API for PerformanceAnalytics
Econometric Tools for Performance and Risk Analysis
| Global functions | |
|---|---|
| .kurtEst | Source code |
| .skewEst | Source code |
| ActivePremium | Man page |
| ActiveReturn | Man page |
| AdjustedSharpeRatio | Man page |
| AppraisalRatio | Man page |
| AverageDrawdown | Man page |
| AverageLength | Man page |
| AverageRecovery | Man page |
| BernardoLedoitRatio | Man page |
| BetaCoKurtosis | Man page Source code |
| BetaCoMoments | Man page |
| BetaCoSkewness | Man page Source code |
| BetaCoVariance | Man page Source code |
| BurkeRatio | Man page |
| CAPM.CML | Man page |
| CAPM.CML.slope | Man page |
| CAPM.RiskPremium | Man page |
| CAPM.SML.slope | Man page |
| CAPM.alpha | Man page |
| CAPM.beta | Man page |
| CAPM.beta.bear | Man page |
| CAPM.beta.bull | Man page |
| CAPM.dynamic | Man page |
| CAPM.epsilon | Man page |
| CAPM.jensenAlpha | Man page |
| CAPM.utils | Man page |
| CDD | Man page |
| CDaR | Man page |
| CVaR | Man page |
| CalculateReturns | Man page Source code |
| CalmarRatio | Man page |
| CoKurtosis | Man page Source code |
| CoKurtosisMatrix | Man page |
| CoMoments | Man page |
| CoSkewness | Man page Source code |
| CoSkewnessMatrix | Man page |
| CoVariance | Man page Source code |
| DRatio | Man page |
| DownsideDeviation | Man page |
| DownsideFrequency | Man page |
| DownsidePotential | Man page |
| DrawdownDeviation | Man page |
| DrawdownPeak | Man page |
| Drawdowns | Man page |
| ES | Man page |
| ES.CornishFisher | Source code |
| ES.CornishFisher.portfolio | Source code |
| ES.Gaussian | Source code |
| ES.Gaussian.portfolio | Source code |
| ES.historical | Source code |
| ES.historical.portfolio | Source code |
| ES.kernel.portfolio | Source code |
| ETL | Man page |
| EWMAMoments | Man page |
| FamaBeta | Man page |
| Frequency | Man page |
| GES.MM | Source code |
| GVaR.MM | Source code |
| HurstIndex | Man page |
| InformationRatio | Man page |
| Ipower | Source code |
| Kappa | Man page |
| KellyRatio | Man page |
| Level.calculate | Man page Source code |
| M2.ewma | Man page Source code |
| M2.shrink | Man page Source code |
| M2.struct | Man page Source code |
| M2Sortino | Man page |
| M3.MCA | Man page Source code |
| M3.MM | Man page Source code |
| M3.MM.old | Source code |
| M3.ewma | Man page Source code |
| M3.innprod | Source code |
| M3.mat2vec | Source code |
| M3.shrink | Man page Source code |
| M3.struct | Man page Source code |
| M3.vec2mat | Source code |
| M4.MCA | Man page Source code |
| M4.MM | Man page Source code |
| M4.MM.old | Source code |
| M4.ewma | Man page Source code |
| M4.innprod | Source code |
| M4.mat2vec | Source code |
| M4.shrink | Man page Source code |
| M4.struct | Man page Source code |
| M4.vec2mat | Source code |
| MCA | Man page |
| MSquared | Man page |
| MSquaredExcess | Man page |
| MarketTiming | Man page |
| MartinRatio | Man page |
| Mean.arithmetic | Man page |
| MeanAbsoluteDeviation | Man page |
| MinTrackRecord | Man page Source code |
| Modigliani | Man page |
| NetSelectivity | Man page |
| Omega | Man page Source code |
| OmegaExcessReturn | Man page |
| OmegaExessReturn | Man page |
| OmegaSharpeRatio | Man page |
| PainIndex | Man page |
| PainRatio | Man page |
| PerformanceAnalytics | Man page |
| PerformanceAnalytics-package | Man page |
| PerformanceAnalytics.internal | Man page |
| Portmean | Source code |
| Portsd | Source code |
| ProbSharpeRatio | Man page Source code |
| ProspectRatio | Man page |
| RPESE.control | Man page Source code |
| RachevRatio | Man page Source code |
| Return.Geltner | Man page |
| Return.annualized | Man page |
| Return.annualized.excess | Man page |
| Return.calculate | Man page Source code |
| Return.centered | Man page |
| Return.clean | Man page Source code |
| Return.convert | Man page Source code |
| Return.cumulative | Man page |
