Man pages for PerformanceAnalytics
Econometric Tools for Performance and Risk Analysis

ActivePremiumActive Premium or Active Return
AdjustedSharpeRatioAdjusted Sharpe ratio of the return distribution
apply.fromstartcalculate a function over an expanding window always starting...
apply.rollingcalculate a function over a rolling window
AppraisalRatioAppraisal ratio of the return distribution
AverageDrawdownCalculates the average depth of the observed drawdowns.
AverageLengthCalculates the average length (in periods) of the observed...
AverageRecoveryCalculates the average length (in periods) of the observed...
BernardoLedoitRatioBernardo and Ledoit ratio of the return distribution
BetaCoMomentsFunctions to calculate systematic or beta co-moments of...
BurkeRatioBurke ratio of the return distribution
CalmarRatiocalculate a Calmar or Sterling reward/risk ratio Calmar and...
CAPM.alphacalculate single factor model (CAPM) alpha
CAPM.betacalculate single factor model (CAPM) beta
CAPM.dynamicTime-varying conditional single factor model beta
CAPM.epsilonRegression epsilon of the return distribution
CAPM.jensenAlphaJensen's alpha of the return distribution
CAPM.RiskPremiumutility functions for single factor (CAPM) CML, SML, and...
CDDCalculate Uryasev's proposed Conditional Drawdown at Risk...
centeredmomentscalculate centered Returns
chart.ACFCreate ACF chart or ACF with PACF two-panel chart
chart.Barwrapper for barchart of returns
chart.BarVaRPeriodic returns in a bar chart with risk metric overlay
chart.Boxplotbox whiskers plot wrapper
chart.CaptureRatiosChart of Capture Ratios against a benchmark
chart.Correlationcorrelation matrix chart
chart.CumReturnsCumulates and graphs a set of periodic returns
chart.DrawdownTime series chart of drawdowns through time
chart.ECDFCreate an ECDF overlaid with a Normal CDF
chart.EventsPlots a time series with event dates aligned
chart.Histogramhistogram of returns
chart.QQPlotPlot a QQ chart
chart.RegressionTakes a set of returns and relates them to a market benchmark...
chart.RelativePerformancerelative performance chart between multiple return series
chart.RiskReturnScatterscatter chart of returns vs risk for comparing multiple...
chart.RollingCorrelationchart rolling correlation fo multiple assets
chart.RollingMeanchart the rolling mean return
chart.RollingPerformancewrapper to create a chart of rolling performance metrics in a...
chart.RollingRegressionA wrapper to create charts of relative regression performance...
chart.Scatterwrapper to draw scatter plot with sensible defaults
chart.SnailTrailchart risk versus return over rolling time periods
charts.PerformanceSummaryCreate combined wealth index, period performance, and...
charts.RollingPerformancerolling performance chart
chart.StackedBarcreate a stacked bar plot
chart.TimeSeriesCreates a time series chart with some extensions.
chart.VaRSensitivityshow the sensitivity of Value-at-Risk or Expected Shortfall...
checkDatacheck input data type and format and coerce to the desired...
clean.boudtclean extreme observations in a time series to to provide...
CoMomentsFunctions for calculating comoments of financial time series
DownsideDeviationdownside risk (deviation, variance) of the return...
DownsideFrequencydownside frequency of the return distribution
DRatiod ratio of the return distribution
DrawdownDeviationCalculates a standard deviation-type statistic using...
DrawdownPeakDrawdawn peak of the return distribution
edhecEDHEC-Risk Hedge Fund Style Indices
EScalculates Expected Shortfall(ES) (or Conditional...
FamaBetaFama beta of the return distribution
findDrawdownsFind the drawdowns and drawdown levels in a timeseries.
FrequencyFrequency of the return distribution
HurstIndexcalculate the Hurst Index The Hurst index can be used to...
InformationRatioInformationRatio = ActivePremium/TrackingError
KappaKappa of the return distribution
KellyRatiocalculate Kelly criterion ratio (leverage or bet size) for a...
legendinternal functions for setting useful defaults for graphs
lpmcalculate a lower partial moment for a time series
M2SortinoM squared for Sortino of the return distribution
managersHypothetical Alternative Asset Manager and Benchmark Data
MarketTimingMarket timing models
MartinRatioMartin ratio of the return distribution
maxDrawdowncaclulate the maximum drawdown from peak equity
MeanAbsoluteDeviationMean absolute deviation of the return distribution
mean.geometriccalculate attributes relative to the mean of the observation...
