PerformanceAnalytics

Active Premium or Active Return

Adjusted Sharpe ratio of the return distribution

Appraisal ratio of the return distribution

Calculates the average depth of the observed drawdowns.

Calculates the average length (in periods) of the observed drawdowns.

Calculates the average length (in periods) of the observed recovery period.

Bernardo and Ledoit ratio of the return distribution

Functions to calculate systematic or beta co-moments of return series

Burke ratio of the return distribution

utility functions for single factor (CAPM) CML, SML, and RiskPremium

calculate single factor model (CAPM) alpha

calculate single factor model (CAPM) beta

Time-varying conditional single factor model beta

Regression epsilon of the return distribution

Jensen's alpha of the return distribution

Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure

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.

Functions for calculating comoments of financial time series

d ratio of the return distribution

downside risk (deviation, variance) of the return distribution

downside frequency of the return distribution

Calculates a standard deviation-type statistic using individual drawdowns.

Drawdawn peak of the return distribution

calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

Functions for calculating EWMA comoments of financial time series

Fama beta of the return distribution

Frequency of the return distribution

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

InformationRatio = ActivePremium/TrackingError

Kappa of the return distribution

calculate Kelly criterion ratio (leverage or bet size) for a strategy

Calculate appropriate cumulative return series or asset level using xts attribute information

M squared for Sortino of the return distribution

Functions for doing Moment Component Analysis (MCA) of financial time series

M squared of the return distribution

M squared excess of the return distribution

Market timing models

Martin ratio of the return distribution

Mean absolute deviation of the return distribution

Minimum Track Record Length

Modigliani-Modigliani measure

Net selectivity of the return distribution

calculate Omega for a return series

Omega excess return of the return distribution

Omega-Sharpe ratio of the return distribution

Pain index of the return distribution

Pain ratio of the return distribution

Econometric tools for performance and risk analysis.

Probabilistic Sharpe Ratio

Prospect ratio of the return distribution

Controls Function for the Computation of Standard Errors for Risk and Performance estimators

Standard Error Estimate for Rachev Ratio of Returns

calculate Geltner liquidity-adjusted return series

calculate an annualized return for comparing instruments with different length history

calculates an annualized excess return for comparing instruments with different length history

calculate simple or compound returns from prices

clean returns in a time series to to provide more robust risk estimates

Convert coredata content from one type of return to another

calculate a compounded (geometric) cumulative return

Calculates the returns of an asset in excess of the given risk free rate

Robust Filter for Time Series Returns

Calculate weighted returns for a portfolio of assets

Read returns data with different date formats

calculate the relative return of one asset to another

Selectivity of the return distribution

calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES

calculate annualized Sharpe Ratio

Functions for calculating shrinkage-based comoments of financial time series

Skewness-Kurtosis ratio of the return distribution

calculate Normalized Getmansky Smoothing Index

calculate Sortino Ratio of performance over downside risk

Specific risk of the return distribution

calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio

calculate a multiperiod or annualized Standard Deviation

Functions for calculating structured comoments of financial time series

Systematic risk of the return distribution

Total risk of the return distribution

Calculate Tracking Error of returns against a benchmark

calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta

calculate the Ulcer Index

calculate metrics on up and down markets for the benchmark asset

upside frequency of the return distribution

calculate Upside Potential Ratio of upside performance over downside risk

upside risk, variance and potential of the return distribution

calculate various Value at Risk (VaR) measures

Volatility and variability of the return distribution

calculate a function over an expanding window always starting from the beginning of the series

calculate a function over a rolling window

calculate centered Returns

Create ACF chart or ACF with PACF two-panel chart

wrapper for barchart of returns

Periodic returns in a bar chart with risk metric overlay

box whiskers plot wrapper

Chart of Capture Ratios against a benchmark

correlation matrix chart

Cumulates and graphs a set of periodic returns

Time series chart of drawdowns through time

Create an ECDF overlaid with a Normal CDF

Plots a time series with event dates aligned

histogram of returns

Plot a QQ chart

Takes a set of returns and relates them to a market benchmark in a scatterplot

relative performance chart between multiple return series

scatter chart of returns vs risk for comparing multiple instruments

chart rolling correlation fo multiple assets

chart the rolling mean return

wrapper to create a chart of rolling performance metrics in a line chart

A wrapper to create charts of relative regression performance through time

wrapper to draw scatter plot with sensible defaults

chart risk versus return over rolling time periods

create a stacked bar plot

Creates a time series chart with some extensions.

show the sensitivity of Value-at-Risk or Expected Shortfall estimates

Create combined wealth index, period performance, and drawdown chart

rolling performance chart

check input data type and format and coerce to the desired output type

Check 'seedValue' to ensure it is compatible with coredata_content attribute of 'R' (an xts object)

clean extreme observations in a time series to to provide more robust risk estimates

EDHEC-Risk Hedge Fund Style Indices

Find the drawdowns and drawdown levels in a timeseries.

Kurtosis

internal functions for setting useful defaults for graphs

calculate a lower partial moment for a time series

Hypothetical Alternative Asset Manager and Benchmark Data

caclulate the maximum drawdown from peak equity

calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL

Bacon(2008) Data

Selected Price Series Example Data

Skewness

order list of drawdowns from worst to best

Annualized Returns Summary: Statistics and Stylized Facts

wrapper function for combining arbitrary function list into a table

table for calculating the first six autocorrelation coefficients and significance

Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts

Monthly and Calendar year Return table

Calculate and display a table of capture ratio and related statistics

calculate correlalations of multicolumn data

Distributions Summary: Statistics and Stylized Facts

Downside Risk Summary: Statistics and Stylized Facts

Downside Summary: Statistics and ratios

Worst Drawdowns Summary: Statistics and Stylized Facts

Drawdowns Summary: Statistics and ratios

Higher Moments Summary: Statistics and Stylized Facts

Information ratio Summary: Statistics and Stylized Facts

Returns Summary: Statistics and Stylized Facts

Outperformance Report of Asset vs Benchmark

Rolling Periods Summary: Statistics and Stylized Facts

Specific risk Summary: Statistics and Stylized Facts

Variability Summary: Statistics and Stylized Facts

Sample sector returns for use by unit tests

Sample sector weights for use by unit tests

Display text information in a graphics plot.

Aggregate contributions through time

Selected Portfolio Weights Data

zerofill