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PerformanceAnalytics (version 0.9.5)

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

0.9.5

License

GPL

Maintainer

Brian G Peterson

Last Published

February 6th, 2020

Functions in PerformanceAnalytics (0.9.5)

systematic kurtosis of an asset to the initial portfolio

calculate metrics on up and down markets for the benchmark asset

calculate a function over a rolling window

wrapper for barchart of returns

chart.Correlation

correlation matrix chart

InformationRatio

InformationRatio = ActivePremium/TrackingError

calculate the co-moment for kurtosis of two assets

caclulate the maximum drawdown from peak equity

rollingFunction

wrapper to apply functions over a rolling period

DownsideDeviation

function for downside risk of the return distribution

CalculateReturns

calculate simple or compound returns from prices

Return.cumulative

calculate a compounded (geometric) cumulative return

calculate Omega for a return series

chart.CumReturns

Cumulates and graphs a set of periodic returns

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

calculate CAPM alpha

calculate a multiperiod or annualized Standard Deviation

chart.RegressionDiagnostics

regression diagnostics charts

calculate a Calmar or Sterling reward/risk ratio

SharpeRatio.modified

calculate a modified Sharpe Ratio of Return/modVaR

chart.RollingMean

chart the rolling mean return

systematic skewness of an asset to an initial portfolio

chart.Histogram

histogram of returns

Calculate the Marginal VaR of each element of a portfolio

Return.annualized

calculate an annualized return for comparing instruments with different length history

calculate Sortino Ratio of performance over downside risk

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

wrapper to draw scatter plot with sensible defaults

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

calculate Treynor Ratio of excess return over CAPM beta

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

download.SP500PriceReturns

download S & P Prices and calculate S & P returns

chart.RollingPerformance

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

deviation below the mean of the return distribution

box whiskers plot wrapper, with sensible defaults

wrapper for qq.plot, with sensible defaults

table.Correlation

calculate correlalations of multicolumn data

table.RollingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

SharpeRatio.annualized

calculate annualized Sharpe Ratio

Find the drawdowns and drawdown levels in a timeseries.

Time series chart of drawdowns through time

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

systematic beta of an asset to an initial portfolio

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

wrapper to apply any function over a rolling time window

chart.TimeSeries

Creates a time series chart with some extensions.

chart.Correlation.color

correlation matrix chart, in color

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

calculate CAPM beta

calculate BVaR or loss Beyond traditional mean-VaR

table.MonthlyReturns

Monthly Returns Summary: Statistics and Stylized Facts

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

Calculate Tracking Error of returns against a benchmark

Asset-Pricing Model Summary: Statistics and Stylized Facts

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

rollingCorrelation

rolling training period covariance/correlation

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

calculate the third mathematical moment of the return function

charts.RollingPerformance

rolling performance chart

calculate the co-moment for skewness of two assets

rollingRegression

Rolling Regression on Returns

wrapper function for combining arbitrary function list into a table

Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks

Periodic returns in a bar chart with risk metric overlay

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

EDHEC-Risk Hedge Fund Style Indices

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

utility functions for CAPM CML, SML, and RiskPremium

download.RiskFree

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

order list of drawdowns from worst to best

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

calculate the fourth mathematical moment of the return function

chart.RollingCorrelation

chart rolling correlation fo multiple assets

Monthly and Calendar year Return table

chart.RelativePerformance

relative performance chart between multiple return series

wrapper to calculate cumprod on all columns in a matrix

apply.fromstart

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

VaR.CornishFisher

calculate various Value at Risk (VaR) measures