Quantitative risk and performance analysis package for financial time series powered by the Julia language.
MIT License
Quantitative risk and performance analysis package for financial time series powered by the Julia language.
Full documentation is available here.
simple_returns(prices::AbstractVector; drop_first=false, first_value=NaN)
simple_returns(prices::AbstractMatrix; drop_first=false, first_value=NaN)
log_returns(prices::AbstractVector; drop_first=false, first_value=NaN)
log_returns(prices::AbstractMatrix; drop_first=false, first_value=NaN)
volatility(returns; multiplier=1.0)
drawdowns(returns; geometric::Bool=false)
drawdowns_pnl(pnl)
expected_shortfall(returns, α, method::Symbol; multiplier=1.0)
information_ratio(asset_returns, benchmark_returns; multiplier=1.0)
jensen_alpha(asset_returns, benchmark_returns; risk_free=0.0)
modified_jensen(asset_returns, benchmark_returns; risk_free=0.0)
skewness(x; method::Symbol=:moment)
kurtosis(x; method::Symbol=:excess)
omega_ratio(returns, target_return)
relative_risk_contribution(weights, covariance_matrix)
sharpe_ratio(returns; multiplier=1.0, risk_free=0.0)
adjusted_sharpe_ratio(returns; multiplier=1.0, risk_free=0.0)
sortino_ratio(returns; multiplier=1.0, MAR=0.0)
tracking_error(asset_returns, benchmark_returns; multiplier=1.0)
treynor_ratio(asset_returns, benchmark_returns; multiplier=1.0, risk_free=0.0)
downside_deviation(returns, threshold; method::Symbol=:full)
upside_deviation(returns, threshold; method::Symbol=:full)
upside_potential_ratio(returns, threshold; method::Symbol=:partial)
value_at_risk(returns, α, method::Symbol; multiplier=1.0)
capm(asset_returns, benchmark_returns; risk_free=0.0)
lower_partial_moment(returns, threshold, n, method::Symbol)
higher_partial_moment(returns, threshold, n, method::Symbol)
Please report any issues via the GitHub issue tracker.
This package was inspired by the R package PerformanceAnalytics
of Peter Carl and Brian G. Peterson.