Package index • PerformanceAnalytics

All functions

ActiveReturn(): Active Premium or Active Return
AdjustedSharpeRatio(): Adjusted Sharpe ratio of the return distribution
AppraisalRatio(): Appraisal ratio of the return distribution
AverageDrawdown(): Calculates the average depth of the observed drawdowns.
AverageLength(): Calculates the average length (in periods) of the observed drawdowns.
AverageRecovery(): Calculates the average length (in periods) of the observed recovery period.
BernardoLedoitRatio(): Bernardo and Ledoit ratio of the return distribution
BetaCoVariance() BetaCoSkewness() BetaCoKurtosis(): Functions to calculate systematic or beta co-moments of return series
BurkeRatio(): Burke ratio of the return distribution
CAPM.CML.slope() CAPM.CML() CAPM.RiskPremium() CAPM.SML.slope(): utility functions for single factor (CAPM) CML, SML, and RiskPremium
CAPM.dynamic(): Time-varying conditional single factor model beta
CAPM.epsilon(): Regression epsilon of the return distribution
CAPM.jensenAlpha(): Jensen's alpha of the return distribution
CDD(): Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
CDaR.alpha(): Conditional Drawdown alpha
CDaR.beta(): Conditional Drawdown beta
CalmarRatio() SterlingRatio(): calculate a Calmar or Sterling reward/risk ratio Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the SharpeRatio.
CoSkewnessMatrix() CoKurtosisMatrix() CoVariance() CoSkewness() CoKurtosis() M3.MM() M4.MM(): Functions for calculating comoments of financial time series
DRatio(): d ratio of the return distribution
DownsideDeviation() DownsidePotential() SemiDeviation() SemiSD() SemiVariance(): downside risk (deviation, variance) of the return distribution
DownsideFrequency(): downside frequency of the return distribution
DownsideSharpeRatio(): Downside Sharpe Ratio
DrawdownDeviation(): Calculates a standard deviation-type statistic using individual drawdowns.
DrawdownPeak(): Drawdawn peak of the return distribution
ETL(): calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
M2.ewma() M3.ewma() M4.ewma(): Functions for calculating EWMA comoments of financial time series
FamaBeta(): Fama beta of the return distribution
Frequency(): Frequency of the return distribution
HurstIndex(): calculate the Hurst Index The Hurst index can be used to measure whether returns are mean reverting, totally random, or persistent.
InformationRatio(): InformationRatio = ActivePremium/TrackingError
Kappa(): Kappa of the return distribution
KellyRatio(): calculate Kelly criterion ratio (leverage or bet size) for a strategy
Level.calculate(): Calculate appropriate cumulative return series or asset level using xts attribute information
M2Sortino(): M squared for Sortino of the return distribution
M3.MCA() M4.MCA(): Functions for doing Moment Component Analysis (MCA) of financial time series
MSquared(): M squared of the return distribution
MSquaredExcess(): M squared excess of the return distribution
MarketTiming(): Market timing models
MartinRatio(): Martin ratio of the return distribution
MeanAbsoluteDeviation(): Mean absolute deviation of the return distribution
MinTrackRecord(): Minimum Track Record Length
Modigliani(): Modigliani-Modigliani measure
MM.NCE(): Functions for calculating the nearest comoment estimator for financial time series
NetSelectivity(): Net selectivity of the return distribution
Omega(): calculate Omega for a return series
OmegaExcessReturn(): Omega excess return of the return distribution
OmegaSharpeRatio(): Omega-Sharpe ratio of the return distribution
PainIndex(): Pain index of the return distribution
PainRatio(): Pain ratio of the return distribution
PerformanceAnalytics-package PerformanceAnalytics: Econometric tools for performance and risk analysis.
