Econometric Tools for Performance and Risk Analysis

Documentation for package ‘PerformanceAnalytics’ version 2.0.4

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A B C D E F H I K L M N O P R S T U V W Z

Econometric tools for performance and risk analysis.

-- A --

ActivePremium	Active Premium or Active Return
ActiveReturn	Active Premium or Active Return
AdjustedSharpeRatio	Adjusted Sharpe ratio of the return distribution
apply.fromstart	calculate a function over an expanding window always starting from the beginning of the series
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 drawdowns.
AverageRecovery	Calculates the average length (in periods) of the observed recovery period.

-- B --

BernardoLedoitRatio	Bernardo and Ledoit ratio of the return distribution
BetaCoKurtosis	Functions to calculate systematic or beta co-moments of return series
BetaCoMoments	Functions to calculate systematic or beta co-moments of return series
BetaCoSkewness	Functions to calculate systematic or beta co-moments of return series
BetaCoVariance	Functions to calculate systematic or beta co-moments of return series
BurkeRatio	Burke ratio of the return distribution

-- C --

CalculateReturns	calculate simple or compound returns from prices
CalmarRatio	calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the 'SharpeRatio'.
CAPM.alpha	calculate single factor model (CAPM) alpha
CAPM.beta	calculate single factor model (CAPM) beta
CAPM.beta.bear	calculate single factor model (CAPM) beta
CAPM.beta.bull	calculate single factor model (CAPM) beta
CAPM.CML	utility functions for single factor (CAPM) CML, SML, and RiskPremium
CAPM.CML.slope	utility functions for single factor (CAPM) CML, SML, and RiskPremium
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 RiskPremium
CAPM.SML.slope	utility functions for single factor (CAPM) CML, SML, and RiskPremium
CAPM.utils	utility functions for single factor (CAPM) CML, SML, and RiskPremium
CDaR	Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
CDD	Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
centeredcomoment	calculate centered Returns
centeredmoment	calculate centered Returns
chart.ACF	Create ACF chart or ACF with PACF two-panel chart
chart.ACFplus	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 in a scatterplot
chart.RelativePerformance	relative performance chart between multiple return series
chart.RiskReturnScatter	scatter chart of returns vs risk for comparing multiple instruments
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 line chart
chart.RollingQuantileRegression	A wrapper to create charts of relative regression performance through time
chart.RollingRegression	A wrapper to create charts of relative regression performance through time
chart.Scatter	wrapper to draw scatter plot with sensible defaults
chart.SnailTrail	chart risk versus return over rolling time periods
chart.StackedBar	create a stacked bar plot
chart.TimeSeries	Creates a time series chart with some extensions.
chart.TimeSeries.base	Creates a time series chart with some extensions.
chart.TimeSeries.builtin	Creates a time series chart with some extensions.
chart.TimeSeries.dygraph	Creates a time series chart with some extensions.
chart.TimeSeries.ggplot2	Creates a time series chart with some extensions.
chart.TimeSeries.googlevis	Creates a time series chart with some extensions.
chart.TimeSeries.plotly	Creates a time series chart with some extensions.
chart.VaRSensitivity	show the sensitivity of Value-at-Risk or Expected Shortfall estimates
charts.Bar	wrapper for barchart of returns
charts.BarVaR	Periodic returns in a bar chart with risk metric overlay
charts.PerformanceSummary	Create combined wealth index, period performance, and drawdown chart
charts.RollingPerformance	rolling performance chart
charts.RollingRegression	A wrapper to create charts of relative regression performance through time
charts.TimeSeries	Creates a time series chart with some extensions.
checkData	check input data type and format and coerce to the desired output type
checkSeedValue	Check 'seedValue' to ensure it is compatible with coredata_content attribute of 'R' (an xts object)
clean.boudt	clean extreme observations in a time series to to provide more robust risk estimates
CoKurtosis	Functions for calculating comoments of financial time series
CoKurtosisMatrix	Functions for calculating comoments of financial time series
CoMoments	Functions for calculating comoments of financial time series
CoSkewness	Functions for calculating comoments of financial time series
CoSkewnessMatrix	Functions for calculating comoments of financial time series
CoVariance	Functions for calculating comoments of financial time series
CVaR	calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

-- D --

DownsideDeviation	downside risk (deviation, variance) of the return distribution
DownsideFrequency	downside frequency of the return distribution
DownsidePotential	downside risk (deviation, variance) of the return distribution
DRatio	d ratio of the return distribution
DrawdownDeviation	Calculates a standard deviation-type statistic using individual drawdowns.
DrawdownPeak	Drawdawn peak of the return distribution
Drawdowns	Find the drawdowns and drawdown levels in a timeseries.

