PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis
Version 1.4.4000

Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest research in analysis of non-normal return streams. In general, it is most tested on return (rather than price) data on a regular scale, but most functions will work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible.

AuthorBrian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb]
Date of publication2016-04-25 19:38:44
MaintainerBrian G. Peterson <brian@braverock.com>
LicenseGPL-2 | GPL-3
Version1.4.4000
URL http://r-forge.r-project.org/projects/returnanalytics/
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("PerformanceAnalytics", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

apply.rolling: calculate a function over a rolling window
BurkeRatio: Burke ratio of the return distribution
chart.RiskReturnScatter: scatter chart of returns vs risk for comparing multiple...
MarketTiming: Market timing models
Return.cumulative: calculate a compounded (geometric) cumulative return
SharpeRatio.annualized: calculate annualized Sharpe Ratio
TrackingError: Calculate Tracking Error of returns against a benchmark
See all...

All man pages Function index File listing

Man pages

ActivePremium: Active Premium or Active Return
AdjustedSharpeRatio: Adjusted Sharpe ratio of the return distribution
apply.fromstart: calculate a function over an expanding window always starting...
apply.rolling: calculate a function over a rolling window
AppraisalRatio: Appraisal ratio of the return distribution
AverageDrawdown: Calculates the average depth of the observed drawdowns.
AverageLength: Calculates the average length (in periods) of the observed...
AverageRecovery: Calculates the average length (in periods) of the observed...
BernardoLedoitRatio: Bernardo and Ledoit ratio of the return distribution
BetaCoMoments: Functions to calculate systematic or beta co-moments of...
BurkeRatio: Burke ratio of the return distribution
CalmarRatio: calculate a Calmar or Sterling reward/risk ratio Calmar and...
CAPM.alpha: calculate single factor model (CAPM) alpha
CAPM.beta: calculate single factor model (CAPM) beta
CAPM.dynamic: Time-varying conditional single factor model beta
CAPM.epsilon: Regression epsilon of the return distribution
CAPM.jensenAlpha: Jensen's alpha of the return distribution
CAPM.RiskPremium: utility functions for single factor (CAPM) CML, SML, and...
CDD: Calculate Uryasev's proposed Conditional Drawdown at Risk...
centeredmoments: calculate centered Returns
chart.ACF: Create ACF chart or ACF with PACF two-panel chart
chart.Bar: wrapper for barchart of returns
chart.BarVaR: Periodic returns in a bar chart with risk metric overlay
chart.Boxplot: box whiskers plot wrapper
chart.CaptureRatios: Chart of Capture Ratios against a benchmark
chart.Correlation: correlation matrix chart
chart.CumReturns: Cumulates and graphs a set of periodic returns
chart.Drawdown: Time series chart of drawdowns through time
chart.ECDF: Create an ECDF overlaid with a Normal CDF
chart.Events: Plots a time series with event dates aligned
chart.Histogram: histogram of returns
chart.QQPlot: Plot a QQ chart
chart.Regression: Takes a set of returns and relates them to a market benchmark...
chart.RelativePerformance: relative performance chart between multiple return series
chart.RiskReturnScatter: scatter chart of returns vs risk for comparing multiple...
chart.RollingCorrelation: chart rolling correlation fo multiple assets
chart.RollingMean: chart the rolling mean return
chart.RollingPerformance: wrapper to create a chart of rolling performance metrics in a...
chart.RollingRegression: A wrapper to create charts of relative regression performance...
chart.Scatter: wrapper to draw scatter plot with sensible defaults
chart.SnailTrail: chart risk versus return over rolling time periods
charts.PerformanceSummary: Create combined wealth index, period performance, and...
charts.RollingPerformance: rolling performance chart
chart.StackedBar: create a stacked bar plot
chart.TimeSeries: Creates a time series chart with some extensions.
chart.VaRSensitivity: show the sensitivity of Value-at-Risk or Expected Shortfall...
checkData: check input data type and format and coerce to the desired...
clean.boudt: clean extreme observations in a time series to to provide...
