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conditional single factor model beta", "topics": [ "CAPM.dynamic", "SFM.dynamic" ] }, { "page": "CAPM.epsilon", "title": "Regression epsilon of the return distribution", "topics": [ "CAPM.epsilon", "SFM.epsilon" ] }, { "page": "CAPM.jensenAlpha", "title": "Jensen's alpha of the return distribution", "topics": [ "CAPM.jensenAlpha", "SFM.jensenAlpha" ] }, { "page": "CDaR.alpha", "title": "Conditional Drawdown alpha", "topics": [ "CDaR.alpha" ] }, { "page": "CDaR.beta", "title": "Conditional Drawdown beta", "topics": [ "CDaR.beta" ] }, { "page": "CDD", "title": "Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure", "topics": [ "CDaR", "CDD" ] }, { "page": "chart.ACF", "title": "Create ACF chart or ACF with PACF two-panel chart", "topics": [ "chart.ACF", "chart.ACFplus" ] }, { "page": "chart.Bar", "title": "wrapper for barchart of returns", "topics": [ "chart.Bar", "charts.Bar" ] }, { "page": "chart.BarVaR", "title": "Periodic returns in a bar chart with risk metric overlay", "topics": [ "chart.BarVaR", "charts.BarVaR" ] }, { "page": "chart.Boxplot", "title": "box whiskers plot wrapper", "topics": [ "chart.Boxplot" ] }, { "page": "chart.CaptureRatios", "title": "Chart of Capture Ratios against a benchmark", "topics": [ "chart.CaptureRatios" ] }, { "page": "chart.Correlation", "title": "correlation matrix chart", "topics": [ "chart.Correlation" ] }, { "page": "chart.CumReturns", "title": "Cumulates and graphs a set of periodic returns", "topics": [ "chart.CumReturns" ] }, { "page": "chart.Drawdown", "title": "Time series chart of drawdowns through time", "topics": [ "chart.Drawdown" ] }, { "page": "chart.ECDF", "title": "Create an ECDF overlaid with a Normal CDF", "topics": [ "chart.ECDF" ] }, { "page": "chart.Events", "title": "Plots a time series with event dates aligned", "topics": [ "chart.Events" ] }, { "page": "chart.Histogram", "title": "histogram of returns", "topics": [ "chart.Histogram" ] }, { "page": "chart.QQPlot", "title": "Plot a QQ chart", "topics": [ "chart.QQPlot" ] }, { "page": "chart.Regression", "title": "Takes a set of returns and relates them to a market benchmark in a scatterplot", "topics": [ "chart.Regression" ] }, { "page": "chart.RelativePerformance", "title": "relative performance chart between multiple return series", "topics": [ "chart.RelativePerformance" ] }, { "page": "chart.RiskReturnScatter", "title": "scatter chart of returns vs risk for comparing multiple instruments", "topics": [ "chart.RiskReturnScatter" ] }, { "page": "chart.RollingCorrelation", "title": "chart rolling correlation fo multiple assets", "topics": [ "chart.RollingCorrelation" ] }, { "page": "chart.RollingMean", "title": "chart the rolling mean return", "topics": [ "chart.RollingMean" ] }, { "page": "chart.RollingPerformance", "title": "wrapper to create a chart of rolling performance metrics in a line chart", "topics": [ "chart.RollingPerformance" ] }, { "page": "chart.RollingRegression", "title": "A wrapper to create charts of relative regression performance through time", "topics": [ "chart.RollingQuantileRegression", "chart.RollingRegression", "charts.RollingRegression" ] }, { "page": "chart.Scatter", "title": "wrapper to draw scatter plot with sensible defaults", "topics": [ "chart.Scatter" ] }, { "page": "chart.SFM", "title": "Compare SFM estimated using robust estimators with that estimated by OLS", "topics": [ "chart.SFM" ] }, { "page": "chart.SnailTrail", "title": "chart risk versus return over rolling time periods", "topics": [ "chart.SnailTrail" ] }, { "page": "chart.StackedBar", "title": "create a stacked bar plot", "topics": [ "chart.StackedBar" ] }, { "page": "chart.TimeSeries", "title": "Creates a time series chart with some extensions.", "topics": [ "chart.TimeSeries", "chart.TimeSeries.base", "chart.TimeSeries.builtin", "chart.TimeSeries.dygraph", "chart.TimeSeries.ggplot2", "chart.TimeSeries.googlevis", "chart.TimeSeries.plotly", "charts.TimeSeries" ] }, { "page": "chart.VaRSensitivity", "title": "show the sensitivity of Value-at-Risk or Expected Shortfall