A B C D E F I K M O P R S T U V
PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |
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 |
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 |
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 |
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.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 cumprod on all columns in a matrix |
cumprod.column | wrapper to calculate cumprod on all columns in a matrix |
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. |
edhec | EDHEC-Risk Hedge Fund Style Indices |
findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |
InformationRatio | InformationRatio = ActivePremium/TrackingError |
KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy |
managers | Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks |
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 |
Omega | calculate Omega for a return series |
PerformanceAnalytics | Econometric tools for performance and risk analysis. |
Return.annualized | calculate an annualized return for comparing instruments with different length history |
Return.calculate | calculate simple or compound returns from prices |
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 |
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 |
SmoothingIndex | calculate Normalized Getmansky Smoothing Index |
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 | calculate a multiperiod or annualized Standard Deviation |
StdDev | calculate a multiperiod or annualized Standard Deviation |
SterlingRatio | calculate a Calmar or Sterling reward/risk ratio |
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 |
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 |
TrackingError | Calculate Tracking Error of returns against a benchmark |
TreynorRatio | calculate Treynor Ratio of excess return over CAPM beta |
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 |
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 |