ModiglianiModigliani-Modigliani measure
MSquaredM squared of the return distribution
MSquaredExcessM squared excess of the return distribution
NetSelectivityNet selectivity of the return distribution
Omegacalculate Omega for a return series
OmegaExcessReturnOmega excess return of the return distribution
OmegaSharpeRatioOmega-Sharpe ratio of the return distribution
PainIndexPain index of the return distribution
PainRatioPain ratio of the return distribution
PerformanceAnalytics-packageEconometric tools for performance and risk analysis.
portfolio_baconBacon(2008) Data
pricesSelected Price Series Example Data
ProspectRatioProspect ratio of the return distribution
Return.annualizedcalculate an annualized return for comparing instruments with...
Return.annualized.excesscalculates an annualized excess return for comparing...
Return.calculatecalculate simple or compound returns from prices
Return.cleanclean returns in a time series to to provide more robust risk...
Return.cumulativecalculate a compounded (geometric) cumulative return
Return.excessCalculates the returns of an asset in excess of the given...
Return.Geltnercalculate Geltner liquidity-adjusted return series
Return.portfolioCalculate weighted returns for a portfolio of assets
Return.readRead returns data with different date formats
Return.relativecalculate the relative return of one asset to another
SelectivitySelectivity of the return distribution
SharpeRatiocalculate a traditional or modified Sharpe Ratio of Return...
SharpeRatio.annualizedcalculate annualized Sharpe Ratio
SkewnessKurtosisRatioSkewness-Kurtosis ratio of the return distribution
SmoothingIndexcalculate Normalized Getmansky Smoothing Index
sortDrawdownsorder list of drawdowns from worst to best
SortinoRatiocalculate Sortino Ratio of performance over downside risk
SpecificRiskSpecific risk of the return distribution
StdDevcalculates Standard Deviation for univariate and multivariate...
StdDev.annualizedcalculate a multiperiod or annualized Standard Deviation
SystematicRiskSystematic risk of the return distribution
table.AnnualizedReturnsAnnualized Returns Summary: Statistics and Stylized Facts
table.Arbitrarywrapper function for combining arbitrary function list into a...
table.Autocorrelationtable for calculating the first six autocorrelation...
table.CalendarReturnsMonthly and Calendar year Return table
table.CAPMSingle Factor Asset-Pricing Model Summary: Statistics and...
table.CaptureRatiosCalculate and display a table of capture ratio and related...
table.Correlationcalculate correlalations of multicolumn data
table.DistributionsDistributions Summary: Statistics and Stylized Facts
table.DownsideRiskDownside Risk Summary: Statistics and Stylized Facts
table.DownsideRiskRatioDownside Summary: Statistics and ratios
table.DrawdownsWorst Drawdowns Summary: Statistics and Stylized Facts
table.DrawdownsRatioDrawdowns Summary: Statistics and ratios
table.HigherMomentsHigher Moments Summary: Statistics and Stylized Facts
table.InformationRatioInformation ratio Summary: Statistics and Stylized Facts
table.MonthlyReturnsReturns Summary: Statistics and Stylized Facts
table.ProbOutPerformanceOutperformance Report of Asset vs Benchmark
table.RollingPeriodsRolling Periods Summary: Statistics and Stylized Facts
table.SpecificRiskSpecific risk Summary: Statistics and Stylized Facts
table.VariabilityVariability Summary: Statistics and Stylized Facts
textplotDisplay text information in a graphics plot.
TotalRiskTotal risk of the return distribution
TrackingErrorCalculate Tracking Error of returns against a benchmark
TreynorRatiocalculate Treynor Ratio or modified Treynor Ratio of excess...
UlcerIndexcalculate the Ulcer Index
UpDownRatioscalculate metrics on up and down markets for the benchmark...
UpsideFrequencyupside frequency of the return distribution
UpsidePotentialRatiocalculate Upside Potential Ratio of upside performance over...
UpsideRiskupside risk, variance and potential of the return...
VaRcalculate various Value at Risk (VaR) measures
VolatilitySkewnessVolatility and variability of the return distribution
weightsSelected Portfolio Weights Data
PerformanceAnalytics documentation built on May 2, 2019, 5:21 p.m.