[R-SIG-Finance] PerformanceAnalytics package: modern econometrics for performance and risk (implemented)
Brian G. Peterson
brian at braverock.com
Mon Mar 5 17:24:29 CET 2007
PerformanceAnalytics R package for Performance and Risk Analysis
We are pleased to release for the use and review of our peers and mentors
this R package of econometric tools for performance and risk analysis.
We are soliciting feedback on the PerformanceAnalytics package on
R-SIG-Finance in preparation for releasing this package to CRAN and
submission to one of the implementation journals. We believe that the
code here is stable and usable, please report any problems that you
encounter. We intend to continue adding documentation and examples
during this review period as well, so please suggest refinements,
examples, or references. We intend to write a vignette that can include
inline equations, code, and graphics as part of the publication process,
but that may not be completed before the first release to CRAN.
PerformanceAnalytics R package version 0.9.3 (v1.0rc1)
Econometric tools for performance and risk analysis.
Description:
Library of econometric functions for performance and risk analysis of
financial portfolios. This library aims to aid practitioners and
researchers in using the latest research in analysis of both normal and
non-normal return streams.
We created this library to include functionality that has been appearing
in the academic literature on performance analysis and risk over the past
several years, but had no functional equivalent in R. In doing so, we
also found it valuable to have wrapper functions for functionality easily
replicated in R, so that we could access that functionality using a
function with defaults and naming consistent with common usage in the
finance literature. The package covers Performance Analysis, Risk
Analysis (with a separate treatment of VaR), Summary Tables of related
statistics, Charts and Graphs, a variety of Wrappers and Utility
functions, and some thoughts on work yet to be done.
This R package contains over 80 original functions, and several
additional wrappers to simplify parameters or provide accessible names
for other functionality.
I suggest that you start with the summary documentation, either via the
attached PerformanceAnalytics-package.pdf
or as HTML with links here:
http://braverock.com/brian/R/PerformanceAnalytics-package.html
Below please find the index summary of all the functions included in the
documentation.
Regards,
- Brian
#########################################################################
PerformanceAnalytics package index:
ActivePremium Active Premium
BetaCoKurtosis systematic kurtosis of an asset to the initial
portfolio
BetaCoSkewness systematic skewness of an asset to an initial
portfolio
BetaCoVariance systematic beta of an asset to an initial
portfolio
CAPM.alpha calculate CAPM alpha
CAPM.beta calculate CAPM beta
CAPM.utils utility functions for CAPM CML, SML, and
RiskPremium
CalculateReturns calculate simple or compound returns from
prices
CoKurtosis calculate the co-moment for kurtosis of two
assets
CoSkewness calculate the co-moment for skewness of two
assets
DownsideDeviation function for downside risk of the return
distribution
InformationRatio InformationRatio = ActivePremium/TrackingError
KellyRatio calculate Kelly criterion ratio (leverage or
bet size) for a strategy
Omega calculate Omega for a return series
Return.annualized calculate an annualized return for comparing
instruments with different length history
Return.cumulative calculate a compounded (geometric) cumulative
return
SemiDeviation 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
SortinoRatio calculate Sortino Ratio of performance over
downside risk
StdDev Standard Deviation of Monthly Returns
StdDev.annualized calculate an annualized Standard Deviation
TrackingError Calculate Tracking Error of returns against a
benchmark
TreynorRatio calculate Treynor Ratio of excess return over
CAPM beta
UpDownRatios calculate metrics on up and down markets for
the benchmark asset
VaR.Beyond calculate BVaR or loss Beyond traditional
mean-VaR
VaR.CornishFisher calculate Modified Cornish-Fisher Value at Risk
VaR.Marginal Calculate the Marginal VaR of each element of a
portfolio
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.RegressionDiagnostics
multiple regression diagnostics charts in one
plot
charts.RollingPerformance
rolling performance chart
checkDataMatrix check input data type and format to normalize
to a vector
checkDataVector check input data type and format to normalize
to a vector
cummax.column wrapper to calculate cummax on all columns in a
matrix
cumprod.column wrapper to calculate cumprod on all columns in
a matrix
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
edhec EDHEC-Risk Hedge Fund Style Indices
findDrawdowns Find the drawdowns in a timeseries.
maxDrawdown caclulate the maximum drawdown from peak equity
mean.utils calculate attributes relative to the mean of
the return series given incl. stderr, LCL, UCL
moment.fourth calculate the fourth mathematical moment of the
return function
moment.third calculate the third mathematical moment of the
return function
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
sortDrawdowns order list of drawdowns from worst to best
statsTable wrapper function for combining arbitrary
function list into a table
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.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
#########################################################################
R (http://r-project.org/) Econometrics for Performance and Risk Analysis
Copyright (c) 2004-2007 Peter Carl and Brian G. Peterson
This library is distributed under the GNU Public License (GPL)
for full details see the file COPYING
#########################################################################
This package replaces, extends, and deprecates the work that we had
previously published here for review by this community:
https://stat.ethz.ch/pipermail/r-sig-finance/2006q3/000977.html
coskewness, cokurtosis, and higher beta co-moments of the return
distribution (implemented)
Brian G. Peterson Thu Aug 10 14:05:43 2006
https://stat.ethz.ch/pipermail/r-sig-finance/2006q4/001170.html
performance analytics functions missing from other libraries
(implemented) Brian G. Peterson Sat Dec 9 16:48:43 CET 2006
--
773-459-4973 mobile
http://braverock.com/brian/resume-quant.pdf
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