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PerformanceAnalytics (version 0.9.4)

Econometric tools for performance and risk analysis.

Description

Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well.

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Version

Install

install.packages('PerformanceAnalytics')

Monthly Downloads

41,537

Version

0.9.4

License

GPL

Maintainer

Brian G Peterson

Last Published

February 6th, 2020

Functions in PerformanceAnalytics (0.9.4)

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

wrapper to calculate cummax on all columns in a matrix

chart.CumReturns

Cumulates and graphs a set of periodic returns

calculate the third mathematical moment of the return function

SharpeRatio.modified

calculate a modified Sharpe Ratio of Return/modVaR

calculate CAPM alpha

calculate BVaR or loss Beyond traditional mean-VaR

Find the drawdowns and drawdown levels in a timeseries.

Return.annualized

calculate an annualized return for comparing instruments with different length history

deviation below the mean of the return distribution

calculate Sortino Ratio of performance over downside risk

rollingFunction

wrapper to apply functions over a rolling period

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

chart.Correlation

correlation matrix chart

Return.cumulative

calculate a compounded (geometric) cumulative return

box whiskers plot wrapper, with sensible defaults

SharpeRatio.annualized

calculate annualized Sharpe Ratio

DownsideDeviation

function for downside risk of the return distribution

table.MonthlyReturns

Monthly Returns Summary: Statistics and Stylized Facts

Monthly and Calendar year Return table

Standard Deviation of Monthly Returns

Calculate Tracking Error of returns against a benchmark

calculate metrics on up and down markets for the benchmark asset

VaR.CornishFisher

calculate various Value at Risk (VaR) measures

chart.RollingMean

chart the rolling mean return

chart.Histogram

histogram of returns

calculate a function over a rolling window

calculate CAPM beta

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

utility functions for CAPM CML, SML, and RiskPremium

Calculate the Marginal VaR of each element of a portfolio

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

calculate Treynor Ratio of excess return over CAPM beta

charts.RollingPerformance

rolling performance chart

calculate the co-moment for kurtosis of two assets

systematic kurtosis of an asset to the initial portfolio

wrapper to draw scatter plot with sensible defaults

CalculateReturns

calculate simple or compound returns from prices

wrapper for barchart of returns

EDHEC-Risk Hedge Fund Style Indices

download.SP500PriceReturns

download S & P Prices and calculate S & P returns

Time series chart of drawdowns through time

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

calculate the co-moment for skewness of two assets

chart.TimeSeries

Creates a time series chart with some extensions.

calculate the fourth mathematical moment of the return function

apply.fromstart

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

Periodic returns in a bar chart with risk metric overlay

table.RollingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

systematic beta of an asset to an initial portfolio

download.RiskFree

download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns

wrapper for qq.plot, with sensible defaults

caclulate the maximum drawdown from peak equity

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

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

systematic skewness of an asset to an initial portfolio

wrapper to calculate cumprod on all columns in a matrix

chart.RegressionDiagnostics

regression diagnostics charts

calculate Omega for a return series

rollingCorrelation

rolling training period covariance/correlation

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

order list of drawdowns from worst to best

chart.Correlation.color

correlation matrix chart, in color

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

wrapper function for combining arbitrary function list into a table

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

chart.RollingPerformance

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

wrapper to apply any function over a rolling time window

table.Correlation

calculate correlalations of multicolumn data

InformationRatio

InformationRatio = ActivePremium/TrackingError

StdDev.annualized

calculate an annualized Standard Deviation

chart.RollingCorrelation

chart rolling correlation fo multiple assets

chart.RelativePerformance

relative performance chart between multiple return series

Asset-Pricing Model Summary: Statistics and Stylized Facts

rollingRegression

Rolling Regression on Returns