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PerformanceAnalytics.jl

Build Status

Given the lack of packages that deal with financial analysis in Julia I have decided to translate the functionality of the PerformanceAnalytics package in R to Julia.

Since I took a long break from this and never published it a new package has emerged. This package is registered and implements many but not all the functions available here: PortfolioAnalytics.jl

List of all functions implemented:

Table of Contents

Asset Price and Return Functions

  • AssetPrice(ticker::String, from::TimeType, to::TimeType, freq::String; exchange_local_time=true)
    • Downloads prices using YFinance.jl
  • AssetReturn(x::AssetPrice)
  • AssetReturn(ticker::String, from::TimeType, to::TimeType, freq::String)
    • Downloads prices using YFinance.jl and converts them to returns

Return Calculation Functions

  • log_diff(x)
  • pct_change(x)
  • simple_diff(x)

Statistical Measures

Basic Measures

  • mean_arith(x)
  • mean_geo(returns::Vector{Float64})
  • mean_geo_log(returns::Vector{Float64})
  • stdvp(x)
  • stdvs(x)
  • varp(x)
  • vars(x)

Advanced Measures

  • skew(R, method="simple")
    • Methods: Population, Sample, Fisher
  • kurt(R, method="simple")
    • Methods: population, excess, sample, sampleexcess, fisher
  • covariance(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}; corrected::Bool=false)
    • Methods:
      • Normal (corrected=false, default)
      • Corrected (corrected=true)
  • coskew(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number})
  • cokurt(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number})
  • hurstindex(R::AbstractArray{<:Number})

Risk Measures

Drawdown Measures

  • drawdown(x::AbstractArray{<:Number})
  • drawdownpeak(x::AbstractArray{<:Number})
  • drawdown_table(x::AbstractArray{<:Number}, dates::AbstractArray{<:TimeType})
  • avgdrawdown(x::AbstractArray{<:Number})
  • maxdrawdown(x::AbstractArray{<:Number})

Downside Risk Measures

  • downsidedeviation(R::AbstractArray{<:Number}, MAR::Number = 0)
  • downsidepotential(R::AbstractArray{<:Number}, MAR::Number=0)
  • semideviation(R::AbstractArray{<:Number})
  • semivariance(R::AbstractArray{<:Number})

Value at Risk and Expected Shortfall

  • valueatrisk(R::AbstractArray{<:Number}, p::Number, method::AbstractString="gaussian")
    • Methods: gaussian, historical, cornish_fisher
  • expectedshortfall(R::AbstractArray{<:Number}, p::Number, method::AbstractString="gaussian")
    • Methods: gaussian, historical, cornish_fisher

Other Risk Measures

  • painindex(R::AbstractArray{<:Number})

Performance Measures

Risk-Adjusted Return Measures

  • sharperatio(R::Number, σ::Number, Rf::Number=0.; scale=1)
  • sharperatio(R::AbstractArray{<:Number}, Rf::Number=0.; scale)
  • adjustedsharpe(R::AbstractArray{<:Number}, Rf::Number=0.; method::AbstractString="population")
  • adjustedsharpe(R::Number, σ::Number, S::Number, K::Number, Rf::Number=0.)
  • treynorratio(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, Rf::Number=0; modified::Bool=false, scale=1)
  • informationratio(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, scale::Number=1)
  • appraisalratio(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, Rf::Number=0, method::AbstractString = "appraisal", scale::Number=1)
    • Methods:
      • "appraisal" (default)
      • "modified"
      • "alternative"

Drawdown-based Performance Measures

  • calmarratio(R::AbstractArray{<:Number}, scale::Float64=1.)
  • burkeratio(R::AbstractArray{<:Number}; Rf::Float64 = 0., modified::Bool = false, scale::Number=1)
  • burkeratio(Ra::AbstractArray{<:Number}, Drawdowns::AbstractArray{<:Number}; Rf::Number=0., scale=1)

Relative Performance Measures

  • activepremium(Ra::Number, Rb::Number; scalea=1, scaleb=1)
  • jensensalpha(Y::AbstractArray{<:Number}, X::AbstractArray{<:Number}...; scale::Number=1)
  • trackingerror(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, scale::Number=1)

Other Performance Measures

  • bernardoledoitratio(R::AbstractVector{<:Number})
  • kappa(R::AbstractArray{<:Number}, MAR::Number=0., k::Number=2)
    • Notable cases:
      • k=1: returns the Sharpe-Omega Ratio
      • k=2: returns the Sortino Ratio

Factor Analysis Functions

  • factor_alpha(Y::AbstractArray{<:Number}, X::AbstractArray{<:Number}...)
  • factor_loadings(Y::AbstractArray{<:Number}, X::AbstractArray{<:Number}...; intercept::Bool=true)
  • factor_regression(Y::AbstractArray{<:Number}, X::AbstractArray{<:Number}...; intercept::Bool=true)
  • factor_resid(Y::AbstractArray{<:Number}, X::AbstractArray{<:Number}...; intercept::Bool=true)

Risk Decomposition

  • specificrisk(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, Rf::Number=0)
  • systematicrisk(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, Rf::Number=0)
  • totalrisk(Ra::AbstractArray{<:Number}, Rb::AbstractArray{<:Number}, Rf::Number=0)

Utility Functions

  • roll_apply(data::AbstractVector{<:Number}...; fun::Function, window::Int, retain_length::Bool=false, fill_with = NaN, always_return::Bool=false)
  • to_annual_return(R::AssetReturn)
  • to_monthly_return(R::AssetReturn)
  • annualize(R::Number, scale::Float64=252)

A list of all functions and their definitions can be found in the documentation.