Man pages for PerformanceAnalytics
Econometric Tools for Performance and Risk Analysis
| ActivePremium | Active Premium or Active Return |
| AdjustedSharpeRatio | Adjusted Sharpe ratio of the return distribution |
| apply.fromstart | calculate a function over an expanding window always starting... |
| apply.rolling | calculate a function over a rolling window |
| AppraisalRatio | Appraisal ratio of the return distribution |
| AverageDrawdown | Calculates the average depth of the observed drawdowns. |
| AverageLength | Calculates the average length (in periods) of the observed... |
| AverageRecovery | Calculates the average length (in periods) of the observed... |
| BernardoLedoitRatio | Bernardo and Ledoit ratio of the return distribution |
| BetaCoMoments | Functions to calculate systematic or beta co-moments of... |
| BurkeRatio | Burke ratio of the return distribution |
| CalmarRatio | calculate a Calmar or Sterling reward/risk ratio Calmar and... |
| CAPM.alpha | calculate single factor model (CAPM) alpha |
| CAPM.beta | calculate single factor model (CAPM) beta |
| CAPM.dynamic | Time-varying conditional single factor model beta |
| CAPM.epsilon | Regression epsilon of the return distribution |
| CAPM.jensenAlpha | Jensen's alpha of the return distribution |
| CAPM.RiskPremium | utility functions for single factor (CAPM) CML, SML, and... |
| CDD | Calculate Uryasev's proposed Conditional Drawdown at Risk... |
| centeredmoments | calculate centered Returns |
| chart.ACF | 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.CaptureRatios | Chart of Capture Ratios against a benchmark |
| chart.Correlation | correlation matrix chart |
| 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.Events | Plots a time series with event dates aligned |
| 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... |
| chart.RelativePerformance | relative performance chart between multiple return series |
| chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple... |
| 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... |
| chart.RollingRegression | A wrapper to create charts of relative regression performance... |
| chart.Scatter | wrapper to draw scatter plot with sensible defaults |
| chart.SnailTrail | chart risk versus return over rolling time periods |
| charts.PerformanceSummary | Create combined wealth index, period performance, and... |
| charts.RollingPerformance | rolling performance chart |
| chart.StackedBar | create a stacked bar plot |
| chart.TimeSeries | Creates a time series chart with some extensions. |
| chart.VaRSensitivity | show the sensitivity of Value-at-Risk or Expected Shortfall... |
| checkData | check input data type and format and coerce to the desired... |
| checkSeedValue | Check 'seedValue' to ensure it is compatible with... |
| clean.boudt | clean extreme observations in a time series to to provide... |
| CoMoments | Functions for calculating comoments of financial time series |
| DownsideDeviation | downside risk (deviation, variance) of the return... |
| DownsideFrequency | downside frequency of the return distribution |
| DRatio | d ratio of the return distribution |
| DrawdownDeviation | Calculates a standard deviation-type statistic using... |
| DrawdownPeak | Drawdawn peak of the return distribution |
| edhec | EDHEC-Risk Hedge Fund Style Indices |
| ES | calculates Expected Shortfall(ES) (or Conditional... |
| EWMAMoments | Functions for calculating EWMA comoments of financial time... |
| FamaBeta | Fama beta of the return distribution |
| findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |
| Frequency | Frequency of the return distribution |
| HurstIndex | calculate the Hurst Index The Hurst index can be used to... |
| InformationRatio | InformationRatio = ActivePremium/TrackingError |
| Kappa | Kappa of the return distribution |
| KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a... |
| kurtosis | Kurtosis |
| legend | internal functions for setting useful defaults for graphs |
| Level.calculate | Calculate appropriate cumulative return series or asset level... |
| lpm | calculate a lower partial moment for a time series |
| M2Sortino | M squared for Sortino of the return distribution |
| managers | Hypothetical Alternative Asset Manager and Benchmark Data |
| MarketTiming | Market timing models |
| MartinRatio | Martin ratio of the return distribution |
| maxDrawdown | caclulate the maximum drawdown from peak equity |
| MCA | Functions for doing Moment Component Analysis (MCA) of... |
| MeanAbsoluteDeviation | Mean absolute deviation of the return distribution |
| mean.geometric | calculate attributes relative to the mean of the observation... |
| MinTrackRecord | Minimum Track Record Length |
| Modigliani | Modigliani-Modigliani measure |
| MSquared | M squared of the return distribution |
| MSquaredExcess | M squared excess of the return distribution |
