Skip to content

Quantitative risk and performance analysis package for financial time series powered by the Julia language.

License

Notifications You must be signed in to change notification settings

rbeeli/RiskPerf.jl

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

26 Commits
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

Repository files navigation

RiskPerf.jl

License Maintenance Documentation

Quantitative risk and performance analysis package for financial time series powered by the Julia language.

Documentation

Full documentation is available here.

Functions

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)

Bug reports and feature requests

Please report any issues via the GitHub issue tracker.

Acknowledgements

This package was inspired by the R package PerformanceAnalytics of Peter Carl and Brian G. Peterson.