| Return.excess | Man page |
| Return.locScaleRob | Man page Source code |
| Return.portfolio | Man page |
| Return.portfolio.arithmetic | Source code |
| Return.portfolio.geometric | Source code |
| Return.read | Man page |
| Return.rebalancing | Man page Source code |
| Return.relative | Man page |
| SFM.CML | Man page |
| SFM.CML.slope | Man page |
| SFM.RiskPremium | Man page |
| SFM.SML.slope | Man page |
| SFM.alpha | Man page |
| SFM.beta | Man page |
| SFM.dynamic | Man page |
| SFM.epsilon | Man page |
| SFM.jensenAlpha | Man page |
| SFM.utils | Man page |
| SR.GES.MM | Source code |
| SR.GVaR.MM | Source code |
| SR.StdDev.MM | Source code |
| SR.mES.MM | Source code |
| SR.mVaR.MM | Source code |
| Selectivity | Man page |
| SemiDeviation | Man page |
| SemiSD | Man page |
| SemiVariance | Man page |
| SharpeRatio | Man page |
| SharpeRatio.annualized | Man page |
| SharpeRatio.modified | Man page |
| ShrinkageMoments | Man page |
| Skewness-KurtosisRatio | Man page |
| SkewnessKurtosisRatio | Man page |
| SmoothingIndex | Man page |
| SortinoRatio | Man page |
| SpecificRisk | Man page |
| StdDev | Man page |
| StdDev.MM | Source code |
| StdDev.annualized | Man page |
| SterlingRatio | Man page |
| StructuredMoments | Man page |
| SystematicKurtosis | Man page |
| SystematicRisk | Man page |
| SystematicSkewness | Man page |
| TimingRatio | Man page |
| TotalRisk | Man page |
| TrackingError | Man page |
| TreynorRatio | Man page |
| UPR | Man page |
| UlcerIndex | Man page |
| UpDownRatios | Man page Source code |
| UpsideFrequency | Man page |
| UpsidePotentialRatio | Man page |
| UpsideRisk | Man page |
| VaR | Man page |
| VaR.CornishFisher | Man page Source code |
| VaR.CornishFisher.portfolio | Source code |
| VaR.Gaussian | Source code |
| VaR.Gaussian.portfolio | Source code |
| VaR.Marginal | Source code |
| VaR.historical | Source code |
| VaR.historical.portfolio | Source code |
| VaR.kernel.portfolio | Source code |
| VolatilitySkewness | Man page |
| allsymbols | Man page |
| apply.fromstart | Man page |
| apply.rolling | Man page |
| bluefocus | Man page |
| bluemono | Man page |
| bond.dates | Man page |
| bond.labels | Man page |
| calculateImpliedDate | Source code |
| centeredcomoment | Man page Source code |
| centeredmoment | Man page Source code |
| chart.ACF | Man page Source code |
| chart.ACFplus | Man page Source code |
| chart.Bar | Man page |
| chart.BarVaR | Man page |
| chart.Boxplot | Man page |
| chart.CaptureRatios | Man page |
| chart.Correlation | Man page |
| chart.CumReturns | Man page |
| chart.Drawdown | Man page |
| chart.ECDF | Man page Source code |
| chart.Events | Man page |
| chart.Histogram | Man page Source code |
| chart.QQPlot | Man page |
| chart.Regression | Man page |
| chart.RelativePerformance | Man page |
| chart.RiskReturnScatter | Man page |
| chart.RollingCorrelation | Man page |
| chart.RollingMean | Man page |
| chart.RollingPerformance | Man page |
| chart.RollingQuantileRegression | Man page |
| chart.RollingRegression | Man page |
| chart.Scatter | Man page |
| chart.SnailTrail | Man page |
| chart.StackedBar | Man page |
| chart.TimeSeries | Man page |
| chart.TimeSeries.base | Man page Source code |
| chart.TimeSeries.builtin | Man page Source code |
| chart.TimeSeries.dygraph | Man page Source code |
| chart.TimeSeries.ggplot2 | Man page Source code |
| chart.TimeSeries.googlevis | Man page Source code |
| chart.TimeSeries.plotly | Man page Source code |
| chart.VaRSensitivity | Man page |
| charts.Bar | Man page |
| charts.BarVaR | Man page |
| charts.PerformanceSummary | Man page |
| charts.RollingPerformance | Man page |
| charts.RollingRegression | Man page |
| charts.TimeSeries | Man page |
| checkData | Man page |
| checkSeedValue | Man page Source code |
| clean.boudt | Man page Source code |
| closedsymbols | Man page |