-- E --

edhec	EDHEC-Risk Hedge Fund Style Indices
ES	calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
ETL	calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
EWMAMoments	Functions for calculating EWMA comoments of financial time series

-- F --

FamaBeta	Fama beta of the return distribution
findDrawdowns	Find the drawdowns and drawdown levels in a timeseries.
Frequency	Frequency of the return distribution

-- H --

HurstIndex

calculate the Hurst Index The Hurst index can be used to measure whether returns are mean reverting, totally random, or persistent.

-- I --

InformationRatio

InformationRatio = ActivePremium/TrackingError

-- K --

Kappa	Kappa of the return distribution
KellyRatio	calculate Kelly criterion ratio (leverage or bet size) for a strategy
kurtosis	Kurtosis

-- L --

Level.calculate	Calculate appropriate cumulative return series or asset level using xts attribute information
lpm	calculate a lower partial moment for a time series

-- M --

M2.ewma	Functions for calculating EWMA comoments of financial time series
M2.shrink	Functions for calculating shrinkage-based comoments of financial time series
M2.struct	Functions for calculating structured comoments of financial time series
M2Sortino	M squared for Sortino of the return distribution
M3.ewma	Functions for calculating EWMA comoments of financial time series
M3.MCA	Functions for doing Moment Component Analysis (MCA) of financial time series
M3.MM	Functions for calculating comoments of financial time series
M3.shrink	Functions for calculating shrinkage-based comoments of financial time series
M3.struct	Functions for calculating structured comoments of financial time series
M4.ewma	Functions for calculating EWMA comoments of financial time series
M4.MCA	Functions for doing Moment Component Analysis (MCA) of financial time series
M4.MM	Functions for calculating comoments of financial time series
M4.shrink	Functions for calculating shrinkage-based comoments of financial time series
M4.struct	Functions for calculating structured comoments of financial time series
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 financial time series
Mean.arithmetic	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.geometric	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.LCL	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.stderr	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.UCL	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
mean.utils	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
MeanAbsoluteDeviation	Mean absolute deviation of the return distribution
MinTrackRecord	Minimum Track Record Length
Modigliani	Modigliani-Modigliani measure
MSquared	M squared of the return distribution
MSquaredExcess	M squared excess of the return distribution

-- N --

NetSelectivity

Net selectivity of the return distribution

-- O --

Omega	calculate Omega for a return series
OmegaExcessReturn	Omega excess return of the return distribution
OmegaExessReturn	Omega excess return of the return distribution
OmegaSharpeRatio	Omega-Sharpe ratio of the return distribution

-- P --

PainIndex	Pain index of the return distribution
PainRatio	Pain ratio of the return distribution
PerformanceAnalytics	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

-- R --

RachevRatio	Standard Error Estimate for Rachev Ratio of Returns
replaceTabs	Display text information in a graphics plot.
replaceTabs.inner	Display text information in a graphics plot.
Return.annualized	calculate an annualized return for comparing instruments with different length history
Return.annualized.excess	calculates an annualized excess return for comparing instruments with different length history
Return.calculate	calculate simple or compound returns from prices
Return.centered	calculate centered Returns
Return.clean	clean returns in a time series to to provide more robust risk estimates
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 risk free rate
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.rebalancing	Calculate weighted returns for a portfolio of assets
Return.relative	calculate the relative return of one asset to another
RPESE.control	Controls Function for the Computation of Standard Errors for Risk and Performance estimators