CoMoments: Functions for calculating comoments of financial time series
DownsideDeviation: downside risk (deviation, variance) of the return...
DownsideFrequency: downside frequency of the return distribution
DRatio: d ratio of the return distribution
DrawdownDeviation: Calculates a standard deviation-type statistic using...
DrawdownPeak: Drawdawn peak of the return distribution
edhec: EDHEC-Risk Hedge Fund Style Indices
ES: calculates Expected Shortfall(ES) (or Conditional...
FamaBeta: Fama beta of the return distribution
findDrawdowns: Find the drawdowns and drawdown levels in a timeseries.
Frequency: Frequency of the return distribution
HurstIndex: calculate the Hurst Index The Hurst index can be used to...
InformationRatio: InformationRatio = ActivePremium/TrackingError
Kappa: Kappa of the return distribution
KellyRatio: calculate Kelly criterion ratio (leverage or bet size) for a...
kurtosis: Kurtosis
legend: internal functions for setting useful defaults for graphs
lpm: calculate a lower partial moment for a time series
M2Sortino: M squared for Sortino of the return distribution
managers: Hypothetical Alternative Asset Manager and Benchmark Data
MarketTiming: Market timing models
MartinRatio: Martin ratio of the return distribution
maxDrawdown: caclulate the maximum drawdown from peak equity
MeanAbsoluteDeviation: Mean absolute deviation of the return distribution
mean.geometric: calculate attributes relative to the mean of the observation...
Modigliani: Modigliani-Modigliani measure
MSquared: M squared of the return distribution
MSquaredExcess: M squared excess of the return distribution
NetSelectivity: Net selectivity of the return distribution
Omega: calculate Omega for a return series
OmegaExcessReturn: Omega excess return of the return distribution
OmegaSharpeRatio: Omega-Sharpe ratio of the return distribution
PainIndex: Pain index of the return distribution
PainRatio: Pain ratio of the return distribution
PerformanceAnalytics-package: Econometric tools for performance and risk analysis.
portfolio_bacon: Bacon(2008) Data
prices: Selected Price Series Example Data
ProspectRatio: Prospect ratio of the return distribution
Return.annualized: calculate an annualized return for comparing instruments with...
Return.annualized.excess: calculates an annualized excess return for comparing...
Return.calculate: calculate simple or compound returns from prices
Return.clean: clean returns in a time series to to provide more robust risk...
Return.cumulative: calculate a compounded (geometric) cumulative return
Return.excess: Calculates the returns of an asset in excess of the given...
Return.Geltner: calculate Geltner liquidity-adjusted return series
Return.portfolio: Calculate weighted returns for a portfolio of assets
Return.read: Read returns data with different date formats
Return.relative: calculate the relative return of one asset to another
Selectivity: Selectivity of the return distribution
SharpeRatio: calculate a traditional or modified Sharpe Ratio of Return...
SharpeRatio.annualized: calculate annualized Sharpe Ratio
skewness: Skewness
SkewnessKurtosisRatio: Skewness-Kurtosis ratio of the return distribution
SmoothingIndex: calculate Normalized Getmansky Smoothing Index
sortDrawdowns: order list of drawdowns from worst to best
SortinoRatio: calculate Sortino Ratio of performance over downside risk
SpecificRisk: Specific risk of the return distribution
StdDev: calculates Standard Deviation for univariate and multivariate...