estimates", "topics": [ "chart.VaRSensitivity" ] }, { "page": "charts.PerformanceSummary", "title": "Create combined wealth index, period performance, and drawdown chart", "topics": [ "charts.PerformanceSummary" ] }, { "page": "charts.RollingPerformance", "title": "rolling performance chart", "topics": [ "charts.RollingPerformance" ] }, { "page": "checkData", "title": "check input data type and format and coerce to the desired output type", "topics": [ "checkData" ] }, { "page": "checkSeedValue", "title": "Check 'seedValue' to ensure it is compatible with coredata_content attribute of 'R' (an xts object)", "topics": [ "checkSeedValue" ] }, { "page": "clean.boudt", "title": "clean extreme observations in a time series to to provide more robust risk estimates", "topics": [ "clean.boudt" ] }, { "page": "CoMoments", "title": "Functions for calculating comoments of financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "CoKurtosis", "CoKurtosisMatrix", "CoMoments", "CoSkewness", "CoSkewnessMatrix", "CoVariance", "M3.MM", "M4.MM" ] }, { "page": "DownsideDeviation", "title": "downside risk (deviation, variance) of the return distribution", "topics": [ "DownsideDeviation", "DownsidePotential", "SemiDeviation", "SemiSD", "SemiVariance" ] }, { "page": "DownsideFrequency", "title": "downside frequency of the return distribution", "topics": [ "DownsideFrequency" ] }, { "page": "DownsideSharpeRatio", "title": "Downside Sharpe Ratio", "topics": [ "DownsideSharpeRatio" ] }, { "page": "DRatio", "title": "d ratio of the return distribution", "topics": [ "DRatio" ] }, { "page": "DrawdownDeviation", "title": "Calculates a standard deviation-type statistic using individual drawdowns.", "topics": [ "DrawdownDeviation" ] }, { "page": "DrawdownPeak", "title": "Drawdawn peak of the return distribution", "topics": [ "DrawdownPeak" ] }, { "page": "findDrawdowns", "title": "Find the drawdowns and drawdown levels in a timeseries.", "topics": [ "Drawdowns", "findDrawdowns" ] }, { "page": "edhec", "title": "EDHEC-Risk Hedge Fund Style Indices", "topics": [ "edhec" ] }, { "page": "ES", "title": "calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.", "topics": [ "CVaR", "ES", "ETL" ] }, { "page": "EWMAMoments", "title": "Functions for calculating EWMA comoments of financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "EWMAMoments", "M2.ewma", "M3.ewma", "M4.ewma" ] }, { "page": "FamaBeta", "title": "Fama beta of the return distribution", "topics": [ "FamaBeta" ] }, { "page": "Frequency", "title": "Frequency of the return distribution", "topics": [ "Frequency" ] }, { "page": "HurstIndex", "title": "calculate the Hurst Index The Hurst index can be used to measure whether returns are mean reverting, totally random, or persistent.", "topics": [ "HurstIndex" ] }, { "page": "InformationRatio", "title": "InformationRatio = ActivePremium/TrackingError", "topics": [ "InformationRatio" ] }, { "page": "Kappa", "title": "Kappa of the return distribution", "topics": [ "Kappa" ] }, { "page": "KellyRatio", "title": "calculate Kelly criterion ratio (leverage or bet size) for a strategy", "topics": [ "KellyRatio" ] }, { "page": "kurtosis", "title": "Kurtosis", "topics": [ "kurtosis" ] }, { "page": "Level.calculate", "title": "Calculate appropriate cumulative return series or asset level using xts attribute information", "topics": [ "Level.calculate" ] }, { "page": "lpm", "title": "calculate a lower partial moment for a time series", "topics": [ "lpm" ] }, { "page": "M2Sortino", "title": "M squared for Sortino of the return distribution", "topics": [ "M2Sortino" ] }, { "page": "managers", "title": "Hypothetical Alternative Asset Manager and Benchmark Data", "topics": [ "managers" ] }, { "page": "MarketTiming", "title": "Market timing models", "topics": [ "MarketTiming" ] }, { "page": "MartinRatio", "title": "Martin ratio of the return distribution", "topics": [ "MartinRatio" ] }, { "page": "maxDrawdown", "title": "caclulate the maximum drawdown from peak equity", "topics": [ "maxDrawdown" ] }, { "page": "MCA", "title": "Functions for doing Moment Component Analysis (MCA) of financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "M3.MCA", "M4.MCA", "MCA" ] }, { "page": "mean.geometric", "title": "calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL", "topics": [ "mean.arithmetic", "mean.geometric", "mean.LCL", "mean.stderr", "mean.UCL", "mean.utils" ] }, { "page": "MeanAbsoluteDeviation", "title": "Mean absolute deviation of the return distribution", "topics": [ "MeanAbsoluteDeviation" ] }, { "page": "MinTrackRecord", "title": "Minimum Track Record Length", "topics": [ "MinTrackRecord" ] }, { "page": "Modigliani", "title": "Modigliani-Modigliani measure", "topics": [ "Modigliani" ] }, { "page": "MSquared", "title": "M squared of the return distribution", "topics": [ "MSquared" ] }, { "page": "MSquaredExcess", "title": "M squared excess of the return distribution", "topics": [ "MSquaredExcess" ] }, { "page": "NCE", "title": "Functions for calculating the nearest comoment estimator for financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "MM.NCE", "NCE" ] }, { "page": "NetSelectivity", "title": "Net selectivity of the return distribution", "topics": [ "NetSelectivity" ] }, { "page": "Omega", "title": "calculate Omega for a return series", "topics": [ "Omega" ] }, { "page": "OmegaExcessReturn", "title": "Omega excess return of the return distribution", "topics": [ "OmegaExcessReturn", "OmegaExessReturn" ] }, { "page": "OmegaSharpeRatio", "title": "Omega-Sharpe ratio of the return distribution", "topics": [ "OmegaSharpeRatio" ] }, { "page": "PainIndex", "title": "Pain index of the return distribution", "topics": [ "PainIndex" ] }, { "page": "PainRatio", "title": "Pain ratio of the return distribution", "topics": [ "PainRatio" ] }, { "page": "portfolio_bacon", "title": "Bacon(2008) Data", "topics": [ "portfolio_bacon" ] }, { "page": "portfolio-moments", "title": "Portfolio moments", "concept": [ "co-moments", "moments" ], "topics": [ "derportm2", "derportm3", "derportm4", "portfolio-moments", "portm2", "portm3", "portm4" ] }, { "page": "prices", "title": "Selected Price Series Example Data", "topics": [ "prices" ] }, { "page": "ProbSharpeRatio", "title": "Probabilistic Sharpe Ratio", "topics": [ "ProbSharpeRatio" ] }, { "page": "ProspectRatio", "title": "Prospect ratio of the return distribution", "topics": [ "ProspectRatio" ] }, { "page": "RachevRatio", "title": "Rachev Ratio", "topics": [ "RachevRatio" ] }, { "page": "textplot", "title": "Display text information in a graphics plot.", "topics": [ "replaceTabs", "replaceTabs.inner", "textplot", "textplot.character", "textplot.data.frame", "textplot.default", "textplot.matrix" ] }, { "page": "Return.annualized", "title": "calculate an annualized return for comparing instruments with different length history", "topics": [ "Return.annualized" ] }, { "page": "Return.annualized.excess", "title": "calculates an annualized excess return for comparing instruments with different length history", "topics": [ "Return.annualized.excess" ] }, { "page": "Return.calculate", "title": "calculate simple or compound returns from prices", "topics": [ "CalculateReturns", "Return.calculate" ] }, { "page": "centeredmoments", "title": "calculate centered moment/co-moment return matrices", "topics": [ "centeredcomoment", "centeredmoment", "Return.centered" ] }, { "page": "Return.clean", "title": "clean returns in a time series to to provide more robust risk estimates", "topics": [ "Return.clean" ] }, { "page": "Return.convert", "title": "Convert coredata content from one type of return to another", "topics": [ "Return.convert" ] }, { "page": "Return.cumulative", "title": "calculate a compounded (geometric) cumulative return", "topics": [ "Return.cumulative" ] }, { "page": "Return.excess", "title": "Calculates the returns of an asset in excess of the given risk free rate", "topics": [ "Return.excess" ] }, { "page": "Return.Geltner", "title": "calculate Geltner liquidity-adjusted return series", "topics": [ "Return.Geltner" ] }, { "page": "Return.locScaleRob", "title": "Robust Filter for Time Series Returns", "topics": [ "Return.locScaleRob" ] }, { "page": "Return.portfolio", "title": "Calculate