# Econometric tools for performance and risk analysis.

## Documentation for package `PerformanceAnalytics' version 0.9.5

## User Guides and Package Vignettes

Read overview or browse directory.

## Help Pages

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

## -- --

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 --

BetaCoK | systematic kurtosis of an asset to the initial portfolio
BetaCoKurtosis | systematic kurtosis of an asset to the initial portfolio
BetaCoS | systematic skewness of an asset to an initial portfolio
BetaCoSkewness | systematic skewness of an asset to an initial portfolio
BetaCoV | systematic beta of an asset to an initial portfolio
BetaCoVariance | systematic beta of an asset to an initial portfolio

## -- 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.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
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, with sensible defaults
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.Histogram | histogram of returns
chart.QQPlot | wrapper for qq.plot, with sensible defaults
chart.RegressionDiagnostics | regression diagnostics charts
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.Scatter | wrapper to draw scatter plot with sensible defaults
chart.TimeSeries | Creates a time series chart with some extensions.
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
CoKurtosis | calculate the co-moment for kurtosis of two assets
CoSkewness | calculate the co-moment for skewness of two assets
cummax.column | wrapper to calculate cumprod on all columns in a matrix
cumprod.column | wrapper to calculate cumprod on all columns in a matrix

## -- D --

download.RiskFree | download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns
download.SP500PriceReturns | download S & P Prices and calculate S & P returns
DownsideDeviation | function for downside risk of the return distribution
Drawdowns | Find the drawdowns and drawdown levels in a timeseries.

## -- E --

edhec | EDHEC-Risk Hedge Fund Style Indices

## -- 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

## -- M --

managers | Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks
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
modifiedVaR | calculate various Value at Risk (VaR) measures
modSharpe | calculate a modified Sharpe Ratio of Return/modVaR
moment.fourth | calculate the fourth mathematical moment of the return function
moment.third | calculate the third mathematical moment of the return function

## -- O --

Omega | calculate Omega for a return series

## -- P --

PerformanceAnalytics | Econometric tools for performance and risk analysis.

## -- R --

Return.annualized | calculate an annualized return for comparing instruments with different length history
Return.cumulative | calculate a compounded (geometric) cumulative return
Return.excess | Calculates the returns of an asset in excess of the given risk free rate
rollingCorrelation | rolling training period covariance/correlation
rollingFunction | wrapper to apply functions over a rolling period
rollingRegression | Rolling Regression on Returns
rollingStat | wrapper to apply any function over a rolling time window

## -- S --

sd.annualized | calculate a multiperiod or annualized Standard Deviation
sd.multiperiod | calculate a multiperiod or annualized Standard Deviation
SemiDeviation | deviation below the mean of the return distribution
SemiVariance | deviation below the mean of the return distribution
SharpeRatio | Sharpe Ratio
SharpeRatio.annualized | calculate annualized Sharpe Ratio
SharpeRatio.modified | calculate a modified Sharpe Ratio of Return/modVaR
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
std | calculate a multiperiod or annualized Standard Deviation
StdDev | calculate a multiperiod or annualized Standard Deviation
SterlingRatio | calculate a Calmar or Sterling reward/risk ratio
SystematicBeta | systematic beta of an asset to an initial portfolio
SystematicKurtosis | systematic kurtosis of an asset to the initial portfolio
SystematicSkewness | systematic skewness of an asset to an initial portfolio
SystematicVariance | systematic beta of an asset to an initial portfolio

## -- T --

table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts
table.CAPM | Asset-Pricing Model Summary: Statistics and Stylized Facts
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 | Monthly Returns Summary: Statistics and Stylized Facts
table.Returns | Monthly and Calendar year Return table
table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts
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.Beyond | calculate BVaR or loss Beyond traditional mean-VaR
VaR.CornishFisher | calculate various Value at Risk (VaR) measures
VaR.Marginal | Calculate the Marginal VaR of each element of a portfolio
VaR.mean | calculate various Value at Risk (VaR) measures
VaR.traditional | calculate various Value at Risk (VaR) measures