PerformanceAnalytics v2.0.4
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Functions in PerformanceAnalytics
| Name | Description | |
| AverageDrawdown | Calculates the average depth of the observed drawdowns. | |
| CAPM.alpha | calculate single factor model (CAPM) alpha | |
| CoMoments | Functions for calculating comoments of financial time series | |
| 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. | |
| ETL | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. | |
| DrawdownPeak | Drawdawn peak of the return distribution | |
| M2Sortino | M squared for Sortino of the return distribution | |
| CDD | Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure | |
| InformationRatio | InformationRatio = ActivePremium/TrackingError | |
| MCA | Functions for doing Moment Component Analysis (MCA) of financial time series | |
| CAPM.jensenAlpha | Jensen's alpha of the return distribution | |
| CAPM.dynamic | Time-varying conditional single factor model beta | |
| CAPM.beta | calculate single factor model (CAPM) beta | |
| PainRatio | Pain ratio of the return distribution | |
| DownsideFrequency | downside frequency of the return distribution | |
| DrawdownDeviation | Calculates a standard deviation-type statistic using individual drawdowns. | |
| CAPM.epsilon | Regression epsilon of the return distribution | |
| MarketTiming | Market timing models | |
| MartinRatio | Martin ratio of the return distribution | |
| SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return distribution | |
| Kappa | Kappa of the return distribution | |
| NetSelectivity | Net selectivity of the return distribution | |
| UlcerIndex | calculate the Ulcer Index | |
| MSquared | M squared of the return distribution | |
| Selectivity | Selectivity of the return distribution | |
| MSquaredExcess | M squared excess of the return distribution | |
| VaR | calculate various Value at Risk (VaR) measures | |
| Modigliani | Modigliani-Modigliani measure | |
| Return.clean | clean returns in a time series to to provide more robust risk estimates | |
| SmoothingIndex | calculate Normalized Getmansky Smoothing Index | |
| chart.Bar | wrapper for barchart of returns | |
| Return.convert | Convert coredata content from one type of return to another | |
| UpsideFrequency | upside frequency of the return distribution | |
| charts.RollingPerformance | rolling performance chart | |
| TreynorRatio | calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta | |
| UpDownRatios | calculate metrics on up and down markets for the benchmark asset | |
| Return.Geltner | calculate Geltner liquidity-adjusted return series | |
| DRatio | d ratio of the return distribution | |
| SortinoRatio | calculate Sortino Ratio of performance over downside risk | |
| checkData | check input data type and format and coerce to the desired output type | |
| chart.SnailTrail | chart risk versus return over rolling time periods | |
| skewness | Skewness | |
| chart.Scatter | wrapper to draw scatter plot with sensible defaults | |
| table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts | |
| chart.BarVaR | Periodic returns in a bar chart with risk metric overlay | |
| table.Correlation | calculate correlalations of multicolumn data | |
| PerformanceAnalytics-package | Econometric tools for performance and risk analysis. | |
| EWMAMoments | Functions for calculating EWMA comoments of financial time series | |
| sortDrawdowns | order list of drawdowns from worst to best | |
| DownsideDeviation | downside risk (deviation, variance) of the return distribution | |
| apply.fromstart | calculate a function over an expanding window always starting from the beginning of the series | |
| Return.annualized | calculate an annualized return for comparing instruments with different length history | |
| zerofill | zerofill | |
| table.Arbitrary | wrapper function for combining arbitrary function list into a table | |
| Return.annualized.excess | calculates an annualized excess return for comparing instruments with different length history | |
| Frequency | Frequency of the return distribution | |
| Return.portfolio | Calculate weighted returns for a portfolio of assets | |
| table.Distributions | Distributions Summary: Statistics and Stylized Facts | |
| FamaBeta | Fama beta of the return distribution | |
| Omega | calculate Omega for a return series | |
| Return.cumulative | calculate a compounded (geometric) cumulative return | |
| table.SpecificRisk | Specific risk Summary: Statistics and Stylized Facts | |
| Return.locScaleRob | Robust Filter for Time Series Returns | |
| KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy | |
| OmegaSharpeRatio | Omega-Sharpe ratio of the return distribution | |
| PainIndex | Pain index 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. | |
| table.CalendarReturns | Monthly and Calendar year Return table | |
| SharpeRatio | calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES | |
| chart.Events | Plots a time series with event dates aligned | |
| Return.excess | Calculates the returns of an asset in excess of the given risk free rate | |
| StdDev.annualized | calculate a multiperiod or annualized Standard Deviation | |
| MeanAbsoluteDeviation | Mean absolute deviation of the return distribution | |
| chart.CaptureRatios | Chart of Capture Ratios against a benchmark | |
| Level.calculate | Calculate appropriate cumulative return series or asset level using xts attribute information | |
| SharpeRatio.annualized | calculate annualized Sharpe Ratio | |
| StdDev | calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio | |
| TotalRisk | Total risk of the return distribution | |
| prices | Selected Price Series Example Data | |
