R: Econometric Tools for Performance and Risk Analysis

# Econometric Tools for Performance and Risk Analysis

## Documentation for package ‘PerformanceAnalytics’ version 2.1.0

- DESCRIPTION file.
- User guides, package vignettes and other documentation.

## Help Pages

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

PerformanceAnalytics-package | Econometric tools for performance and risk analysis.

## -- A --

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.

## -- B --

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

## -- C --

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
CDaR.alpha | Conditional Drawdown alpha
CDaR.beta | Conditional Drawdown beta
CDD | Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
centeredcomoment | calculate centered moment/co-moment return matrices
centeredmoment | calculate centered moment/co-moment return matrices
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.SFM | Compare SFM estimated using robust estimators with that estimated by OLS
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.

## -- D --

derportm2 | Portfolio moments
derportm3 | Portfolio moments
derportm4 | Portfolio moments
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
DownsideSharpeRatio | Downside Sharpe Ratio
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.

## -- 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.
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

## -- F --

FamaBeta | Fama beta of the return distribution
findDrawdowns | Find the drawdowns and drawdown levels in a timeseries.
Frequency | Frequency of the return distribution

## -- H --

HurstIndex | calculate the Hurst Index The Hurst index can be used to measure whether returns are mean reverting, totally random, or persistent.

## -- I --

InformationRatio | InformationRatio = ActivePremium/TrackingError

## -- K --

Kappa | Kappa of the return distribution
KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy
kurtosis | Kurtosis

## -- L --

Level.calculate | Calculate appropriate cumulative return series or asset level using xts attribute information
lpm | calculate a lower partial moment for a time series

## -- M --

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.mat2vec | Helper function for comoment matrices
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
M3.vec2mat | Helper function for comoment matrices
M4.ewma | Functions for calculating EWMA comoments of financial time series
M4.mat2vec | Helper function for comoment matrices
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
M4.vec2mat | Helper function for comoment matrices
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
MM.NCE | Functions for calculating the nearest comoment estimator for financial time series
Modigliani | Modigliani-Modigliani measure
MSquared | M squared of the return distribution
MSquaredExcess | M squared excess of the return distribution

## -- N --

NCE | Functions for calculating the nearest comoment estimator for financial time series
NetSelectivity | Net selectivity of the return distribution

## -- O --

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

## -- P --

PainIndex | Pain index of the return distribution
PainRatio | Pain ratio of the return distribution
PerformanceAnalytics | Econometric tools for performance and risk analysis.
portfolio-moments | Portfolio moments
portfolio_bacon | Bacon(2008) Data
portm2 | Portfolio moments
portm3 | Portfolio moments
portm4 | Portfolio moments
prices | Selected Price Series Example Data
ProbSharpeRatio | Probabilistic Sharpe Ratio
ProspectRatio | Prospect ratio of the return distribution

## -- R --

RachevRatio | Rachev Ratio
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 moment/co-moment return matrices
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

## -- S --

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.beta.bear | Calculate single factor model (CAPM) beta
SFM.beta.bull | 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.coefficients | Calculate single factor model alpha and beta coefficients
SFM.dynamic | Time-varying conditional single factor model beta
SFM.epsilon | Regression epsilon of the return distribution
SFM.fit.models | Compare SFM estimated using robust estimators with that estimated by OLS
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

## -- 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 | 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

## -- U --

UlcerIndex | calculate the Ulcer Index
unique-comoments | Helper function for comoment matrices
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

## -- V --

VaR | calculate various Value at Risk (VaR) measures
VaR.backtest | VaR Backtest
VaR.CornishFisher | calculate various Value at Risk (VaR) measures
VolatilitySkewness | Volatility and variability of the return distribution

## -- W --

weights | Selected Portfolio Weights Data

## -- Z --

zerofill | zerofill

## -- misc --

.coefficients | Wrapper for SFM's regression models.