StdDev.annualized: calculate a multiperiod or annualized Standard Deviation
SystematicRisk: Systematic risk of the return distribution
table.AnnualizedReturns: Annualized Returns Summary: Statistics and Stylized Facts
table.Arbitrary: wrapper function for combining arbitrary function list into a...
table.Autocorrelation: table for calculating the first six autocorrelation...
table.CalendarReturns: Monthly and Calendar year Return table
table.CAPM: Single Factor Asset-Pricing Model Summary: Statistics and...
table.CaptureRatios: Calculate and display a table of capture ratio and related...
table.Correlation: calculate correlalations of multicolumn data
table.Distributions: Distributions Summary: Statistics and Stylized Facts
table.DownsideRisk: Downside Risk Summary: Statistics and Stylized Facts
table.DownsideRiskRatio: Downside Summary: Statistics and ratios
table.Drawdowns: Worst Drawdowns Summary: Statistics and Stylized Facts
table.DrawdownsRatio: Drawdowns Summary: Statistics and ratios
table.HigherMoments: Higher Moments Summary: Statistics and Stylized Facts
table.InformationRatio: Information ratio Summary: Statistics and Stylized Facts
table.MonthlyReturns: Returns Summary: Statistics and Stylized Facts
table.ProbOutPerformance: Outperformance Report of Asset vs Benchmark
table.RollingPeriods: Rolling Periods Summary: Statistics and Stylized Facts
table.SpecificRisk: Specific risk Summary: Statistics and Stylized Facts
table.Variability: Variability Summary: Statistics and Stylized Facts
textplot: Display text information in a graphics plot.
TotalRisk: Total risk of the return distribution
TrackingError: Calculate Tracking Error of returns against a benchmark
TreynorRatio: calculate Treynor Ratio or modified Treynor Ratio of excess...
UlcerIndex: calculate the Ulcer Index
UpDownRatios: calculate metrics on up and down markets for the benchmark...
UpsideFrequency: upside frequency of the return distribution
UpsidePotentialRatio: calculate Upside Potential Ratio of upside performance over...
UpsideRisk: upside risk, variance and potential of the return...
VaR: calculate various Value at Risk (VaR) measures
VolatilitySkewness: Volatility and variability of the return distribution
weights: Selected Portfolio Weights Data
zerofill: zerofill

Functions

ActivePremium Man page
ActiveReturn Man page
AdjustedSharpeRatio Man page Source code
AppraisalRatio Man page Source code
AverageDrawdown Man page Source code
AverageLength Man page Source code
AverageRecovery Man page Source code
BernardoLedoitRatio Man page Source code
BetaCoKurtosis Man page Source code
BetaCoMoments Man page
BetaCoSkewness Man page Source code
BetaCoVariance Man page Source code
BurkeRatio Man page Source code
CAPM.CML Man page
CAPM.CML.slope Man page
CAPM.RiskPremium Man page Source code
CAPM.SML.slope Man page Source code
CAPM.alpha Man page
CAPM.beta Man page
CAPM.beta.bear Man page Source code
CAPM.beta.bull Man page Source code
CAPM.dynamic Man page
CAPM.epsilon Man page
CAPM.jensenAlpha Man page
CAPM.utils Man page
CDD Man page Source code
CDaR Man page
CVaR Man page
CalculateReturns Man page Source code
CalmarRatio Man page Source code
CoKurtosis Man page Source code
CoKurtosisMatrix Man page Source code