| chart.CumReturns | Cumulates and graphs a set of periodic returns | |
| chart.Correlation | correlation matrix chart | |
| SpecificRisk | Specific risk of the return distribution | |
| apply.rolling | calculate a function over a rolling window | |
| portfolio_bacon | Bacon(2008) Data | |
| chart.RollingQuantileRegression | A wrapper to create charts of relative regression performance through time | |
| chart.VaRSensitivity | show the sensitivity of Value-at-Risk or Expected Shortfall estimates | |
| chart.RollingPerformance | wrapper to create a chart of rolling performance metrics in a line chart | |
| table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts | |
| charts.PerformanceSummary | Create combined wealth index, period performance, and drawdown chart | |
| MinTrackRecord | Minimum Track Record Length | |
| ProbSharpeRatio | Probabilistic Sharpe Ratio | |
| clean.boudt | clean extreme observations in a time series to to provide more robust risk estimates | |
| OmegaExcessReturn | Omega excess return of the return distribution | |
| table.Variability | Variability Summary: Statistics and Stylized Facts | |
| ShrinkageMoments | Functions for calculating shrinkage-based comoments of financial time series | |
| Return.calculate | calculate simple or compound returns from prices | |
| Return.read | Read returns data with different date formats | |
| test_returns | Sample sector returns for use by unit tests | |
| VolatilitySkewness | Volatility and variability of the return distribution | |
| UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over downside risk | |
| chart.QQPlot | Plot a QQ chart | |
| kurtosis | Kurtosis | |
| chart.Histogram | histogram of returns | |
| checkSeedValue | Check 'seedValue' to ensure it is compatible with coredata_content attribute of 'R' (an xts object) | |
| ProspectRatio | Prospect ratio of the return distribution | |
| chart.StackedBar | create a stacked bar plot | |
| RPESE.control | Controls Function for the Computation of Standard Errors for Risk and Performance estimators | |
| chart.Regression | Takes a set of returns and relates them to a market benchmark in a scatterplot | |
| Return.relative | calculate the relative return of one asset to another | |
| StructuredMoments | Functions for calculating structured comoments of financial time series | |
| RachevRatio | Standard Error Estimate for Rachev Ratio of Returns | |
| chart.RollingCorrelation | chart rolling correlation fo multiple assets | |
| SystematicRisk | Systematic risk of the return distribution | |
| chart.ACF | Create ACF chart or ACF with PACF two-panel chart | |
| chart.Drawdown | Time series chart of drawdowns through time | |
| TrackingError | Calculate Tracking Error of returns against a benchmark | |
| UpsideRisk | upside risk, variance and potential of the return distribution | |
| chart.ECDF | Create an ECDF overlaid with a Normal CDF | |
| chart.RelativePerformance | relative performance chart between multiple return series | |
| chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple instruments | |
| table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts | |
| legend | internal functions for setting useful defaults for graphs | |
| table.Autocorrelation | table for calculating the first six autocorrelation coefficients and significance | |
| Drawdowns | Find the drawdowns and drawdown levels in a timeseries. | |
| maxDrawdown | caclulate the maximum drawdown from peak equity | |
| edhec | EDHEC-Risk Hedge Fund Style Indices | |
| table.SFM | Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts | |
| table.CaptureRatios | Calculate and display a table of capture ratio and related statistics | |
| mean.geometric | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL | |
| table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts | |
| table.DrawdownsRatio | Drawdowns Summary: Statistics and ratios | |
| Return.centered | calculate centered Returns | |
| chart.Boxplot | box whiskers plot wrapper | |
| chart.RollingMean | chart the rolling mean return | |
| chart.TimeSeries | Creates a time series chart with some extensions. | |
| table.DownsideRiskRatio | Downside Summary: Statistics and ratios | |
| lpm | calculate a lower partial moment for a time series | |
| table.InformationRatio | Information ratio Summary: Statistics and Stylized Facts | |
| table.Stats | Returns Summary: Statistics and Stylized Facts | |
| managers | Hypothetical Alternative Asset Manager and Benchmark Data | |
| table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts | |
| to.period.contributions | Aggregate contributions through time | |
| table.ProbOutPerformance | Outperformance Report of Asset vs Benchmark | |
| replaceTabs.inner | Display text information in a graphics plot. | |
| test_weights | Sample sector weights for use by unit tests | |
| weights | Selected Portfolio Weights Data | |
| ActiveReturn | Active Premium or Active Return | |
| AppraisalRatio | Appraisal ratio of the return distribution | |
| BurkeRatio | Burke ratio of the return distribution | |
| AdjustedSharpeRatio | Adjusted Sharpe ratio of the return distribution | |
| CAPM.CML.slope | utility functions for single factor (CAPM) CML, SML, and RiskPremium | |
| BernardoLedoitRatio | Bernardo and Ledoit ratio of the return distribution | |
| BetaCoMoments | Functions to calculate systematic or beta co-moments of return series | |
| AverageRecovery | Calculates the average length (in periods) of the observed recovery period. | |
| AverageLength | Calculates the average length (in periods) of the observed drawdowns. | |
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