-- S --

sd.annualized	calculate a multiperiod or annualized Standard Deviation
sd.multiperiod	calculate a multiperiod or annualized Standard Deviation
Selectivity	Selectivity of the return distribution
SemiDeviation	downside risk (deviation, variance) of the return distribution
SemiSD	downside risk (deviation, variance) of the return distribution
SemiVariance	downside risk (deviation, variance) of the return distribution
SFM.alpha	calculate single factor model (CAPM) alpha
SFM.beta	calculate single factor model (CAPM) beta
SFM.CML	utility functions for single factor (CAPM) CML, SML, and RiskPremium
SFM.CML.slope	utility functions for single factor (CAPM) CML, SML, and RiskPremium
SFM.dynamic	Time-varying conditional single factor model beta
SFM.epsilon	Regression epsilon of the return distribution
SFM.jensenAlpha	Jensen's alpha of the return distribution
SFM.RiskPremium	utility functions for single factor (CAPM) CML, SML, and RiskPremium
SFM.SML.slope	utility functions for single factor (CAPM) CML, SML, and RiskPremium
SFM.utils	utility functions for single factor (CAPM) CML, SML, and RiskPremium
SharpeRatio	calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized	calculate annualized Sharpe Ratio
SharpeRatio.modified	calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
ShrinkageMoments	Functions for calculating shrinkage-based comoments of financial time series
skewness	Skewness
Skewness-KurtosisRatio	Skewness-Kurtosis ratio of the return distribution
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
statsTable	wrapper function for combining arbitrary function list into a table
StdDev	calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio
StdDev.annualized	calculate a multiperiod or annualized Standard Deviation
SterlingRatio	calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the 'SharpeRatio'.
StructuredMoments	Functions for calculating structured comoments of financial time series
SystematicKurtosis	Functions to calculate systematic or beta co-moments of return series
SystematicRisk	Systematic risk of the return distribution
SystematicSkewness	Functions to calculate systematic or beta co-moments of return series

-- T --

table.AnnualizedReturns	Annualized Returns Summary: Statistics and Stylized Facts
table.Arbitrary	wrapper function for combining arbitrary function list into a table
table.Autocorrelation	table for calculating the first six autocorrelation coefficients and significance
table.CalendarReturns	Monthly and Calendar year Return table
table.CAPM	Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
table.CaptureRatios	Calculate and display a table of capture ratio and related statistics
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.Returns	Monthly and Calendar year Return table
table.RollingPeriods	Rolling Periods Summary: Statistics and Stylized Facts
table.SFM	Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
table.SpecificRisk	Specific risk Summary: Statistics and Stylized Facts
table.Stats	Returns Summary: Statistics and Stylized Facts
table.TrailingPeriods	Rolling Periods Summary: Statistics and Stylized Facts
table.TrailingPeriodsRel	Rolling Periods Summary: Statistics and Stylized Facts
table.UpDownRatios	Calculate and display a table of capture ratio and related statistics
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.
textplot.character	Display text information in a graphics plot.
textplot.data.frame	Display text information in a graphics plot.
textplot.default	Display text information in a graphics plot.
textplot.matrix	Display text information in a graphics plot.
TimingRatio	calculate single factor model (CAPM) beta
to.monthly.contributions	Aggregate contributions through time
to.period.contributions	Aggregate contributions through time
to.quarterly.contributions	Aggregate contributions through time
to.weekly.contributions	Aggregate contributions through time
to.yearly.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 return over CAPM beta

-- U --

UlcerIndex	calculate the Ulcer Index
UpDownRatios	calculate metrics on up and down markets for the benchmark asset
UPR	calculate Upside Potential Ratio of upside performance over downside risk
UpsideFrequency	upside frequency of the return distribution
UpsidePotentialRatio	calculate Upside Potential Ratio of upside performance over downside risk
UpsideRisk	upside risk, variance and potential of the return distribution

-- V --

VaR	calculate various Value at Risk (VaR) measures
VaR.CornishFisher	calculate various Value at Risk (VaR) measures
VolatilitySkewness	Volatility and variability of the return distribution

-- W --

weights

Selected Portfolio Weights Data

-- Z --

zerofill