Econometric tools for performance and risk analysis.


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Documentation for package ‘PerformanceAnalytics’ version 0.9.7.1

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

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PerformanceAnalytics-package Econometric tools for performance and risk analysis.

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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

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BetaCoKurtosis Functions to calculate systematic or beta co-moments of return series
BetaCoMoments Functions to calculate systematic or beta co-moments of return series
BetaCoSkewness Functions to calculate systematic or beta co-moments of return series
BetaCoVariance Functions to calculate systematic or beta co-moments of return series

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CalculateReturns calculate simple or compound returns from prices
CalmarRatio calculate a Calmar or Sterling reward/risk ratio
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
centeredcomoment calculate centered moments of a joint distribution
centeredmoment calculate centered moments of a joint distribution
chart.ACF Create ACF chart or ACF with PACF two-panel chart
chart.ACFplus Create ACF chart or ACF with PACF two-panel chart
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
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.ECDF Create an ECDF overlaid with a Normal CDF
chart.Histogram histogram of returns
chart.QQPlot Plot a QQ chart
chart.Regression Takes a set of returns and relates them to a market benchmark in a scatterplot
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.RollingStyle calculate and display effective style weights
chart.Scatter wrapper to draw scatter plot with sensible defaults
chart.SnailTrail chart risk versus return over rolling time periods
chart.StackedBar create a stacked bar plot
chart.Style calculate and display effective style weights
chart.TimeSeries Creates a time series chart with some extensions.
chart.VaRSensitivity show the sensitivity of Value-at-Risk estimates
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
clean.boudt clean extreme observations in a time series to to provide more robust risk estimates
CoKurtosis Functions for calculating comoments of financial time series
CoKurtosisMatrix functions to compute multivariate moments of a joint distribution
CoMoments Functions for calculating comoments of financial time series
CoSkewness Functions for calculating comoments of financial time series
CoSkewnessMatrix functions to compute multivariate moments of a joint distribution
CoVariance Functions for calculating comoments of financial time series
cummax.column wrapper to calculate cumprod 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 downside risk (deviation, variance) 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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GES.MM calculate common VaR and ES risk measures on a portfolio distribution
GVaR.MM calculate common VaR and ES risk measures on a portfolio distribution

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InformationRatio InformationRatio = ActivePremium/TrackingError
Ipower calculate centered moments of a joint distribution

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KellyRatio calculate Kelly criterion ratio (leverage or bet size) for a strategy
kurtosis Kurtosis
kurtosis.MM functions to compute multivariate moments of a joint distribution

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M3.MM functions to compute multivariate moments of a joint distribution
M4.MM functions to compute multivariate moments of a joint distribution
managers Hypothetical Alternative Asset Manager and Benchmark Data
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
mES.MM calculate common VaR and ES risk measures on a portfolio distribution
modifiedVaR calculate various Value at Risk (VaR) measures
modSharpe calculate a modified Sharpe Ratio of Return/modVaR
MultivariateMoments functions to compute multivariate moments of a joint distribution
MultivariateRisk calculate common VaR and ES risk measures on a portfolio distribution
multivariate_mean functions to compute multivariate moments of a joint distribution
mVaR.MM calculate common VaR and ES risk measures on a portfolio distribution

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Omega calculate Omega for a return series

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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.calculate calculate simple or compound returns from prices
Return.centered calculate centered moments of a joint distribution
Return.clean clean returns in a time series to to provide more robust risk estimates
Return.cumulative calculate a compounded (geometric) cumulative return
Return.excess Calculates the returns of an asset in excess of the given risk free rate
Return.Geltner calculate Geltner liquidity-adjusted return series
Return.read Read returns data with different date formats
rollingRegression Rolling Regression on Returns
rollingStat wrapper to apply any function over a rolling time window

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sd.annualized calculate a multiperiod or annualized Standard Deviation
sd.multiperiod calculate a multiperiod or annualized Standard Deviation
SemiDeviation downside risk (deviation, variance) of the return distribution
SemiVariance downside risk (deviation, variance) of the return distribution
SharpeRatio Sharpe Ratio
SharpeRatio.annualized calculate annualized Sharpe Ratio
SharpeRatio.modified calculate a modified Sharpe Ratio of Return/modVaR
skewness Skewness
skewness.MM functions to compute multivariate moments of a joint distribution
SmoothingIndex calculate Normalized Getmansky Smoothing Index
sortDrawdowns order list of drawdowns from worst to best
SortinoRatio calculate Sortino Ratio of performance over downside risk
SR.GES.MM calculate common VaR and ES risk measures on a portfolio distribution
SR.GVaR.MM calculate common VaR and ES risk measures on a portfolio distribution
SR.mES.MM calculate common VaR and ES risk measures on a portfolio distribution
SR.mVaR.MM calculate common VaR and ES risk measures on a portfolio distribution
SR.StdDev.MM calculate common VaR and ES risk measures on a portfolio distribution
statsTable wrapper function for combining arbitrary function list into a table
std calculate a multiperiod or annualized Standard Deviation
StdDev calculate a multiperiod or annualized Standard Deviation
StdDev.MM functions to compute multivariate moments of a joint distribution
SterlingRatio calculate a Calmar or Sterling reward/risk ratio
style.fit calculate and display effective style weights
style.QPfit calculate and display effective style weights
SystematicKurtosis Functions to calculate systematic or beta co-moments of return series
SystematicSkewness Functions to calculate systematic or beta co-moments of return series

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table.AnnualizedReturns Annualized Returns Summary: Statistics and Stylized Facts
table.Arbitrary wrapper function for combining arbitrary function list into a table
table.Autocorrelation table for calculating the first six autocorrelation coefficients and significance
table.CalendarReturns Monthly and Calendar year Return table
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
timing.ratio calculate CAPM beta
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
UPR calculate Upside Potential Ratio of upside performance over downside risk
UpsidePotentialRatio calculate Upside Potential Ratio of upside performance over downside risk

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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

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weights Selected Portfolio Weights Data