Econometric tools for performance and risk analysis.


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Documentation for package `PerformanceAnalytics' version 0.9.4

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A B C D E F I K M O P R S T U V

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PerformanceAnalytics-package Econometric tools for performance and risk analysis.

-- A --

ActivePremium Active Premium
apply.fromstart calculate a function over an expanding window always starting from the beginning of the series
apply.rolling calculate a function over a rolling window

-- B --

BetaCoK systematic kurtosis of an asset to the initial portfolio
BetaCoKurtosis systematic kurtosis of an asset to the initial portfolio
BetaCoS systematic skewness of an asset to an initial portfolio
BetaCoSkewness systematic skewness of an asset to an initial portfolio
BetaCoV systematic beta of an asset to an initial portfolio
BetaCoVariance systematic beta of an asset to an initial portfolio

-- C --

CalculateReturns calculate simple or compound returns from prices
CAPM.alpha calculate CAPM alpha
CAPM.beta calculate CAPM beta
CAPM.CML utility functions for CAPM CML, SML, and RiskPremium
CAPM.RiskPremium utility functions for CAPM CML, SML, and RiskPremium
CAPM.SML.slope utility functions for CAPM CML, SML, and RiskPremium
CAPM.utils utility functions for CAPM CML, SML, and RiskPremium
chart.Bar wrapper for barchart of returns
chart.BarVaR Periodic returns in a bar chart with risk metric overlay
chart.Boxplot box whiskers plot wrapper, with sensible defaults
chart.Correlation correlation matrix chart
chart.Correlation.color correlation matrix chart, in color
chart.CumReturns Cumulates and graphs a set of periodic returns
chart.Drawdown Time series chart of drawdowns through time
chart.Histogram histogram of returns
chart.QQPlot wrapper for qq.plot, with sensible defaults
chart.RegressionDiagnostics regression diagnostics charts
chart.RelativePerformance relative performance chart between multiple return series
chart.RiskReturnScatter scatter chart of returns vs risk for comparing multiple instruments
chart.RollingCorrelation chart rolling correlation fo multiple assets
chart.RollingMean chart the rolling mean return
chart.RollingPerformance wrapper to create a chart of rolling performance metrics in a line chart
chart.RollingRegression A wrapper to create charts of relative regression performance through time
chart.Scatter wrapper to draw scatter plot with sensible defaults
chart.TimeSeries Creates a time series chart with some extensions.
charts.PerformanceSummary Create combined wealth index, period performance, and drawdown chart
charts.RollingPerformance rolling performance chart
charts.RollingRegression A wrapper to create charts of relative regression performance through time
checkData check input data type and format and coerce to the desired output type
checkDataMatrix check input data type and format and coerce to the desired output type
checkDataVector check input data type and format and coerce to the desired output type
checkDataZoo check input data type and format and coerce to the desired output type
CoKurtosis calculate the co-moment for kurtosis of two assets
CoSkewness calculate the co-moment for skewness of two assets
cummax.column wrapper to calculate cummax on all columns in a matrix
cumprod.column wrapper to calculate cumprod on all columns in a matrix

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download.RiskFree download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns
download.SP500PriceReturns download S & P Prices and calculate S & P returns
DownsideDeviation function for downside risk of the return distribution
Drawdowns Find the drawdowns and drawdown levels in a timeseries.

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edhec EDHEC-Risk Hedge Fund Style Indices

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findDrawdowns Find the drawdowns and drawdown levels in a timeseries.

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InformationRatio InformationRatio = ActivePremium/TrackingError

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

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maxDrawdown caclulate the maximum drawdown from peak equity
mean.geometric calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.LCL calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.stderr calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.UCL calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.utils calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
modifiedVaR calculate various Value at Risk (VaR) measures
modSharpe calculate a modified Sharpe Ratio of Return/modVaR
moment.fourth calculate the fourth mathematical moment of the return function
moment.third calculate the third mathematical moment of the return function

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Omega calculate Omega for a return series

-- P --

PerformanceAnalytics Econometric tools for performance and risk analysis.

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Return.annualized calculate an annualized return for comparing instruments with different length history
Return.cumulative calculate a compounded (geometric) cumulative return
Return.excess Calculates the returns of an asset in excess of the given risk free rate
rollingCorrelation rolling training period covariance/correlation
rollingFunction wrapper to apply functions over a rolling period
rollingRegression Rolling Regression on Returns
rollingStat wrapper to apply any function over a rolling time window

-- S --

SemiDeviation deviation below the mean of the return distribution
SemiVariance deviation below the mean of the return distribution
SharpeRatio Sharpe Ratio
SharpeRatio.annualized calculate annualized Sharpe Ratio
SharpeRatio.modified calculate a modified Sharpe Ratio of Return/modVaR
sortDrawdowns order list of drawdowns from worst to best
SortinoRatio calculate Sortino Ratio of performance over downside risk
statsTable wrapper function for combining arbitrary function list into a table
std Standard Deviation of Monthly Returns
StdDev Standard Deviation of Monthly Returns
StdDev.annualized calculate an annualized Standard Deviation
SystematicBeta systematic beta of an asset to an initial portfolio
SystematicKurtosis systematic kurtosis of an asset to the initial portfolio
SystematicSkewness systematic skewness of an asset to an initial portfolio
SystematicVariance systematic beta of an asset to an initial portfolio

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table.AnnualizedReturns Annualized Returns Summary: Statistics and Stylized Facts
table.CAPM Asset-Pricing Model Summary: Statistics and Stylized Facts
table.Correlation calculate correlalations of multicolumn data
table.DownsideRisk Downside Risk Summary: Statistics and Stylized Facts
table.Drawdowns Worst Drawdowns Summary: Statistics and Stylized Facts
table.HigherMoments Higher Moments Summary: Statistics and Stylized Facts
table.MonthlyReturns Monthly Returns Summary: Statistics and Stylized Facts
table.Returns Monthly and Calendar year Return table
table.RollingPeriods Rolling Periods Summary: Statistics and Stylized Facts
TrackingError Calculate Tracking Error of returns against a benchmark
TreynorRatio calculate Treynor Ratio of excess return over CAPM beta

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UpDownRatios calculate metrics on up and down markets for the benchmark asset

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VaR calculate various Value at Risk (VaR) measures
VaR.Beyond calculate BVaR or loss Beyond traditional mean-VaR
VaR.CornishFisher calculate various Value at Risk (VaR) measures
VaR.Marginal Calculate the Marginal VaR of each element of a portfolio
VaR.mean calculate various Value at Risk (VaR) measures
VaR.traditional calculate various Value at Risk (VaR) measures