weighted returns for a portfolio of assets", "topics": [ "Return.portfolio", "Return.rebalancing" ] }, { "page": "Return.read", "title": "Read returns data with different date formats", "topics": [ "Return.read" ] }, { "page": "Return.relative", "title": "calculate the relative return of one asset to another", "topics": [ "Return.relative" ] }, { "page": "RPESE.control", "title": "Controls Function for the Computation of Standard Errors for Risk and Performance estimators", "topics": [ "RPESE.control" ] }, { "page": "Selectivity", "title": "Selectivity of the return distribution", "topics": [ "Selectivity" ] }, { "page": "SFM.alpha", "title": "Calculate single factor model (CAPM) alpha", "topics": [ "CAPM.alpha", "SFM.alpha" ] }, { "page": "SFM.beta", "title": "Calculate single factor model (CAPM) beta", "topics": [ "CAPM.beta", "CAPM.beta.bear", "CAPM.beta.bull", "SFM.beta", "SFM.beta.bear", "SFM.beta.bull", "TimingRatio" ] }, { "page": "SFM.coefficients", "title": "Calculate single factor model alpha and beta coefficients", "topics": [ "SFM.coefficients" ] }, { "page": "SFM.fit.models", "title": "Compare SFM estimated using robust estimators with that estimated by OLS", "topics": [ "SFM.fit.models" ] }, { "page": "SharpeRatio", "title": "calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES", "topics": [ "SharpeRatio", "SharpeRatio.modified" ] }, { "page": "SharpeRatio.annualized", "title": "calculate annualized Sharpe Ratio", "topics": [ "SharpeRatio.annualized" ] }, { "page": "ShrinkageMoments", "title": "Functions for calculating shrinkage-based comoments of financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "M2.shrink", "M3.shrink", "M4.shrink", "ShrinkageMoments" ] }, { "page": "skewness", "title": "Skewness", "topics": [ "skewness" ] }, { "page": "SkewnessKurtosisRatio", "title": "Skewness-Kurtosis ratio of the return distribution", "topics": [ "Skewness-KurtosisRatio", "SkewnessKurtosisRatio" ] }, { "page": "SmoothingIndex", "title": "calculate Normalized Getmansky Smoothing Index", "topics": [ "SmoothingIndex" ] }, { "page": "sortDrawdowns", "title": "order list of drawdowns from worst to best", "topics": [ "sortDrawdowns" ] }, { "page": "SortinoRatio", "title": "calculate Sortino Ratio of performance over downside risk", "topics": [ "SortinoRatio" ] }, { "page": "SpecificRisk", "title": "Specific risk of the return distribution", "topics": [ "SpecificRisk" ] }, { "page": "StdDev", "title": "calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio", "topics": [ "StdDev" ] }, { "page": "StdDev.annualized", "title": "calculate a multiperiod or annualized Standard Deviation", "topics": [ "sd.annualized", "sd.multiperiod", "StdDev.annualized" ] }, { "page": "StructuredMoments", "title": "Functions for calculating structured comoments of financial time series", "concept": [ "co-moments", "moments" ], "topics": [ "M2.struct", "M3.struct", "M4.struct", "StructuredMoments" ] }, { "page": "SystematicRisk", "title": "Systematic risk of the return distribution", "topics": [ "SystematicRisk" ] }, { "page": "table.AnnualizedReturns", "title": "Annualized Returns Summary: Statistics and Stylized Facts", "topics": [ "table.AnnualizedReturns" ] }, { "page": "table.Arbitrary", "title": "wrapper function for combining arbitrary function list into a table", "topics": [ "statsTable", "table.Arbitrary" ] }, { "page": "table.Autocorrelation", "title": "table for calculating the first six autocorrelation coefficients and significance", "topics": [ "table.Autocorrelation" ] }, { "page": "table.CalendarReturns", "title": "Monthly and Calendar year Return table", "topics": [ "table.CalendarReturns", "table.Returns" ] }, { "page": "table.CaptureRatios", "title": "Calculate and display a table of capture ratio and related statistics", "topics": [ "table.CaptureRatios", "table.UpDownRatios" ] }, { "page": "table.Correlation", "title": "calculate correlalations of multicolumn data", "topics": [ "table.Correlation" ] }, { "page": "table.Distributions", "title": "Distributions Summary: Statistics and Stylized Facts", "topics": [ "table.Distributions" ] }, { "page": "table.DownsideRisk", "title": "Downside Risk Summary: Statistics and Stylized Facts", "topics": [ "table.DownsideRisk" ] }, { "page": "table.DownsideRiskRatio", "title": "Downside Summary: Statistics and ratios", "topics": [ "table.DownsideRiskRatio" ] }, { "page": "table.Drawdowns", "title": "Worst Drawdowns Summary: Statistics and Stylized Facts", "topics": [ "table.Drawdowns" ] }, { "page": "table.DrawdownsRatio", "title": "Drawdowns Summary: Statistics and ratios", "topics": [ "table.DrawdownsRatio" ] }, { "page": "table.HigherMoments", "title": "Higher Moments Summary: Statistics and Stylized Facts", "topics": [ "table.HigherMoments" ] }, { "page": "table.InformationRatio", "title": "Information ratio Summary: Statistics and Stylized Facts", "topics": [ "table.InformationRatio" ] }, { "page": "table.ProbOutPerformance", "title": "Outperformance Report of Asset vs Benchmark", "topics": [ "table.ProbOutPerformance" ] }, { "page": "table.RollingPeriods", "title": "Rolling Periods Summary: Statistics and Stylized Facts", "topics": [ "table.RollingPeriods", "table.TrailingPeriods", "table.TrailingPeriodsRel" ] }, { "page": "table.CAPM", "title": "Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts", "topics": [ "table.CAPM", "table.SFM" ] }, { "page": "table.SpecificRisk", "title": "Specific risk Summary: Statistics and Stylized Facts", "topics": [ "table.SpecificRisk" ] }, { "page": "table.MonthlyReturns", "title": "Returns Summary: Statistics and Stylized Facts", "topics": [ "table.MonthlyReturns", "table.Stats" ] }, { "page": "table.Variability", "title": "Variability Summary: Statistics and Stylized Facts", "topics": [ "table.Variability" ] }, { "page": "test_returns", "title": "Sample sector returns for use by unit tests", "topics": [ "test_returns" ] }, { "page": "test_weights", "title": "Sample sector weights for use by unit tests", "topics": [ "test_weights" ] }, { "page": "to.period.contributions", "title": "Aggregate contributions through time", "topics": [ "to.monthly.contributions", "to.period.contributions", "to.quarterly.contributions", "to.weekly.contributions", "to.yearly.contributions" ] }, { "page": "TotalRisk", "title": "Total risk of the return distribution", "topics": [ "TotalRisk" ] }, { "page": "TrackingError", "title": "Calculate Tracking Error of returns against a benchmark", "topics": [ "TrackingError" ] }, { "page": "TreynorRatio", "title": "calculate Treynor Ratio or modified Treynor Ratio of excess return over CAPM beta", "topics": [ "TreynorRatio" ] }, { "page": "UlcerIndex", "title": "calculate the Ulcer Index", "topics": [ "UlcerIndex" ] }, { "page": "unique-comoments", "title": "Helper function for comoment matrices", "concept": [ "co-moments", "moments" ], "topics": [ "M3.mat2vec", "M3.vec2mat", "M4.mat2vec", "M4.vec2mat", "unique-comoments" ] }, { "page": "UpDownRatios", "title": "calculate metrics on up and down markets for the benchmark asset", "topics": [ "UpDownRatios" ] }, { "page": "UpsideFrequency", "title": "upside frequency of the return distribution", "topics": [ "UpsideFrequency" ] }, { "page": "UpsidePotentialRatio", "title": "calculate Upside Potential Ratio of upside performance over downside risk", "topics": [ "UPR", "UpsidePotentialRatio" ] }, { "page": "UpsideRisk", "title": "upside risk, variance and potential of the return distribution", "topics": [ "UpsideRisk" ] }, { "page": "VaR", "title": "calculate various Value at Risk (VaR) measures", "topics": [ "VaR", "VaR.CornishFisher" ] }, { "page": "VaR.backtest", "title": "VaR Backtest", "topics": [ "VaR.backtest" ] }, { "page": "VolatilitySkewness", "title": "Volatility and variability of the return distribution", "topics": [ "VolatilitySkewness" ] }, { "page": "weights", "title": "Selected Portfolio Weights Data", "topics": [ "weights" ] }, { "page": "zerofill", "title": "zerofill", "topics": [ "zerofill" ] } ], "_readme": "https://github.com/braverock/performanceanalytics/raw/HEAD/README.md", "_rundeps": [ "lattice", "quadprog", "xts", "zoo" ], 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