Functions to calculate systematic or beta co-moments of return series
utility functions for CAPM CML, SML, and RiskPremium
calculate a Calmar or Sterling reward/risk ratio
Functions for calculating comoments of financial time series
downside risk (deviation, variance) of the return distribution
calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
calculate Kelly criterion ratio (leverage or bet size) for a strategy
internal functions for setting useful defaults for graphs
Econometric tools for performance and risk analysis.
calculate Geltner liquidity-adjusted return series
calculate an annualized return for comparing instruments with different length history
calculate simple or compound returns from prices
clean returns in a time series to to provide more robust risk estimates
calculate a compounded (geometric) cumulative return
Calculates the returns of an asset in excess of the given risk free rate
Calculates weighted returns for a portfolio of assets
Read returns data with different date formats
calculate the relative return of one asset to another
calculate a modified Sharpe Ratio of Return over VaR or ES
calculate Normalized Getmansky Smoothing Index
calculate Sortino Ratio of performance over downside risk
calculate a multiperiod or annualized Standard Deviation
calculate and display effective style weights
Calculate Tracking Error of returns against a benchmark
calculate Treynor Ratio of excess return over CAPM beta
calculate metrics on up and down markets for the benchmark asset
calculate Upside Potential Ratio of upside performance over downside risk
calculate various Value at Risk (VaR) measures
calculate a function over an expanding window always starting from the beginning of the series
calculate a function over a rolling window
Create ACF chart or ACF with PACF two-panel chart
Periodic returns in a bar chart with risk metric overlay
Chart of Capture Ratios against a benchmark
Cumulates and graphs a set of periodic returns
Time series chart of drawdowns through time
Create an ECDF overlaid with a Normal CDF
Plots a time series with event dates aligned
Takes a set of returns and relates them to a market benchmark in a scatterplot
relative performance chart between multiple return series
scatter chart of returns vs risk for comparing multiple instruments
chart rolling correlation fo multiple assets
wrapper to create a chart of rolling performance metrics in a line chart
A wrapper to create charts of relative regression performance through time
wrapper to draw scatter plot with sensible defaults
chart risk versus return over rolling time periods
Creates a time series chart with some extensions.
show the sensitivity of Value-at-Risk estimates
Create combined wealth index, period performance, and drawdown chart
check input data type and format and coerce to the desired output type
clean extreme observations in a time series to to provide more robust risk estimates
Find the drawdowns and drawdown levels in a timeseries.
Hypothetical Alternative Asset Manager and Benchmark Data
caclulate the maximum drawdown from peak equity
calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
order list of drawdowns from worst to best
Annualized Returns Summary: Statistics and Stylized Facts
wrapper function for combining arbitrary function list into a table
table for calculating the first six autocorrelation coefficients and significance
Asset-Pricing Model Summary: Statistics and Stylized Facts
Calculate and display a table of capture ratio and related statistics
calculate correlalations of multicolumn data
Downside Risk Summary: Statistics and Stylized Facts
Worst Drawdowns Summary: Statistics and Stylized Facts
Higher Moments Summary: Statistics and Stylized Facts
Returns Summary: Statistics and Stylized Facts
Rolling Periods Summary: Statistics and Stylized Facts
Display text information in a graphics plot.