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. |
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 |
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 |