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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