CoMoments Man page
CoSkewness Man page Source code
CoSkewnessMatrix Man page Source code
CoVariance Man page Source code
DRatio Man page Source code
DownsideDeviation Man page Source code
DownsideFrequency Man page Source code
DownsidePotential Man page Source code
DrawdownDeviation Man page Source code
DrawdownPeak Man page Source code
Drawdowns Man page Man page Source code
ES Man page Source code
ES.CornishFisher Source code
ES.CornishFisher.portfolio Source code
ES.Gaussian Source code
ES.Gaussian.portfolio Source code
ES.historical Source code
ES.historical.portfolio Source code
ES.kernel.portfolio Source code
ETL Man page
FamaBeta Man page Source code
Frequency Man page Source code
GES.MM Source code
GVaR.MM Source code
HerfindahlIndex Source code
HurstIndex Man page Source code
InformationRatio Man page Source code
Ipower Source code
Kappa Man page Source code
KellyRatio Man page Source code
M2Sortino Man page Source code
M3.MM Man page Source code
M3.MM.old Source code
M4.MM Man page Source code
M4.MM.old Source code
MSquared Man page Source code
MSquaredExcess Man page Source code
MarketTiming Man page Source code
MartinRatio Man page Source code
MeanAbsoluteDeviation Man page Source code
Modigliani Man page Source code
NetSelectivity Man page Source code
Omega Man page Source code
OmegaExcessReturn Man page Source code
OmegaExessReturn Man page
OmegaSharpeRatio Man page Source code
PainIndex Man page Source code
PainRatio Man page Source code
PerformanceAnalytics Man page
PerformanceAnalytics-package Man page
PerformanceAnalytics.internal Man page
Portmean Source code
Portsd Source code
ProspectRatio Man page Source code
RescaledRange Source code
Return.Geltner Man page Source code
Return.annualized Man page Source code
Return.annualized.excess Man page Source code
Return.calculate Man page Source code
Return.centered Man page Source code
Return.clean Man page Source code
Return.cumulative Man page Source code
Return.excess Man page Source code
Return.portfolio Man page
Return.portfolio.arithmetic Source code
Return.portfolio.geometric Source code
Return.read Man page Source code
Return.rebalancing Man page
Return.relative Man page Source code
SFM.CML Man page
SFM.CML.slope Man page
SFM.RiskPremium Man page
SFM.SML.slope Man page
SFM.alpha Man page
SFM.beta Man page
SFM.dynamic Man page
SFM.epsilon Man page
SFM.jensenAlpha Man page
SFM.utils Man page
SR.GES.MM Source code
SR.GVaR.MM Source code
SR.StdDev.MM Source code
SR.mES.MM Source code
SR.mVaR.MM Source code
Selectivity Man page Source code
SemiDeviation Man page Source code
SemiVariance Man page Source code
SharpeRatio Man page Source code
SharpeRatio.annualized Man page Source code
SharpeRatio.modified Man page Source code
Skewness-KurtosisRatio Man page
SkewnessKurtosisRatio Man page Source code
SmoothingIndex Man page Source code
SortinoRatio Man page Source code
SpecificRisk Man page Source code
StdDev Man page Source code
StdDev.MM Source code
StdDev.annualized Man page
SterlingRatio Man page Source code
SystematicRisk Man page Source code
TimingRatio Man page Source code
TotalRisk Man page Source code
TrackingError Man page Source code
TreynorRatio Man page Source code
UPR Man page Source code
UlcerIndex Man page Source code
UpDownRatios Man page Source code
UpsideFrequency Man page Source code
UpsidePotentialRatio Man page Source code
UpsideRisk Man page Source code
VaR Man page Source code
VaR.CornishFisher Man page Source code
VaR.CornishFisher.portfolio Source code
VaR.Gaussian Source code
VaR.Gaussian.portfolio Source code
VaR.Marginal Source code
VaR.historical Source code
VaR.historical.portfolio Source code
VaR.kernel.portfolio Source code
VolatilitySkewness Man page Source code
allsymbols Man page
apply.fromstart Man page Source code
apply.rolling Man page Source code
beta Source code
bluefocus Man page
bluemono Man page
bond.dates Man page
bond.labels Man page
centeredcomoment Man page Source code
centeredmoment Man page Source code
chart.ACF Man page Source code
chart.ACFplus Man page Source code
chart.Bar Man page Source code
chart.BarVaR Man page Source code
chart.Boxplot Man page Source code
chart.CaptureRatios Man page Source code
chart.Correlation Man page Source code
chart.CumReturns Man page Source code
chart.Drawdown Man page Source code
chart.ECDF Man page Source code
chart.Events Man page Source code
chart.Histogram Man page Source code
chart.QQPlot Man page Source code
chart.Regression Man page Source code
chart.RelativePerformance Man page Source code
chart.RiskReturnScatter Man page Source code
chart.RollingCorrelation Man page Source code
chart.RollingMean Man page Source code
chart.RollingPerformance Man page Source code
chart.RollingQuantileRegression Man page Source code
chart.RollingRegression Man page Source code
chart.Scatter Man page Source code
chart.SnailTrail Man page Source code
chart.StackedBar Man page Source code
chart.StackedBar.matrix Source code
chart.StackedBar.xts Source code
chart.TimeSeries Man page Source code
chart.TimeSeries.base Man page Source code
chart.VaRSensitivity Man page Source code
charts.Bar Man page Source code
charts.BarVaR Man page Source code
charts.PerformanceSummary Man page Source code
charts.RollingPerformance Man page Source code
charts.RollingRegression Man page Source code
charts.TimeSeries Man page Source code
checkData Man page Source code
checkDataMatrix Source code
checkDataVector Source code
checkDataZoo Source code
clean.boudt Man page Source code
closedsymbols Man page
cycles.dates Man page
dark6equal Man page
dark8equal Man page
derIpower Source code
derportm2 Source code
derportm3 Source code
derportm4 Source code
edhec Man page
equity.dates Man page
equity.labels Man page
even Source code
fillsymbols Man page
findDrawdowns Man page Source code
greenfocus Man page
greenmono Man page
grey6mono Man page
grey8mono Man page
kernel Source code
kurtEst Source code
kurtosis Man page Source code
kurtosis.MM Source code
legend Man page Source code
linesymbols Man page
lpm Man page Source code
mES.MM Source code
mVaR.MM Source code
macro.dates Man page
macro.labels Man page
managers Man page
maxDrawdown Man page Source code
mean.LCL Man page Source code
mean.UCL Man page Source code
mean.geometric Man page Source code
mean.stderr Man page Source code
mean.utils Man page
multivariate_mean Source code
na.skip Source code
odd Source code
onLoad Source code
opensymbols Man page
operES.CornishFisher Source code
operES.CornishFisher.portfolio Source code
portfolio_bacon Man page
portm2 Source code
portm3 Source code
portm4 Source code
prices Man page
pvalJB Source code
rainbow10equal Man page
rainbow12equal Man page
rainbow6equal Man page
rainbow8equal Man page
redfocus Man page
redmono Man page
replaceTabs Man page Source code
replaceTabs.inner Man page Source code
rich10equal Man page
rich12equal Man page
rich6equal Man page
rich8equal Man page
risk.dates Man page
risk.labels Man page
sd.annualized Man page
sd.multiperiod Man page Source code
set6equal Man page
set8equal Man page
setalphaprob Source code
skewEst Source code
skewness Man page Source code
skewness.MM Source code
sortDrawdowns Man page Source code
statsTable Man page Source code
table.AnnualizedReturns Man page Source code
table.Arbitrary Man page Source code
table.Autocorrelation Man page Source code
table.CAPM Man page
table.CalendarReturns Man page Source code
table.CaptureRatios Man page Source code
table.Correlation Man page Source code
table.Distributions Man page Source code
table.DownsideRisk Man page Source code
table.DownsideRiskRatio Man page Source code
table.Drawdowns Man page Source code
table.DrawdownsRatio Man page Source code
table.HigherMoments Man page Source code
table.InformationRatio Man page Source code
table.MonthlyReturns Man page
table.ProbOutPerformance Man page Source code
table.Returns Man page Source code
table.RollingPeriods Man page
table.SFM Man page
table.SpecificRisk Man page Source code
table.Stats Man page Source code
table.TrailingPeriods Man page
table.TrailingPeriodsRel Man page Source code
table.UpDownRatios Man page Source code
table.Variability Man page Source code
textplot Man page Source code
textplot.character Man page Source code
textplot.data.frame Man page Source code
textplot.default Man page Source code
textplot.matrix Man page Source code
tim10equal Man page
tim12equal Man page
tim6equal Man page
tim8equal Man page
tol10qualitative Man page
tol11qualitative Man page
tol12qualitative Man page
tol14rainbow Man page
tol15rainbow Man page
tol18rainbow Man page
tol1qualitative Man page
tol21rainbow Man page
tol2qualitative Man page
tol3qualitative Man page
tol4qualitative Man page
tol5qualitative Man page
tol6qualitative Man page
tol7qualitative Man page
tol8qualitative Man page
tol9qualitative Man page
weights Man page
zerofill Man page Source code

Files

DESCRIPTION
NAMESPACE
NEWS
R
R/ActivePremium.R
R/AdjustedSharpeRatio.R
R/AppraisalRatio.R
R/BernadoLedoitratio.R
R/BurkeRatio.R
R/CAPM.alpha.R
R/CAPM.beta.R
R/CAPM.dynamic.R
R/CAPM.epsilon.R
R/CAPM.jensenAlpha.R
R/CAPM.utils.R
R/CalmarRatio.R
R/CoMoments.R
R/DRatio.R
R/DownsideDeviation.R
R/DownsideFrequency.R
R/DrawdownPeak.R
R/Drawdowns.R
R/ES.R
R/FamaBeta.R
R/Frequency.R
R/HerfindahlIndex.R
R/HurstIndex.R
R/InformationRatio.R
R/Kappa.R
R/KellyRatio.R
R/M2Sortino.R
R/MSquared.R
R/MSquaredExcess.R
R/MarketTiming.R
R/MartinRatio.R
R/MeanAbsoluteDeviation.R
R/Modigliani.R
R/MultivariateMoments.R
R/NetSelectivity.R
R/Omega.R
R/OmegaExcessReturn.R
R/OmegaSharpeRatio.R
R/PainIndex.R
R/PainRatio.R
R/PortfolioRisk.R
R/ProspectRatio.R
R/Return.Geltner.R
R/Return.annualized.R
R/Return.annualized.excess.R
R/Return.calculate.R
R/Return.clean.R
R/Return.cumulative.R
R/Return.excess.R
R/Return.portfolio.R
R/Return.read.R
R/Return.relative.R
R/Selectivity.R
R/SemiDeviation.R
R/SharpeRatio.R
R/SharpeRatio.annualized.R
R/SkewnessKurtosisRatio.R
R/SmoothingIndex.R
R/SortinoRatio.R
R/SpecificRisk.R
R/StdDev.R
R/StdDev.annualized.R
R/SystematicRisk.R
R/TotalRisk.R
R/TrackingError.R
R/TreynorRatio.R
R/UlcerIndex.R
R/UpDownRatios.R
R/UpsideFrequency.R
R/UpsidePotentialRatio.R
R/UpsideRisk.R
R/VaR.Marginal.R
R/VaR.R
R/VolatilitySkewness.R
R/apply.fromstart.R
R/apply.rolling.R
R/chart.ACF.R
R/chart.ACFplus.R
R/chart.Bar.R
R/chart.BarVaR.R
R/chart.Boxplot.R
R/chart.CaptureRatios.R
R/chart.Correlation.R
R/chart.CumReturns.R
R/chart.Drawdown.R
R/chart.ECDF.R
R/chart.Events.R
R/chart.Histogram.R
R/chart.QQPlot.R
R/chart.Regression.R
R/chart.RelativePerformance.R
R/chart.RiskReturnScatter.R
R/chart.RollingCorrelation.R
R/chart.RollingMean.R
R/chart.RollingPerformance.R
R/chart.RollingQuantileRegression.R
R/chart.RollingRegression.R
R/chart.Scatter.R
R/chart.SnailTrail.R
R/chart.StackedBar.R
R/chart.TimeSeries.R
R/chart.TimeSeries.base.R
R/chart.VaRSensitivity.R
R/charts.Bar.R
R/charts.BarVaR.R
R/charts.PerformanceSummary.R
R/charts.RollingPerformance.R
R/charts.RollingRegression.R
R/charts.TimeSeries.R
R/checkData.R
R/findDrawdowns.R
R/kurtosis.R
R/legend.R
R/lpm.R
R/maxDrawdown.R
R/mean.utils.R
R/na.skip.R
R/replaceTabs.R
R/skewness.R
R/sortDrawdowns.R
R/table.AnnualizedReturns.R
R/table.Arbitrary.R
R/table.Autocorrelation.R
R/table.CAPM.R
R/table.CalendarReturns.R
R/table.CaptureRatios.R
R/table.Correlation.R
R/table.Distributions.R
R/table.DownsideRisk.R
R/table.DownsideRiskRatio.R
R/table.Drawdowns.R
R/table.DrawdownsRatio.R
R/table.HigherMoments.R
R/table.InformationRatio.R
R/table.MonthlyReturns.R
R/table.ProbOutperformance.R
R/table.RollingPeriods.R
R/table.SpecificRisk.R
R/table.UpDownRatios.R
R/table.Variability.R
R/textplot.R
R/zerofill.R
R/zzz.R
build
build/vignette.rds
data
data/edhec.csv.bz2
data/edhec.rda
data/managers.csv.bz2
data/managers.rda
data/portfolio_bacon.csv.gz
data/portfolio_bacon.rda
data/prices.rda
data/weights.rda
inst
inst/doc
inst/doc/PA-Bacon.R
inst/doc/PA-Bacon.Rnw
inst/doc/PA-Bacon.pdf
inst/doc/PA-charts.R
inst/doc/PA-charts.Rnw
inst/doc/PA-charts.pdf
inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.R
inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw
inst/doc/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf
inst/doc/PerformanceAnalyticsPresentation-UseR-2007.R
inst/doc/PerformanceAnalyticsPresentation-UseR-2007.Rnw
inst/doc/PerformanceAnalyticsPresentation-UseR-2007.pdf
inst/doc/portfolio_returns.R
inst/doc/portfolio_returns.Rnw
inst/doc/portfolio_returns.pdf
inst/doc/textplotPresentation-CRUG-2011.R
inst/doc/textplotPresentation-CRUG-2011.Rnw
inst/doc/textplotPresentation-CRUG-2011.pdf
man
man/ActivePremium.Rd
man/AdjustedSharpeRatio.Rd
man/AppraisalRatio.Rd
man/AverageDrawdown.Rd
man/AverageLength.Rd
man/AverageRecovery.Rd
man/BernardoLedoitRatio.Rd
man/BetaCoMoments.Rd
man/BurkeRatio.Rd
man/CAPM.RiskPremium.Rd
man/CAPM.alpha.Rd
man/CAPM.beta.Rd
man/CAPM.dynamic.Rd
man/CAPM.epsilon.Rd
man/CAPM.jensenAlpha.Rd
man/CDD.Rd
man/CalmarRatio.Rd
man/CoMoments.Rd
man/DRatio.Rd
man/DownsideDeviation.Rd
man/DownsideFrequency.Rd
man/DrawdownDeviation.Rd
man/DrawdownPeak.Rd
man/ES.Rd
man/FamaBeta.Rd
man/Frequency.Rd
man/HurstIndex.Rd
man/InformationRatio.Rd
man/Kappa.Rd
man/KellyRatio.Rd
man/M2Sortino.Rd
man/MSquared.Rd
man/MSquaredExcess.Rd
man/MarketTiming.Rd
man/MartinRatio.Rd
man/MeanAbsoluteDeviation.Rd
man/Modigliani.Rd
man/NetSelectivity.Rd
man/Omega.Rd
man/OmegaExcessReturn.Rd
man/OmegaSharpeRatio.Rd
man/PainIndex.Rd
man/PainRatio.Rd
man/PerformanceAnalytics-package.Rd
man/ProspectRatio.Rd
man/Return.Geltner.Rd
man/Return.annualized.Rd
man/Return.annualized.excess.Rd
man/Return.calculate.Rd
man/Return.clean.Rd
man/Return.cumulative.Rd
man/Return.excess.Rd
man/Return.portfolio.Rd
man/Return.read.Rd
man/Return.relative.Rd
man/Selectivity.Rd
man/SharpeRatio.Rd
man/SharpeRatio.annualized.Rd
man/SkewnessKurtosisRatio.Rd
man/SmoothingIndex.Rd
man/SortinoRatio.Rd
man/SpecificRisk.Rd
man/StdDev.Rd
man/StdDev.annualized.Rd
man/SystematicRisk.Rd
man/TotalRisk.Rd
man/TrackingError.Rd
man/TreynorRatio.Rd
man/UlcerIndex.Rd
man/UpDownRatios.Rd
man/UpsideFrequency.Rd
man/UpsidePotentialRatio.Rd
man/UpsideRisk.Rd
man/VaR.Rd
man/VolatilitySkewness.Rd
man/apply.fromstart.Rd
man/apply.rolling.Rd
man/centeredmoments.Rd
man/chart.ACF.Rd
man/chart.Bar.Rd
man/chart.BarVaR.Rd
man/chart.Boxplot.Rd
man/chart.CaptureRatios.Rd
man/chart.Correlation.Rd
man/chart.CumReturns.Rd
man/chart.Drawdown.Rd
man/chart.ECDF.Rd
man/chart.Events.Rd
man/chart.Histogram.Rd
man/chart.QQPlot.Rd
man/chart.Regression.Rd
man/chart.RelativePerformance.Rd
man/chart.RiskReturnScatter.Rd
man/chart.RollingCorrelation.Rd
man/chart.RollingMean.Rd
man/chart.RollingPerformance.Rd
man/chart.RollingRegression.Rd
man/chart.Scatter.Rd
man/chart.SnailTrail.Rd
man/chart.StackedBar.Rd
man/chart.TimeSeries.Rd
man/chart.VaRSensitivity.Rd
man/charts.PerformanceSummary.Rd
man/charts.RollingPerformance.Rd
man/checkData.Rd
man/clean.boudt.Rd
man/edhec.Rd
man/findDrawdowns.Rd
man/kurtosis.Rd
man/legend.Rd
man/lpm.Rd
man/managers.Rd
man/maxDrawdown.Rd
man/mean.geometric.Rd
man/portfolio_bacon.Rd
man/prices.Rd
man/skewness.Rd
man/sortDrawdowns.Rd
man/table.AnnualizedReturns.Rd
man/table.Arbitrary.Rd
man/table.Autocorrelation.Rd
man/table.CAPM.Rd
man/table.CalendarReturns.Rd
man/table.CaptureRatios.Rd
man/table.Correlation.Rd
man/table.Distributions.Rd
man/table.DownsideRisk.Rd
man/table.DownsideRiskRatio.Rd
man/table.Drawdowns.Rd
man/table.DrawdownsRatio.Rd
man/table.HigherMoments.Rd
man/table.InformationRatio.Rd
man/table.MonthlyReturns.Rd
man/table.ProbOutPerformance.Rd
man/table.RollingPeriods.Rd
man/table.SpecificRisk.Rd
man/table.Variability.Rd
man/textplot.Rd
man/weights.Rd
man/zerofill.Rd
src
src/Makevars
src/Makevars.win
src/momentF.f90
tests
tests/Examples
tests/Examples/PerformanceAnalytics-Ex.Rout.save
vignettes
vignettes/PA-Bacon.Rnw
vignettes/PA-charts.Rnw
vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw
vignettes/PerformanceAnalyticsGraphicalExamples.pdf
vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw
vignettes/Rlogo.jpg
vignettes/portfolio_returns.Rnw
vignettes/textplotPresentation-CRUG-2011.Rnw
PerformanceAnalytics documentation built on May 21, 2017, 1:16 a.m.

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

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