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