ProbSharpeRatio(): Probabilistic Sharpe Ratio
ProspectRatio(): Prospect ratio of the return distribution
RPESE.control(): Controls Function for the Computation of Standard Errors for Risk and Performance estimators
RachevRatio(): Rachev Ratio
Return.Geltner(): calculate Geltner liquidity-adjusted return series
Return.annualized(): calculate an annualized return for comparing instruments with different length history
Return.annualized.excess(): calculates an annualized excess return for comparing instruments with different length history
Return.calculate() CalculateReturns(): calculate simple or compound returns from prices
Return.clean(): clean returns in a time series to to provide more robust risk estimates
Return.convert(): Convert coredata content from one type of return to another
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.locScaleRob(): Robust Filter for Time Series Returns
Return.portfolio(): Calculate weighted returns for a portfolio of assets
Return.read(): Read returns data with different date formats
Return.relative(): calculate the relative return of one asset to another
SFM.alpha(): Calculate single factor model (CAPM) alpha
SFM.beta() SFM.beta.bull() SFM.beta.bear() TimingRatio(): Calculate single factor model (CAPM) beta
SFM.coefficients(): Calculate single factor model alpha and beta coefficients
SFM.fit.models(): Compare SFM estimated using robust estimators with that estimated by OLS
Selectivity(): Selectivity of the return distribution
SharpeRatio() SharpeRatio.modified(): calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized(): calculate annualized Sharpe Ratio
M2.shrink() M3.shrink() M4.shrink(): Functions for calculating shrinkage-based comoments of financial time series
SkewnessKurtosisRatio(): Skewness-Kurtosis ratio of the return distribution
SmoothingIndex(): calculate Normalized Getmansky Smoothing Index
SortinoRatio(): calculate Sortino Ratio of performance over downside risk
SpecificRisk(): Specific risk of the return distribution
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
M2.struct() M3.struct() M4.struct(): Functions for calculating structured comoments of financial time series
SystematicRisk(): Systematic risk of the return distribution
TotalRisk(): Total risk of the return distribution
TrackingError(): Calculate Tracking Error of returns against a benchmark
TreynorRatio(): calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta
UlcerIndex(): calculate the Ulcer Index
UpDownRatios(): calculate metrics on up and down markets for the benchmark asset
UpsideFrequency(): upside frequency of the return distribution
UpsidePotentialRatio(): calculate Upside Potential Ratio of upside performance over downside risk
UpsideRisk(): upside risk, variance and potential of the return distribution
VaR(): calculate various Value at Risk (VaR) measures
VaR.backtest(): VaR Backtest
VolatilitySkewness(): Volatility and variability of the return distribution
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
Return.centered() centeredmoment() centeredcomoment(): calculate centered moment/co-moment return matrices
chart.ACF() chart.ACFplus(): Create ACF chart or ACF with PACF two-panel chart
chart.Bar() charts.Bar(): wrapper for barchart of returns
chart.BarVaR() charts.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() chart.RollingRegression() charts.RollingRegression(): A wrapper to create charts of relative regression performance through time
chart.SFM(): Compare SFM estimated using robust estimators with that estimated by OLS
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() chart.TimeSeries.base() chart.TimeSeries.builtin() chart.TimeSeries.dygraph() chart.TimeSeries.ggplot2() chart.TimeSeries.googlevis() chart.TimeSeries.plotly() charts.TimeSeries(): Creates a time series chart with some extensions.
chart.VaRSensitivity(): show the sensitivity of Value-at-Risk or Expected Shortfall estimates
charts.PerformanceSummary(): Create combined wealth index, period performance, and drawdown chart
charts.RollingPerformance(): rolling performance chart
checkData(): check input data type and format and coerce to the desired output type
checkSeedValue(): Check 'seedValue' to ensure it is compatible with coredata_content attribute of 'R' (an xts object)
clean.boudt(): clean extreme observations in a time series to to provide more robust risk estimates
.coefficients(): Wrapper for SFM's regression models.
edhec: EDHEC-Risk Hedge Fund Style Indices
Drawdowns() findDrawdowns(): Find the drawdowns and drawdown levels in a timeseries.
kurtosis(): Kurtosis
lpm(): calculate a lower partial moment for a time series
managers: Hypothetical Alternative Asset Manager and Benchmark Data
maxDrawdown(): caclulate the maximum drawdown from peak equity
mean(<geometric>) mean(<arithmetic>) mean(<stderr>) mean(<LCL>) mean(<UCL>): calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
portm2() derportm2() portm3() derportm3() portm4() derportm4(): Portfolio moments
portfolio_bacon: Bacon(2008) Data
prices: Selected Price Series Example Data
skewness(): Skewness
sortDrawdowns(): order list of drawdowns from worst to best
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.SFM(): Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
table.CalendarReturns(): Monthly and Calendar year Return table
table.CaptureRatios() table.UpDownRatios(): Calculate and display a table of capture ratio and related statistics
table.Correlation(): calculate correlalations of multicolumn data
table.Distributions(): Distributions Summary: Statistics and Stylized Facts
table.DownsideRisk(): Downside Risk Summary: Statistics and Stylized Facts
table.DownsideRiskRatio(): Downside Summary: Statistics and ratios
table.Drawdowns(): Worst Drawdowns Summary: Statistics and Stylized Facts
table.DrawdownsRatio(): Drawdowns Summary: Statistics and ratios
table.HigherMoments(): Higher Moments Summary: Statistics and Stylized Facts
table.InformationRatio(): Information ratio Summary: Statistics and Stylized Facts
table.Stats(): Returns Summary: Statistics and Stylized Facts
table.ProbOutPerformance(): Outperformance Report of Asset vs Benchmark
table.RollingPeriods() table.TrailingPeriodsRel(): Rolling Periods Summary: Statistics and Stylized Facts
table.SpecificRisk(): Specific risk Summary: Statistics and Stylized Facts
table.Variability(): Variability Summary: Statistics and Stylized Facts
test_returns: Sample sector returns for use by unit tests
test_weights: Sample sector weights for use by unit tests
replaceTabs.inner() replaceTabs() textplot(): Display text information in a graphics plot.
to.period.contributions(): Aggregate contributions through time
M3.vec2mat() M3.mat2vec() M4.vec2mat() M4.mat2vec(): Helper function for comoment matrices
managers: Selected Portfolio Weights Data
zerofill(): zerofill