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... |

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 |

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... |

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 |

ProspectRatio | Prospect ratio of the return distribution |

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.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.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 |

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 |

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 |

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