Package ‘PerformanceAnalytics’ February 6, 2020 Type Package Title Econometric Tools for Performance and Risk Analysis Version 2.0.4 Date 2020-02-05 Description Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, this package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible. Imports methods, quadprog, zoo Depends R (>= 3.5.0), xts (>= 0.10.0) Suggests dygraphs, Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, tinytest, ggplot2, RColorBrewer, googleVis, plotly, gridExtra, ggpubr, RPESE, R.rsp, RobStatTM VignetteBuilder R.rsp License GPL-2 | GPL-3 Encoding UTF-8 LazyData true URL https://github.com/braverock/PerformanceAnalytics Copyright (c) 2004-2020 RoxygenNote 7.0.2 NeedsCompilation yes Author Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], 1 2 R topics documented: Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb] Maintainer Brian G. Peterson <[email protected]> Repository CRAN Date/Publication 2020-02-06 12:10:11 UTC R topics documented: PerformanceAnalytics-package . .5 ActiveReturn . 17 AdjustedSharpeRatio . 18 apply.fromstart . 19 apply.rolling . 20 AppraisalRatio . 21 AverageDrawdown . 23 AverageLength . 23 AverageRecovery . 24 BernardoLedoitRatio . 24 BetaCoMoments . 25 BurkeRatio . 27 CalmarRatio . 28 CAPM.alpha . 30 CAPM.beta . 31 CAPM.CML.slope . 33 CAPM.dynamic . 35 CAPM.epsilon . 37 CAPM.jensenAlpha . 38 CDD............................................. 39 chart.ACF . 40 chart.Bar . 41 chart.BarVaR . 42 chart.Boxplot . 45 chart.CaptureRatios . 47 chart.Correlation . 49 chart.CumReturns . 50 chart.Drawdown . 51 chart.ECDF . 52 chart.Events . 54 chart.Histogram . 55 chart.QQPlot . 58 chart.Regression . 62 R topics documented: 3 chart.RelativePerformance . 64 chart.RiskReturnScatter . 65 chart.RollingCorrelation . 68 chart.RollingMean . 69 chart.RollingPerformance . 70 chart.RollingQuantileRegression . 71 chart.Scatter . 73 chart.SnailTrail . 75 chart.StackedBar . 77 chart.TimeSeries . 80 chart.VaRSensitivity . 87 charts.PerformanceSummary . 89 charts.RollingPerformance . 91 checkData . 92 checkSeedValue . 93 clean.boudt . 94 CoMoments . 96 DownsideDeviation . 98 DownsideFrequency . 100 DRatio . 101 DrawdownDeviation . 102 DrawdownPeak . 103 Drawdowns . 103 edhec . 105 ETL............................................. 106 EWMAMoments . 111 FamaBeta . 112 Frequency . 113 HurstIndex . 114 InformationRatio . 115 Kappa . 116 KellyRatio . 117 kurtosis . 118 Level.calculate . 120 lpm ............................................. 121 M2Sortino . 122 managers . 123 MarketTiming . 124 MartinRatio . 126 maxDrawdown . 127 MCA ............................................ 128 mean.geometric . 130 MeanAbsoluteDeviation . 131 MinTrackRecord . 132 Modigliani . 134 MSquared . 135 MSquaredExcess . 136 NetSelectivity . 137 4 R topics documented: Omega............................................ 138 OmegaExcessReturn . 140 OmegaSharpeRatio . 141 PainIndex . 142 PainRatio . 143 portfolio_bacon . 144 prices . ..