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PerformanceAnalytics (version 0.9.7.1)

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

0.9.7.1

License

GPL

Maintainer

Brian G Peterson

Last Published

February 6th, 2020

Functions in PerformanceAnalytics (0.9.7.1)

calculate Sortino Ratio of performance over downside risk

utility functions for CAPM CML, SML, and RiskPremium

calculate CAPM beta

Return.cumulative

calculate a compounded (geometric) cumulative return

Return.annualized

calculate an annualized return for comparing instruments with different length history

Create an ECDF overlaid with a Normal CDF

InformationRatio

InformationRatio = ActivePremium/TrackingError

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

calculate Omega for a return series

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

calculate CAPM alpha

SharpeRatio.modified

calculate a modified Sharpe Ratio of Return/modVaR

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

Calculate the Marginal VaR of each element of a portfolio

calculate a function over a rolling window

Periodic returns in a bar chart with risk metric overlay

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

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

order list of drawdowns from worst to best

table.RollingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

calculate BVaR or loss Beyond traditional mean-VaR

chart.Regression

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

calculate a multiperiod or annualized Standard Deviation

SharpeRatio.annualized

calculate annualized Sharpe Ratio

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

Read returns data with different date formats

Hypothetical Alternative Asset Manager and Benchmark Data

Calculate Tracking Error of returns against a benchmark

chart.RelativePerformance

relative performance chart between multiple return series

calculate and display effective style weights

calculate Normalized Getmansky Smoothing Index

chart.Histogram

histogram of returns

chart.RollingPerformance

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

MultivariateMoments

functions to compute multivariate moments of a joint distribution

calculate metrics on up and down markets for the benchmark asset

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

chart.RollingMean

chart the rolling mean return

apply.fromstart

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

calculate Geltner liquidity-adjusted return series

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

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

wrapper to calculate cumprod on all columns in a matrix

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

table.CalendarReturns

Monthly and Calendar year Return table

Functions for calculating comoments of financial time series

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

CenteredMoments

calculate centered moments of a joint distribution

chart.CumReturns

Cumulates and graphs a set of periodic returns

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

box whiskers plot wrapper

download.SP500PriceReturns

download S & P Prices and calculate S & P returns

calculate Treynor Ratio of excess return over CAPM beta

calculate a Calmar or Sterling reward/risk ratio

download.RiskFree

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

Return.calculate

calculate simple or compound returns from prices

EDHEC-Risk Hedge Fund Style Indices

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

Create ACF chart or ACF with PACF two-panel chart

wrapper for barchart of returns

DownsideDeviation

downside risk (deviation, variance) of the return distribution

table.Arbitrary

wrapper function for combining arbitrary function list into a table

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

Time series chart of drawdowns through time

MultivariateRisk

calculate common VaR and ES risk measures on a portfolio distribution

VaR.CornishFisher

calculate various Value at Risk (VaR) measures

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

chart.TimeSeries

Creates a time series chart with some extensions.

Plot a QQ chart

table.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

chart.SnailTrail

chart risk versus return over rolling time periods

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

caclulate the maximum drawdown from peak equity

chart.StackedBar

create a stacked bar plot

chart.VaRSensitivity

show the sensitivity of Value-at-Risk estimates

chart.Correlation

correlation matrix chart

chart.Correlation.color

correlation matrix chart, in color

chart.RollingCorrelation

chart rolling correlation fo multiple assets

Find the drawdowns and drawdown levels in a timeseries.

Asset-Pricing Model Summary: Statistics and Stylized Facts

wrapper to draw scatter plot with sensible defaults

wrapper to apply any function over a rolling time window

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

Selected Portfolio Weights Data

charts.RollingPerformance

rolling performance chart

table.MonthlyReturns

Monthly Returns Summary: Statistics and Stylized Facts

table.Correlation

calculate correlalations of multicolumn data

rollingRegression

Rolling Regression on Returns