Man pages for ecjbosu/PerformanceAnalyticsEconometric 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 of the observed drawdowns. 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 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... 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 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 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 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.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. 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 VaR.Marginal VaR.Marginal VolatilitySkewness Volatility and variability of the return distribution weights Selected Portfolio Weights Data zerofill zerofill
ecjbosu/PerformanceAnalytics documentation built on May 15, 2019, 7:51 p.m.