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PerformanceAnalytics (version 1.0.4.4)

Econometric tools for performance and risk analysis.

Description

Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

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Version

Install

install.packages('PerformanceAnalytics')

Monthly Downloads

41,537

Version

1.0.4.4

License

GPL

Maintainer

Brian G Peterson

Last Published

March 31st, 2012

Functions in PerformanceAnalytics (1.0.4.4)

Functions for calculating comoments of financial time series

Return.annualized

calculate an annualized return for comparing instruments with different length history

DownsideDeviation

downside risk (deviation, variance) of the return distribution

calculate a multiperiod or annualized Standard Deviation

calculate a function over a rolling window

calculate Treynor Ratio of excess return over CAPM beta

Find the drawdowns and drawdown levels in a timeseries.

table.AnnualizedReturns

Annualized Returns Summary: Statistics and Stylized Facts

Time series chart of drawdowns through time

calculate Omega for a return series

Create ACF chart or ACF with PACF two-panel chart

chart.VaRSensitivity

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

caclulate the maximum drawdown from peak equity

wrapper for barchart of returns

wrapper to draw scatter plot with sensible defaults

Selected Price Series Example Data

Return.relative

calculate the relative return of one asset to another

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

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

Return.cumulative

calculate a compounded (geometric) cumulative return

table.DownsideRisk

Downside Risk Summary: Statistics and Stylized Facts

chart.Correlation

correlation matrix chart

chart.TimeSeries

Creates a time series chart with some extensions.

chart.RollingPerformance

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

InformationRatio

InformationRatio = ActivePremium/TrackingError

Plots a time series with event dates aligned

calculate Geltner liquidity-adjusted return series

chart.Histogram

histogram of returns

chart.CaptureRatios

Chart of Capture Ratios against a benchmark

Return.centered

calculate centered Returns

table.CalendarReturns

Monthly and Calendar year Return table

calculate Sortino Ratio of performance over downside risk

box whiskers plot wrapper

charts.PerformanceSummary

Create combined wealth index, period performance, and drawdown chart

calculate CAPM alpha

PerformanceAnalytics-internal

internal functions for setting useful defaults for graphs

Selected Portfolio Weights Data

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

chart.RollingCorrelation

chart rolling correlation fo multiple assets

SharpeRatio.annualized

calculate annualized Sharpe Ratio

calculate metrics on up and down markets for the benchmark asset

chart.RollingMean

chart the rolling mean return

Hypothetical Alternative Asset Manager and Benchmark Data

charts.RollingPerformance

rolling performance chart

table.CaptureRatios

Calculate and display a table of capture ratio and related statistics

chart.RiskReturnScatter

scatter chart of returns vs risk for comparing multiple instruments

calculate a Calmar or Sterling reward/risk ratio

table.TrailingPeriods

Rolling Periods Summary: Statistics and Stylized Facts

chart.CumReturns

Cumulates and graphs a set of periodic returns

Read returns data with different date formats

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

Return.calculate

calculate simple or compound returns from prices

chart.SnailTrail

chart risk versus return over rolling time periods

Calculate Tracking Error of returns against a benchmark

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

apply.fromstart

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

calculate Normalized Getmansky Smoothing Index

Periodic returns in a bar chart with risk metric overlay

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

table.Correlation

calculate correlalations of multicolumn data

table.Autocorrelation

table for calculating the first six autocorrelation coefficients and significance

Return.portfolio

Calculates weighted returns for a portfolio of assets

UpsidePotentialRatio

calculate Upside Potential Ratio of upside performance over downside risk

Plot a QQ chart

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

Asset-Pricing Model Summary: Statistics and Stylized Facts

Display text information in a graphics plot.

chart.Regression

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

Returns Summary: Statistics and Stylized Facts

order list of drawdowns from worst to best

calculate CAPM beta

table.HigherMoments

Higher Moments Summary: Statistics and Stylized Facts

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

table.Arbitrary

wrapper function for combining arbitrary function list into a table

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

EDHEC-Risk Hedge Fund Style Indices

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

Beta Co-Moments

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

Create an ECDF overlaid with a Normal CDF

calculate various Value at Risk (VaR) measures

chart.RollingRegression

A wrapper to create charts of relative regression performance through time

table.Drawdowns

Worst Drawdowns Summary: Statistics and Stylized Facts

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

chart.RelativePerformance

relative performance chart between multiple return series

chart.StackedBar

create a stacked bar plot

utility functions for CAPM CML, SML, and RiskPremium