| NetSelectivity | Net selectivity of the return distribution |
| Omega | calculate Omega for a return series |
| OmegaExcessReturn | Omega excess return of the return distribution |
| OmegaSharpeRatio | Omega-Sharpe ratio of the return distribution |
| PainIndex | Pain index of the return distribution |
| PainRatio | Pain ratio of the return distribution |
| PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |
| portfolio_bacon | Bacon(2008) Data |
| prices | Selected Price Series Example Data |
| ProbSharpeRatio | Probabilistic Sharpe Ratio |
| ProspectRatio | Prospect ratio of the return distribution |
| RachevRatio | Standard Error Estimate for Rachev Ratio of Returns |
| Return.annualized | calculate an annualized return for comparing instruments with... |
| Return.annualized.excess | calculates an annualized excess return for comparing... |
| Return.calculate | calculate simple or compound returns from prices |
| Return.clean | clean returns in a time series to to provide more robust risk... |
| Return.convert | Convert coredata content from one type of return to another |
| Return.cumulative | calculate a compounded (geometric) cumulative return |
| Return.excess | Calculates the returns of an asset in excess of the given... |
| Return.Geltner | calculate Geltner liquidity-adjusted return series |
| Return.locScaleRob | Robust Filter for Time Series Returns |
| Return.portfolio | Calculate weighted returns for a portfolio of assets |
| Return.read | Read returns data with different date formats |
| Return.relative | calculate the relative return of one asset to another |
| RPESE.control | Controls Function for the Computation of Standard Errors for... |
| Selectivity | Selectivity of the return distribution |
| SharpeRatio | calculate a traditional or modified Sharpe Ratio of Return... |
| SharpeRatio.annualized | calculate annualized Sharpe Ratio |
| ShrinkageMoments | Functions for calculating shrinkage-based comoments of... |
| skewness | Skewness |
| SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return 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 |
| SpecificRisk | Specific risk of the return distribution |
| StdDev | calculates Standard Deviation for univariate and multivariate... |
| StdDev.annualized | calculate a multiperiod or annualized Standard Deviation |
| StructuredMoments | Functions for calculating structured comoments of financial... |
| SystematicRisk | Systematic risk of the return distribution |
| table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts |
| table.Arbitrary | wrapper function for combining arbitrary function list into a... |
| table.Autocorrelation | table for calculating the first six autocorrelation... |
| table.CalendarReturns | Monthly and Calendar year Return table |
| table.CAPM | Single Factor Asset-Pricing Model Summary: Statistics and... |
| table.CaptureRatios | Calculate and display a table of capture ratio and related... |
| table.Correlation | calculate correlalations of multicolumn data |
| table.Distributions | Distributions Summary: Statistics and Stylized Facts |
| table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts |
| table.DownsideRiskRatio | Downside Summary: Statistics and ratios |
| table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts |
| table.DrawdownsRatio | Drawdowns Summary: Statistics and ratios |
| table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts |
| table.InformationRatio | Information ratio Summary: Statistics and Stylized Facts |
| table.MonthlyReturns | Returns Summary: Statistics and Stylized Facts |
| table.ProbOutPerformance | Outperformance Report of Asset vs Benchmark |
| table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |
| table.SpecificRisk | Specific risk Summary: Statistics and Stylized Facts |
| table.Variability | Variability Summary: Statistics and Stylized Facts |
| test_returns | Sample sector returns for use by unit tests |
| test_weights | Sample sector weights for use by unit tests |
| textplot | Display text information in a graphics plot. |
| to.period.contributions | Aggregate contributions through time |
| TotalRisk | Total risk of the return distribution |
| TrackingError | Calculate Tracking Error of returns against a benchmark |
| TreynorRatio | calculate Treynor Ratio or modified Treynor Ratio of excess... |
| UlcerIndex | calculate the Ulcer Index |
| UpDownRatios | calculate metrics on up and down markets for the benchmark... |
| UpsideFrequency | upside frequency of the return distribution |
| UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over... |
| UpsideRisk | upside risk, variance and potential of the return... |
| VaR | calculate various Value at Risk (VaR) measures |
| VolatilitySkewness | Volatility and variability of the return distribution |
| weights | Selected Portfolio Weights Data |
| zerofill | zerofill |
