Learn R Programming

⚠️There's a newer version (2.0.8) of this package.Take me there.

PerformanceAnalytics (version 0.9.6)

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.

Copy Link

Version

Install

install.packages('PerformanceAnalytics')

Monthly Downloads

41,537

Version

0.9.6

License

GPL

Maintainer

Brian G Peterson

Last Published

February 6th, 2020

Functions in PerformanceAnalytics (0.9.6)

chart.RelativePerformance

relative performance chart between multiple return series

calculate CAPM alpha

charts.RollingPerformance

rolling performance chart

systematic kurtosis of an asset to the initial portfolio

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

download.RiskFree

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

calculate a Calmar or Sterling reward/risk ratio

calculate Omega for a return series

chart.Correlation

correlation matrix chart

Periodic returns in a bar chart with risk metric overlay

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

calculate Treynor Ratio of excess return over CAPM beta

calculate metrics on up and down markets for the benchmark asset

calculate BVaR or loss Beyond traditional mean-VaR

systematic beta of an asset to an initial portfolio

table.RollingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

chart.RegressionDiagnostics

regression diagnostics charts

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

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

calculate Normalized Getmansky Smoothing Index

table.Arbitrary

wrapper function for combining arbitrary function list into a table

caclulate the maximum drawdown from peak equity

Plot a QQ chart

chart.TimeSeries

Creates a time series chart with some extensions.

chart.CumReturns

Cumulates and graphs a set of periodic returns

Create an ECDF overlaid with a Normal CDF

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

systematic skewness of an asset to an initial portfolio

Return.annualized

calculate an annualized return for comparing instruments with different length history

chart.RollingCorrelation

chart rolling correlation fo multiple assets

chart.Histogram

histogram of returns

calculate Geltner liquidity-adjusted return series

order list of drawdowns from worst to best

wrapper to apply any function over a rolling time window

InformationRatio

InformationRatio = ActivePremium/TrackingError

wrapper to draw scatter plot with sensible defaults

Time series chart of drawdowns through time

calculate Sortino Ratio of performance over downside risk

rollingRegression

Rolling Regression on Returns

calculate the third mathematical moment of the return function

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

Return.calculate

calculate simple or compound returns from prices

Read returns data with different date formats

Return.cumulative

calculate a compounded (geometric) cumulative return

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

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

utility functions for CAPM CML, SML, and RiskPremium

Asset-Pricing Model Summary: Statistics and Stylized Facts

calculate the co-moment for kurtosis of two assets

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

chart.RollingPerformance

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

calculate the co-moment for skewness of two assets

calculate a multiperiod or annualized Standard Deviation

wrapper for barchart of returns

box whiskers plot wrapper

download.SP500PriceReturns

download S & P Prices and calculate S & P returns

SharpeRatio.modified

calculate a modified Sharpe Ratio of Return/modVaR

SharpeRatio.annualized

calculate annualized Sharpe Ratio

apply.fromstart

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

chart.RollingMean

chart the rolling mean return

Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks

Find the drawdowns and drawdown levels in a timeseries.

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

table.Correlation

calculate correlalations of multicolumn data

table.MonthlyReturns

Monthly Returns Summary: Statistics and Stylized Facts

table.CalendarReturns

Monthly and Calendar year Return table

calculate the fourth mathematical moment of the return function

calculate CAPM beta

DownsideDeviation

downside risk (deviation, variance) of the return distribution

chart.Regression

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

chart.Correlation.color

correlation matrix chart, in color

Calculate Tracking Error of returns against a benchmark

VaR.CornishFisher

calculate various Value at Risk (VaR) measures

calculate a function over a rolling window

Create ACF chart or ACF with PACF two-panel chart

Calculate the Marginal VaR of each element of a portfolio

table.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

EDHEC-Risk Hedge Fund Style Indices

wrapper to calculate cumprod on all columns in a matrix

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts