alloc_risk_measures | Any of 41 risk measures of a portfolio’s (or one series’) returns per period: dispersion (std, MAD, Gini, semi deviation, kurtosis, even moments), downside (lower partial moments), tail (VaR, CVaR, EVaR, RLVaR, tail Gini, worst realization, entropic, L-moments), ranges, and drawdowns of uncompounded or compounded cumulative returns. | |
alloc_brinson_attribution | Brinson-Fachler attribution of a portfolio’s excess return over a benchmark between two dates, per class: allocation effect (over- or under-weighting classes), selection effect (picking within classes), interaction and total excess return, with totals. | |
alloc_discrete_allocation | Converts target weights and a capital amount into whole numbers of shares at the latest prices (negative for shorts), spending leftover cash on extra shares where it fits. | |
alloc_risk_contribution | Euler risk decomposition of a portfolio for one of 37 risk measures: each asset’s marginal risk, risk contribution (they sum to the portfolio risk) and share, beside the equal-risk-contribution level risk / n, and optionally the sum per class. | |
alloc_factor_risk_contribution | Risk decomposition of a portfolio across factors for one of 37 risk measures: each factor’s risk contribution through the portfolio’s factor exposures, plus the residual (Others), with shares. | |
alloc_return_distribution | Histogram of the portfolio’s period returns with the risk measures drawn as return levels (mean, mean minus std/MAD/Gini, -VaR, -CVaR, -tail Gini, -EVaR, -RLVaR, worst realization) and the range measures (VaR, CVaR, tail Gini, EVaR, RLVaR ranges and the full range) with their loss end, gain end and width. | |
alloc_drawdown | The portfolio’s cumulative value (compounded and uncompounded) and its drawdown path, with the maximum drawdown’s peak, trough and recovery, and every drawdown measure: maximum and average drawdown, DaR, CDaR, EDaR, RLDaR and ulcer index, on uncompounded (absolute) and compounded (relative) cumulative returns. | |
alloc_compare_portfolios | Cumulative value of several fixed-weight portfolios (rebalanced each period) over the same history, side by side, with each one’s total return, annualised return and volatility, return/volatility and maximum drawdown. | |
alloc_risk_table | The risk report of a portfolio (or one series): mean return and CAGR; standard deviation, MAD, semi deviation, first and second lower partial moments, VaR, CVaR, EVaR, tail Gini, RLVaR and worst realization, annualised, each with its (return - MAR) / risk ratio; skewness and excess kurtosis; and the ulcer index, average drawdown, DaR, CDaR, EDaR, RLDaR and maximum drawdown of uncompounded cumulative returns. | |
