PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

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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.

Author
Brian 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 publication
2016-04-25 19:38:44
Maintainer
Brian G. Peterson <brian@braverock.com>
License
GPL-2 | GPL-3
Version
1.4.4000
URLs

View on R-Forge

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

Files in this package

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