# Econometric tools for performance and risk analysis.

## Documentation for package ‘PerformanceAnalytics’ version 1.0.4.4

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

## Help Pages

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
DownsidePotential | 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.
ETL | 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 | zerofill