and potential of the return distribution

calculate various Value at Risk (VaR) measures

calculate a function over a rolling window

Return.centered

calculate centered Returns

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-Risk Hedge Fund Style Indices

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

Active Premium or Active Return

AdjustedSharpeRatio

Adjusted Sharpe ratio of the return distribution

d ratio of the return distribution

DownsideDeviation

downside risk (deviation, variance) of the return distribution

DownsideFrequency

downside frequency of the return distribution

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

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

M squared excess of the return distribution

Drawdawn peak of the return distribution

Market timing models

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

Martin ratio of the return distribution

MeanAbsoluteDeviation

Mean absolute deviation of the return distribution

OmegaSharpeRatio

Omega-Sharpe ratio of the return distribution

Pain index of the return distribution

calculate Omega for a return series

Return.cumulative

calculate a compounded (geometric) cumulative return

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

BernardoLedoitRatio

Bernardo and Ledoit ratio of the return distribution

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.

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

OmegaExcessReturn

Omega excess return of the return distribution

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

Functions for calculating comoments of financial time series

Systematic risk of the return distribution

Fama beta of the return distribution

Functions for calculating EWMA comoments of financial time series

calculate Normalized Getmansky Smoothing Index

SharpeRatio.annualized

calculate annualized Sharpe Ratio

Total risk of the return distribution

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

Modigliani-Modigliani measure

VolatilitySkewness

Volatility and variability of the return distribution

AverageRecovery

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

Time-varying conditional single factor model beta

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

calculate the Ulcer Index

InformationRatio

InformationRatio = ActivePremium/TrackingError

Regression epsilon of the return distribution

chart.CaptureRatios

Chart of Capture Ratios against a benchmark

chart.Correlation

correlation matrix chart

Kappa of the return distribution

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

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

calculate metrics on up and down markets for the benchmark asset

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

Periodic returns in a bar chart with risk metric overlay

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

internal functions for setting useful defaults for graphs

box whiskers plot wrapper

Prospect ratio of the return distribution

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

Specific risk of the return distribution

chart.RollingMean

chart the rolling mean return

table.CalendarReturns

Monthly and Calendar year Return table

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

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.

Calculate Tracking Error of returns against a benchmark

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

calculate Geltner liquidity-adjusted return series

Hypothetical Alternative Asset Manager and Benchmark Data

Create ACF chart or ACF with PACF two-panel chart

table.CaptureRatios

Calculate and display a table of capture ratio and related statistics

wrapper for barchart of returns

Return.relative

calculate the relative return of one asset to another

order list of drawdowns from worst to best

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 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

Plots a time series with event dates aligned

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

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

wrapper to draw scatter plot with sensible defaults

caclulate the maximum drawdown from peak equity

portfolio_bacon

Bacon(2008) Data

Selected Price Series Example Data

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

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

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

table.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

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

Selected Portfolio Weights Data

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

calculate single factor model (CAPM) alpha

calculate single factor model (CAPM) beta

Frequency of the return distribution