| CalculateReturns |
calculate simple or compound returns from prices |
| CalmarRatio |
calculate a Calmar or Sterling reward/risk ratio |
| CAPM.alpha |
calculate CAPM alpha |
| CAPM.beta |
calculate CAPM beta |
| CAPM.CML |
utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.RiskPremium |
utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.SML.slope |
utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.utils |
utility functions for CAPM CML, SML, and RiskPremium |
| centeredcomoment |
calculate centered moments of a joint distribution |
| centeredmoment |
calculate centered moments of a joint distribution |
| chart.ACF |
Create ACF chart or ACF with PACF two-panel chart |
| chart.ACFplus |
Create ACF chart or ACF with PACF two-panel chart |
| chart.Bar |
wrapper for barchart of returns |
| chart.BarVaR |
Periodic returns in a bar chart with risk metric overlay |
| chart.Boxplot |
box whiskers plot wrapper |
| chart.Correlation |
correlation matrix chart |
| chart.Correlation.color |
correlation matrix chart, in color |
| chart.CumReturns |
Cumulates and graphs a set of periodic returns |
| chart.Drawdown |
Time series chart of drawdowns through time |
| chart.ECDF |
Create an ECDF overlaid with a Normal CDF |
| chart.Histogram |
histogram of returns |
| chart.QQPlot |
Plot a QQ chart |
| chart.Regression |
Takes a set of returns and relates them to a market benchmark in a scatterplot |
| chart.RelativePerformance |
relative performance chart between multiple return series |
| chart.RiskReturnScatter |
scatter chart of returns vs risk for comparing multiple instruments |
| chart.RollingCorrelation |
chart rolling correlation fo multiple assets |
| chart.RollingMean |
chart the rolling mean return |
| chart.RollingPerformance |
wrapper to create a chart of rolling performance metrics in a line chart |
| chart.RollingRegression |
A wrapper to create charts of relative regression performance through time |
| chart.RollingStyle |
calculate and display effective style weights |
| chart.Scatter |
wrapper to draw scatter plot with sensible defaults |
| chart.SnailTrail |
chart risk versus return over rolling time periods |
| chart.StackedBar |
create a stacked bar plot |
| chart.Style |
calculate and display effective style weights |
| chart.TimeSeries |
Creates a time series chart with some extensions. |
| chart.VaRSensitivity |
show the sensitivity of Value-at-Risk estimates |
| charts.PerformanceSummary |
Create combined wealth index, period performance, and drawdown chart |
| charts.RollingPerformance |
rolling performance chart |
| charts.RollingRegression |
A wrapper to create charts of relative regression performance through time |
| checkData |
check input data type and format and coerce to the desired output type |
| checkDataMatrix |
check input data type and format and coerce to the desired output type |
| checkDataVector |
check input data type and format and coerce to the desired output type |
| checkDataZoo |
check input data type and format and coerce to the desired output type |
| clean.boudt |
clean extreme observations in a time series to to provide more robust risk estimates |
| CoKurtosis |
Functions for calculating comoments of financial time series |
| CoKurtosisMatrix |
functions to compute multivariate moments of a joint distribution |
| CoMoments |
Functions for calculating comoments of financial time series |
| CoSkewness |
Functions for calculating comoments of financial time series |
| CoSkewnessMatrix |
functions to compute multivariate moments of a joint distribution |
| CoVariance |
Functions for calculating comoments of financial time series |
| cummax.column |
wrapper to calculate cumprod on all columns in a matrix |
| cumprod.column |
wrapper to calculate cumprod on all columns in a matrix |
| M3.MM |
functions to compute multivariate moments of a joint distribution |
| M4.MM |
functions to compute multivariate moments of a joint distribution |
| managers |
Hypothetical Alternative Asset Manager and Benchmark Data |
| maxDrawdown |
caclulate the maximum drawdown from peak equity |
| mean.geometric |
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.LCL |
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.stderr |
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.UCL |
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.utils |
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mES.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| modifiedVaR |
calculate various Value at Risk (VaR) measures |
| modSharpe |
calculate a modified Sharpe Ratio of Return/modVaR |
| MultivariateMoments |
functions to compute multivariate moments of a joint distribution |
| MultivariateRisk |
calculate common VaR and ES risk measures on a portfolio distribution |
| multivariate_mean |
functions to compute multivariate moments of a joint distribution |
| mVaR.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| sd.annualized |
calculate a multiperiod or annualized Standard Deviation |
| sd.multiperiod |
calculate a multiperiod or annualized Standard Deviation |
| SemiDeviation |
downside risk (deviation, variance) of the return distribution |
| SemiVariance |
downside risk (deviation, variance) of the return distribution |
| SharpeRatio |
Sharpe Ratio |
| SharpeRatio.annualized |
calculate annualized Sharpe Ratio |
| SharpeRatio.modified |
calculate a modified Sharpe Ratio of Return/modVaR |
| skewness |
Skewness |
| skewness.MM |
functions to compute multivariate moments of a joint distribution |
| SmoothingIndex |
calculate Normalized Getmansky Smoothing Index |
| sortDrawdowns |
order list of drawdowns from worst to best |
| SortinoRatio |
calculate Sortino Ratio of performance over downside risk |
| SR.GES.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| SR.GVaR.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| SR.mES.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| SR.mVaR.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| SR.StdDev.MM |
calculate common VaR and ES risk measures on a portfolio distribution |
| statsTable |
wrapper function for combining arbitrary function list into a table |
| std |
calculate a multiperiod or annualized Standard Deviation |
| StdDev |
calculate a multiperiod or annualized Standard Deviation |
| StdDev.MM |
functions to compute multivariate moments of a joint distribution |
| SterlingRatio |
calculate a Calmar or Sterling reward/risk ratio |
| style.fit |
calculate and display effective style weights |
| style.QPfit |
calculate and display effective style weights |
| SystematicKurtosis |
Functions to calculate systematic or beta co-moments of return series |
| SystematicSkewness |
Functions to calculate systematic or beta co-moments of return series |