| cycles.dates | Man page |
| dark6equal | Man page |
| dark8equal | Man page |
| derIpower | Source code |
| derportm2 | Source code |
| derportm3 | Source code |
| derportm4 | Source code |
| edhec | Man page |
| equity.dates | Man page |
| equity.labels | Man page |
| fillsymbols | Man page |
| findDrawdowns | Man page |
| greenfocus | Man page |
| greenmono | Man page |
| grey6mono | Man page |
| grey8mono | Man page |
| isLeap | Source code |
| kernel | Source code |
| kurtosis | Man page |
| kurtosis.MM | Source code |
| legend | Man page |
| linesymbols | Man page |
| lpm | Man page Source code |
| mES.MM | Source code |
| mVaR.MM | Source code |
| macro.dates | Man page |
| macro.labels | Man page |
| managers | Man page |
| maxDrawdown | Man page |
| mean.LCL | Man page |
| mean.UCL | Man page |
| mean.geometric | Man page |
| mean.stderr | Man page |
| mean.utils | Man page |
| multivariate_mean | Source code |
| opensymbols | Man page |
| operES.CornishFisher | Source code |
| operES.CornishFisher.portfolio | Source code |
| portfolio_bacon | Man page |
| portm2 | Source code |
| portm3 | Source code |
| portm4 | Source code |
| prices | Man page |
| pvalJB | Source code |
| rainbow10equal | Man page |
| rainbow12equal | Man page |
| rainbow6equal | Man page |
| rainbow8equal | Man page |
| redfocus | Man page |
| redmono | Man page |
| replaceTabs | Man page Source code |
| replaceTabs.inner | Man page Source code |
| rich10equal | Man page |
| rich12equal | Man page |
| rich6equal | Man page |
| rich8equal | Man page |
| risk.dates | Man page |
| risk.labels | Man page |
| sd.annualized | Man page |
| sd.multiperiod | Man page |
| set6equal | Man page |
| set8equal | Man page |
| skewness | Man page |
| skewness.MM | Source code |
| sortDrawdowns | Man page |
| statsTable | Man page Source code |
| table.AnnualizedReturns | Man page |
| table.Arbitrary | Man page |
| table.Autocorrelation | Man page |
| table.CAPM | Man page |
| table.CalendarReturns | Man page |
| table.CaptureRatios | Man page |
| table.Correlation | Man page |
| table.Distributions | Man page |
| table.DownsideRisk | Man page |
| table.DownsideRiskRatio | Man page |
| table.Drawdowns | Man page |
| table.DrawdownsRatio | Man page |
| table.HigherMoments | Man page |
| table.InformationRatio | Man page |
| table.MonthlyReturns | Man page |
| table.ProbOutPerformance | Man page Source code |
| table.Returns | Man page |
| table.RollingPeriods | Man page |
| table.SFM | Man page |
| table.SpecificRisk | Man page |
| table.Stats | Man page |
| table.TrailingPeriods | Man page |
| table.TrailingPeriodsRel | Man page |
| table.UpDownRatios | Man page |
| table.Variability | Man page |
| test_returns | Man page |
| test_weights | Man page |
| textplot | Man page Source code |
| textplot.character | Man page |
| textplot.data.frame | Man page Source code |
| textplot.default | Man page Source code |
| textplot.matrix | Man page Source code |
| tim10equal | Man page |
| tim12equal | Man page |
| tim6equal | Man page |
| tim8equal | Man page |
| to.monthly.contributions | Man page Source code |
| to.period.contributions | Man page Source code |
| to.quarterly.contributions | Man page Source code |
| to.weekly.contributions | Man page Source code |
| to.yearly.contributions | Man page Source code |
| tol10qualitative | Man page |
| tol11qualitative | Man page |
| tol12qualitative | Man page |
| tol14rainbow | Man page |
| tol15rainbow | Man page |
| tol18rainbow | Man page |
| tol1qualitative | Man page |
| tol21rainbow | Man page |
| tol2qualitative | Man page |
| tol3qualitative | Man page |
| tol4qualitative | Man page |
| tol5qualitative | Man page |
| tol6qualitative | Man page |
| tol7qualitative | Man page |
| tol8qualitative | Man page |
| tol9qualitative | Man page |
| weights | Man page |
| zerofill | Man page |
