The PerformanceAnalytics Package July 10, 2007 Type Package Title Econometric tools for performance and risk analysis. Version 0.9.5 Date 2007-06-29 Author Peter Carl, Brian G. Peterson Maintainer Brian G. Peterson <[email protected]> Description Library of econometric functions for performance and risk analysis. This library aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, this library is most tested on return (rather than price) data on a monthly scale, but most functions will work with daily or irregular return data as well. Depends R (>= 2.4.0), fExtremes, fPortfolio, quadprog, tseries, Hmisc License GPL URL http://braverock.com/R/ R topics documented: ActivePremium . 3 BetaCoKurtosis . 4 BetaCoSkewness . 5 BetaCoVariance . 6 CAPM.alpha . 8 CAPM.beta . 9 CAPM.utils . 11 CalculateReturns . 13 CalmarRatio . 14 CoKurtosis . 15 CoSkewness . 16 DownsideDeviation . 17 InformationRatio . 19 1 2 R topics documented: KellyRatio . 20 Omega............................................ 21 PerformanceAnalytics-internal . 23 PerformanceAnalytics-package . 25 Return.annualized . 35 Return.cumulative . 36 Return.excess . 37 SemiDeviation . 39 SharpeRatio . 40 SharpeRatio.annualized . 41 SharpeRatio.modified . 43 SortinoRatio . 44 sd.multiperiod . 46 TrackingError . 47 TreynorRatio . 48 UpDownRatios . 50 UpsidePotentialRatio . 51 VaR.Beyond . 53 VaR.CornishFisher . 54 VaR.Marginal . 57 apply.fromstart . 58 apply.rolling . 59 chart.Bar . 60 chart.BarVaR . 61 chart.Boxplot . 63 chart.Correlation . 64 chart.Correlation.color . 65 chart.CumReturns . 66 chart.Drawdown . 67 chart.Histogram . 68 chart.QQPlot . 70 chart.RegressionDiagnostics . 71 chart.RelativePerformance . 72 chart.RiskReturnScatter . 73 chart.RollingCorrelation . 75 chart.RollingMean . 76 chart.RollingPerformance . 77 chart.RollingRegression . 79 chart.Scatter . 81 chart.TimeSeries . 82 charts.PerformanceSummary . 84 charts.RollingPerformance . 86 checkData . 87 cum.utils . 88 download.RiskFree . 89 download.SP500PriceReturns . 90 edhec . 91 findDrawdowns . 92 ActivePremium 3 managers . 93 maxDrawdown . 94 mean.utils . 95 moment.fourth . 96 moment.third . 97 rollingCorrelation . 98 rollingFunction . 99 rollingRegression . 101 rollingStat . 102 sortDrawdowns . 103 statsTable . 104 table.AnnualizedReturns . 105 table.CAPM . 106 table.Correlation . 108 table.DownsideRisk . 109 table.Drawdowns . 110 table.HigherMoments . 111 table.MonthlyReturns . 113 table.Returns . 114 table.RollingPeriods . 115 Index 117 ActivePremium Active Premium Description The return on an investment’s annualized return minus the benchmark’s annualized return. Active Premium = Investment’s annualized return - Benchmark’s annualized return Usage ActivePremium(Ra, Rb, scale = 12) Arguments Ra return vector of the portfolio Rb return vector of the benchmark asset scale number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) Value ActivePremium (numeric) 4 BetaCoKurtosis Note Author(s) Peter Carl References Sharpe, W.F. The Sharpe Ratio,Journal of Portfolio Management,Fall 1994, 49-58. See Also InformationRatio TrackingError Return.annualized Examples # First we load the data data(edhec) edhec.length = dim(edhec)[1] start = rownames(edhec[1,]) start end = rownames(edhec[edhec.length,]) edhec.zoo = zoo(edhec, order.by = rownames(edhec)) sp500.zoo = download.SP500PriceReturns(start = "1996-12-31", end = end) # Now we have to align it as "monthly" data time(edhec.zoo) = as.yearmon(time(edhec.zoo)) time(sp500.zoo) = as.yearmon(time(sp500.zoo)) data.zoo = merge(edhec.zoo[,9,drop=FALSE],sp500.zoo) time(data.zoo) = as.Date(time(data.zoo),format="%b %Y") ActivePremium(data.zoo[, 1, drop=FALSE], data.zoo[, 2, drop=FALSE]) BetaCoKurtosis systematic kurtosis of an asset to the initial portfolio Description Beta CoKurtosis is the beta of an asset to the kurtosis of an initial portfolio. Used to determine diversification potential. Also called "systematic kurtosis" or "systematic cokurtosis" by several papers. Usage BetaCoKurtosis( Ra, Ri, na.rm = FALSE, method = c("moment", "excess", "fisher")) BetaCoSkewness 5 Arguments Ra return vector of asset being considered for addition to portfolio Ri return vector of initial portfolio na.rm TRUE/FALSE Remove NA’s from the returns? method method to use when computing kurtosis one of: excess, moment, fisher Details CoK P((R − R¯ )(R − R¯ )3) K =.