A B C D E F H I K L M N O P R S T U V W Z
PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |
ActivePremium | Active Premium or Active Return |
ActiveReturn | Active Premium or Active Return |
AdjustedSharpeRatio | Adjusted Sharpe ratio 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 |
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 |
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 |
BurkeRatio | Burke ratio of the return distribution |
CalculateReturns | calculate simple or compound returns from prices |
CalmarRatio | 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'. |
CAPM.alpha | calculate single factor model (CAPM) alpha |
CAPM.beta | calculate single factor model (CAPM) beta |
CAPM.beta.bear | calculate single factor model (CAPM) beta |
CAPM.beta.bull | calculate single factor model (CAPM) beta |
CAPM.CML | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
CAPM.CML.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 |
CAPM.RiskPremium | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
CAPM.SML.slope | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
CAPM.utils | utility functions for single factor (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.TimeSeries.base | Creates a time series chart with some extensions. |
chart.TimeSeries.builtin | Creates a time series chart with some extensions. |
chart.TimeSeries.dygraph | Creates a time series chart with some extensions. |
chart.TimeSeries.ggplot2 | Creates a time series chart with some extensions. |
chart.TimeSeries.googlevis | Creates a time series chart with some extensions. |
chart.TimeSeries.plotly | 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 |
charts.TimeSeries | Creates a time series chart with some extensions. |
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 |
CoKurtosis | Functions for calculating comoments of financial time series |
CoKurtosisMatrix | 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 |
CoSkewnessMatrix | 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. |
DownsideDeviation | downside risk (deviation, variance) of the return distribution |
DownsideFrequency | downside frequency of the return distribution |
DownsidePotential | downside risk (deviation, variance) of the return distribution |
DRatio | d ratio of the return distribution |
DrawdownDeviation | Calculates a standard deviation-type statistic using individual drawdowns. |
DrawdownPeak | Drawdawn peak of the return distribution |
Drawdowns | Find the drawdowns and drawdown levels in a timeseries. |
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. |
ETL | calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods. |
EWMAMoments | Functions for calculating EWMA comoments of financial time series |
FamaBeta | Fama beta of the return distribution |
findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |
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 |
kurtosis | Kurtosis |
Level.calculate | Calculate appropriate cumulative return series or asset level using xts attribute information |
lpm | calculate a lower partial moment for a time series |
M2.ewma | Functions for calculating EWMA comoments of financial time series |
M2.shrink | Functions for calculating shrinkage-based comoments of financial time series |
M2.struct | Functions for calculating structured comoments of financial time series |
M2Sortino | M squared for Sortino of the return distribution |
M3.ewma | Functions for calculating EWMA comoments of financial time series |
M3.MCA | Functions for doing Moment Component Analysis (MCA) of financial time series |
M3.MM | Functions for calculating comoments of financial time series |
M3.shrink | Functions for calculating shrinkage-based comoments of financial time series |
M3.struct | Functions for calculating structured comoments of financial time series |
M4.ewma | Functions for calculating EWMA comoments of financial time series |
M4.MCA | Functions for doing Moment Component Analysis (MCA) of financial time series |
M4.MM | Functions for calculating comoments of financial time series |
M4.shrink | Functions for calculating shrinkage-based comoments of financial time series |
M4.struct | Functions for calculating structured comoments of financial time series |
managers | Hypothetical Alternative Asset Manager and Benchmark Data |
MarketTiming | Market timing models |
MartinRatio | Martin ratio of the return distribution |
maxDrawdown | caclulate the maximum drawdown from peak equity |
MCA | Functions for doing Moment Component Analysis (MCA) of financial time series |
Mean.arithmetic | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
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 |
MeanAbsoluteDeviation | Mean absolute deviation of the return distribution |
MinTrackRecord | Minimum Track Record Length |
Modigliani | Modigliani-Modigliani measure |
MSquared | M squared of the return distribution |
MSquaredExcess | M squared excess of the return distribution |
NetSelectivity | Net selectivity of the return distribution |
Omega | calculate Omega for a return series |
OmegaExcessReturn | Omega excess return of the return distribution |
OmegaExessReturn | 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 | Econometric tools for performance and risk analysis. |
portfolio_bacon | Bacon(2008) Data |
prices | Selected Price Series Example Data |
ProbSharpeRatio | Probabilistic Sharpe Ratio |
ProspectRatio | Prospect ratio of the return distribution |
RachevRatio | Standard Error Estimate for Rachev Ratio of Returns |
replaceTabs | Display text information in a graphics plot. |
replaceTabs.inner | Display text information in a graphics plot. |
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 | 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.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.Geltner | calculate Geltner liquidity-adjusted return series |
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.rebalancing | Calculate weighted returns for a portfolio of assets |
Return.relative | calculate the relative return of one asset to another |
RPESE.control | Controls Function for the Computation of Standard Errors for Risk and Performance estimators |
sd.annualized | calculate a multiperiod or annualized Standard Deviation |
sd.multiperiod | calculate a multiperiod or annualized Standard Deviation |
Selectivity | Selectivity of the return distribution |
SemiDeviation | downside risk (deviation, variance) of the return distribution |
SemiSD | downside risk (deviation, variance) of the return distribution |
SemiVariance | downside risk (deviation, variance) of the return distribution |
SFM.alpha | calculate single factor model (CAPM) alpha |
SFM.beta | calculate single factor model (CAPM) beta |
SFM.CML | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
SFM.CML.slope | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
SFM.dynamic | Time-varying conditional single factor model beta |
SFM.epsilon | Regression epsilon of the return distribution |
SFM.jensenAlpha | Jensen's alpha of the return distribution |
SFM.RiskPremium | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
SFM.SML.slope | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
SFM.utils | utility functions for single factor (CAPM) CML, SML, and RiskPremium |
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 |
ShrinkageMoments | Functions for calculating shrinkage-based comoments of financial time series |
skewness | Skewness |
Skewness-KurtosisRatio | Skewness-Kurtosis ratio of the return distribution |
SkewnessKurtosisRatio | Skewness-Kurtosis ratio of the return 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 |
SpecificRisk | Specific risk of the return distribution |
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 Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the 'SharpeRatio'. |
StructuredMoments | Functions for calculating structured comoments of financial time series |
SystematicKurtosis | Functions to calculate systematic or beta co-moments of return series |
SystematicRisk | Systematic risk of the return distribution |
SystematicSkewness | Functions to calculate systematic or beta co-moments of return series |
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 | Single Factor 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.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.MonthlyReturns | Returns Summary: Statistics and Stylized Facts |
table.ProbOutPerformance | Outperformance Report of Asset vs Benchmark |
table.Returns | Monthly and Calendar year Return table |
table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |
table.SFM | Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts |
table.SpecificRisk | Specific risk 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 |
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 |
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 single factor model (CAPM) beta |
to.monthly.contributions | Aggregate contributions through time |
to.period.contributions | Aggregate contributions through time |
to.quarterly.contributions | Aggregate contributions through time |
to.weekly.contributions | Aggregate contributions through time |
to.yearly.contributions | Aggregate contributions through time |
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 |
UPR | calculate Upside Potential Ratio of upside performance over downside risk |
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.CornishFisher | calculate various Value at Risk (VaR) measures |
VolatilitySkewness | Volatility and variability of the return distribution |
weights | Selected Portfolio Weights Data |
zerofill | zerofill |