# 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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