justcodebase/riskperf.jl

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

RiskPerf.jl

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.