[R-SIG-Finance] PerformanceAnalytics R package for Performance and Risk Analysis (v0.9.4)
Brian G. Peterson
brian at braverock.com
Sun Apr 15 18:41:21 CEST 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.
This version, v0.9.4, is the second public release of the
PerformanceAnalytics package, and the first release to CRAN. This version
adds significantly to the documentation and examples over that included
with version 0.9.3. We have also added a few additional utility and
wrapper functions where we felt they would be of general utility.
PerformanceAnalytics R package version 0.9.4 (v1.0rc2)
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 or PDF with links here:
http://braverock.com/brian/R/PerformanceAnalytics-package.html
http://braverock.com/brian/R/PerformanceAnalytics-package.pdf
Below please find the index summary of all the functions included in the
documentation.
Regards,
- Brian
#########################################################################
PerformanceAnalytics package index:
-- 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 --
BetaCoK systematic kurtosis of an asset to the initial
portfolio
BetaCoKurtosis systematic kurtosis of an asset to the initial
portfolio
BetaCoS systematic skewness of an asset to an initial
portfolio
BetaCoSkewness systematic skewness of an asset to an initial
portfolio
BetaCoV systematic beta of an asset to an initial
portfolio
BetaCoVariance systematic beta of an asset to an initial
portfolio
-- C --
CalculateReturns calculate simple or compound returns from
prices
CAPM.alpha calculate CAPM alpha
CAPM.beta calculate CAPM beta
CAPM.CML 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
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.RollingPerformance rolling performance chart
charts.RollingRegression A wrapper to create charts of relative
regression performance through time
checkData check input data type and format to normalize
to desired output type
checkDataMatrix check input data type and format to normalize
checkDataVector check input data type and format to normalize
checkDataZoo check input data type and format to normalize
CoKurtosis calculate the co-moment for kurtosis of two
assets
CoSkewness calculate the co-moment for skewness of two
assets
cummax.column wrapper to calculate cummax on all columns
in a matrix
cumprod.column wrapper to calculate cumprod on all columns
in a matrix
-- D --
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
DownsideDeviation function for downside risk of the return
distribution
Drawdowns Find the drawdowns and drawdown levels in a
timeseries
-- E --
edhec EDHEC-Risk Hedge Fund Style Indices data
-- 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
-- M --
maxDrawdown caclulate the maximum drawdown from peak
equity
mean.utils calculate attributes relative to the mean of
the observation series given, including
geometric, stderr, LCL and UCL
modifiedVaR calculate various Value at Risk (VaR) measures
modSharpe calculate a modified Sharpe Ratio of
Return/modVaR
moment.fourth calculate the fourth mathematical moment of
the return function
moment.third calculate the third mathematical moment of the
return function
-- O --
Omega calculate Omega for a return series
-- P --
PerformanceAnalytics Econometric tools for performance and risk
analysis.
-- R --
Return.annualized calculate an annualized return for comparing
instruments with different length history
Return.cumulative calculate a compounded (geometric) cumulative
return
Return.excess Calculates the returns of an asset in excess
of the given risk free rate
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
-- S --
SemiDeviation deviation below the mean of the return
distribution
SemiVariance 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
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
std Standard Deviation of Monthly Returns
StdDev Standard Deviation of Monthly Returns
StdDev.annualized calculate an annualized Standard Deviation
SystematicBeta systematic beta of an asset to an initial
portfolio
SystematicKurtosis systematic kurtosis of an asset to the
initial portfolio
SystematicSkewness systematic skewness of an asset to an
initial portfolio
SystematicVariance systematic beta of an asset to an initial
portfolio
-- T --
table.AnnualizedReturns Annualized Returns Summary
table.CAPM Asset-Pricing Model Summary
table.Correlation calculate correlalations of multicolumn data
table.DownsideRisk Downside Risk Summary
table.Drawdowns Worst Drawdowns Summary
table.HigherMoments Higher Moments Summary
table.MonthlyReturns Monthly Returns Summary
table.Returns Monthly and Calendar year Return table
table.RollingPeriods Rolling Periods Summary
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
-- V --
VaR calculate various Value at Risk (VaR) measures
VaR.Beyond calculate BVaR or loss Beyond traditional
mean-VaR
VaR.CornishFisher calculate various Value at Risk (VaR) measures
VaR.Marginal Calculate the Marginal VaR of each element
of a portfolio
VaR.mean calculate various Value at Risk (VaR) measures
VaR.traditional calculate various Value at Risk (VaR) measures
#########################################################################
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
#########################################################################
for reference, the first release post may be found here:
https://stat.ethz.ch/pipermail/r-sig-finance/2007q1/001285.html
--
Brian G. Peterson
+1 773-459-4973 mobile
http://braverock.com/brian/resume-quant.pdf
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