Econometric tools for performance and risk analysis.

Documentation for package ‘PerformanceAnalytics’ version 1.0.3.2

DESCRIPTION file.
Overview of user guides and package vignettes; browse directory.
Package NEWS.

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A B C D E F I K M O P R S T U V W Z

PerformanceAnalytics-package

Econometric tools for performance and risk analysis.

-- A --

ActivePremium	Active Premium
apply.fromstart	calculate a function over an expanding window always starting from the beginning of the series
apply.rolling	calculate a function over a rolling window

-- B --

BetaCoKurtosis	Functions to calculate systematic or beta co-moments of return series
BetaCoMoments	Functions to calculate systematic or beta co-moments of return series
BetaCoSkewness	Functions to calculate systematic or beta co-moments of return series
BetaCoVariance	Functions to calculate systematic or beta co-moments of return series

-- C --

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.beta.bear	calculate CAPM beta
CAPM.beta.bull	calculate CAPM beta
CAPM.CML	utility functions for CAPM CML, SML, and RiskPremium
CAPM.CML.slope	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
CDaR	Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
CDD	Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
centeredcomoment	calculate centered Returns
centeredmoment	calculate centered Returns
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.CaptureRatios	Chart of Capture Ratios against a benchmark
chart.Correlation	correlation matrix chart
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.Events	Plots a time series with event dates aligned
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.RollingQuantileRegression	A wrapper to create charts of relative regression performance through time
chart.RollingRegression	A wrapper to create charts of relative regression performance through time
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.TimeSeries	Creates a time series chart with some extensions.
chart.VaRSensitivity	show the sensitivity of Value-at-Risk or Expected Shortfall estimates
charts.Bar	wrapper for barchart of returns
charts.BarVaR	Periodic returns in a bar chart with risk metric overlay
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
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
CoMoments	Functions for calculating comoments of financial time series
CoSkewness	Functions for calculating comoments of financial time series
CoVariance	Functions for calculating comoments of financial time series
CVaR	calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.

-- D --

DownsideDeviation	downside risk (deviation, variance) of the return distribution
Drawdowns	Find the drawdowns and drawdown levels in a timeseries.

-- E --

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

-- F --

findDrawdowns

Find the drawdowns and drawdown levels in a timeseries.

-- I --

InformationRatio

InformationRatio = ActivePremium/TrackingError

-- K --

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

-- M --

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

-- O --

Omega

calculate Omega for a return series

-- P --

PerformanceAnalytics	Econometric tools for performance and risk analysis.
prices	Selected Price Series Example Data

-- R --

replaceTabs	Display text information in a graphics plot.
Return.annualized	calculate an annualized return for comparing instruments with different length history
Return.calculate	calculate simple or compound returns from prices
Return.centered	calculate centered Returns
Return.clean	clean returns in a time series to to provide more robust risk estimates
Return.cumulative	calculate a compounded (geometric) cumulative return
Return.excess	Calculates the returns of an asset in excess of the given risk free rate
Return.Geltner	calculate Geltner liquidity-adjusted return series
Return.portfolio	Calculates weighted returns for a portfolio of assets
Return.read	Read returns data with different date formats
Return.rebalancing	Calculates weighted returns for a portfolio of assets
Return.relative	calculate the relative return of one asset to another

-- S --

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	calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized	calculate annualized Sharpe Ratio
SharpeRatio.modified	calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
skewness	Skewness
SmoothingIndex	calculate Normalized Getmansky Smoothing Index
sortDrawdowns	order list of drawdowns from worst to best
SortinoRatio	calculate Sortino Ratio of performance over downside risk
statsTable	wrapper function for combining arbitrary function list into a table
StdDev	calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio
StdDev.annualized	calculate a multiperiod or annualized Standard Deviation
SterlingRatio	calculate a Calmar or Sterling reward/risk ratio
SystematicKurtosis	Functions to calculate systematic or beta co-moments of return series
SystematicSkewness	Functions to calculate systematic or beta co-moments of return series

-- T --

table.AnnualizedReturns	Annualized Returns Summary: Statistics and Stylized Facts
table.Arbitrary	wrapper function for combining arbitrary function list into a table
table.Autocorrelation	table for calculating the first six autocorrelation coefficients and significance
table.CalendarReturns	Monthly and Calendar year Return table
table.CAPM	Asset-Pricing Model Summary: Statistics and Stylized Facts
table.CaptureRatios	Calculate and display a table of capture ratio and related statistics
table.Correlation	calculate correlalations of multicolumn data
table.DownsideRisk	Downside Risk Summary: Statistics and Stylized Facts
table.Drawdowns	Worst Drawdowns Summary: Statistics and Stylized Facts
table.HigherMoments	Higher Moments Summary: Statistics and Stylized Facts
table.MonthlyReturns	Returns Summary: Statistics and Stylized Facts
table.Returns	Monthly and Calendar year Return table
table.RollingPeriods	Rolling Periods Summary: Statistics and Stylized Facts
table.Stats	Returns Summary: Statistics and Stylized Facts
table.TrailingPeriods	Rolling Periods Summary: Statistics and Stylized Facts
table.TrailingPeriodsRel	Rolling Periods Summary: Statistics and Stylized Facts
table.UpDownRatios	Calculate and display a table of capture ratio and related statistics
textplot	Display text information in a graphics plot.
textplot.character	Display text information in a graphics plot.
textplot.data.frame	Display text information in a graphics plot.
textplot.default	Display text information in a graphics plot.
textplot.matrix	Display text information in a graphics plot.
TimingRatio	calculate CAPM beta
TrackingError	Calculate Tracking Error of returns against a benchmark
TreynorRatio	calculate Treynor Ratio of excess return over CAPM beta

-- U --

UpDownRatios	calculate metrics on up and down markets for the benchmark asset
UPR	calculate Upside Potential Ratio of upside performance over downside risk
UpsidePotentialRatio	calculate Upside Potential Ratio of upside performance over downside risk

-- V --

VaR	calculate various Value at Risk (VaR) measures
VaR.CornishFisher	calculate various Value at Risk (VaR) measures

-- W --

weights

Selected Portfolio Weights Data

-- Z --

zerofill