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A B C D E F I K M O P R S T U V
| PerformanceAnalytics-package | Econometric tools for performance and risk analysis. |
| ActivePremium | Active Premium |
| apply.fromstart | calculate a function over an expanding window always starting from the beginning of the series |
| apply.rolling | calculate a function over a rolling window |
| BetaCoK | systematic kurtosis of an asset to the initial portfolio |
| BetaCoKurtosis | systematic kurtosis of an asset to the initial portfolio |
| BetaCoS | systematic skewness of an asset to an initial portfolio |
| BetaCoSkewness | systematic skewness of an asset to an initial portfolio |
| BetaCoV | systematic beta of an asset to an initial portfolio |
| BetaCoVariance | systematic beta of an asset to an initial portfolio |
| CalculateReturns | calculate simple or compound returns from prices |
| CalmarRatio | calculate a Calmar or Sterling reward/risk ratio |
| CAPM.alpha | calculate CAPM alpha |
| CAPM.beta | calculate CAPM beta |
| CAPM.CML | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.RiskPremium | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.SML.slope | utility functions for CAPM CML, SML, and RiskPremium |
| CAPM.utils | utility functions for CAPM CML, SML, and RiskPremium |
| 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, with sensible defaults |
| chart.Correlation | correlation matrix chart |
| chart.Correlation.color | correlation matrix chart, in color |
| chart.CumReturns | Cumulates and graphs a set of periodic returns |
| chart.Drawdown | Time series chart of drawdowns through time |
| chart.Histogram | histogram of returns |
| chart.QQPlot | wrapper for qq.plot, with sensible defaults |
| chart.RegressionDiagnostics | regression diagnostics charts |
| chart.RelativePerformance | relative performance chart between multiple return series |
| chart.RiskReturnScatter | scatter chart of returns vs risk for comparing multiple instruments |
| 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 line chart |
| chart.RollingRegression | A wrapper to create charts of relative regression performance through time |
| chart.Scatter | wrapper to draw scatter plot with sensible defaults |
| chart.TimeSeries | Creates a time series chart with some extensions. |
| charts.PerformanceSummary | Create combined wealth index, period performance, and drawdown chart |
| charts.RollingPerformance | rolling performance chart |
| charts.RollingRegression | A wrapper to create charts of relative regression performance through time |
| checkData | check input data type and format and coerce to the desired output type |
| checkDataMatrix | check input data type and format and coerce to the desired output type |
| checkDataVector | check input data type and format and coerce to the desired output type |
| checkDataZoo | check input data type and format and coerce to the desired output type |
| CoKurtosis | calculate the co-moment for kurtosis of two assets |
| CoSkewness | calculate the co-moment for skewness of two assets |
| cummax.column | wrapper to calculate cumprod on all columns in a matrix |
| cumprod.column | wrapper to calculate cumprod on all columns in a matrix |
| download.RiskFree | download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns |
| download.SP500PriceReturns | download S & P Prices and calculate S & P returns |
| DownsideDeviation | function for downside risk of the return distribution |
| Drawdowns | Find the drawdowns and drawdown levels in a timeseries. |
| edhec | EDHEC-Risk Hedge Fund Style Indices |
| findDrawdowns | Find the drawdowns and drawdown levels in a timeseries. |
| InformationRatio | InformationRatio = ActivePremium/TrackingError |
| KellyRatio | calculate Kelly criterion ratio (leverage or bet size) for a strategy |
| managers | Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks |
| maxDrawdown | caclulate the maximum drawdown from peak equity |
| mean.geometric | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.LCL | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.stderr | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.UCL | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| mean.utils | calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL |
| modifiedVaR | calculate various Value at Risk (VaR) measures |
| modSharpe | calculate a modified Sharpe Ratio of Return/modVaR |
| moment.fourth | calculate the fourth mathematical moment of the return function |
| moment.third | calculate the third mathematical moment of the return function |
| Omega | calculate Omega for a return series |
| PerformanceAnalytics | Econometric tools for performance and risk analysis. |
| Return.annualized | calculate an annualized return for comparing instruments with different length history |
| Return.cumulative | calculate a compounded (geometric) cumulative return |
| Return.excess | Calculates the returns of an asset in excess of the given risk free rate |
| rollingCorrelation | rolling training period covariance/correlation |
| rollingFunction | wrapper to apply functions over a rolling period |
| rollingRegression | Rolling Regression on Returns |
| rollingStat | wrapper to apply any function over a rolling time window |
| sd.annualized | calculate a multiperiod or annualized Standard Deviation |
| sd.multiperiod | calculate a multiperiod or annualized Standard Deviation |
| SemiDeviation | deviation below the mean of the return distribution |
| SemiVariance | deviation below the mean of the return distribution |
| SharpeRatio | Sharpe Ratio |
| SharpeRatio.annualized | calculate annualized Sharpe Ratio |
| SharpeRatio.modified | calculate a modified Sharpe Ratio of Return/modVaR |
| sortDrawdowns | order list of drawdowns from worst to best |
| SortinoRatio | calculate Sortino Ratio of performance over downside risk |
| statsTable | wrapper function for combining arbitrary function list into a table |
| std | calculate a multiperiod or annualized Standard Deviation |
| StdDev | calculate a multiperiod or annualized Standard Deviation |
| SterlingRatio | calculate a Calmar or Sterling reward/risk ratio |
| SystematicBeta | systematic beta of an asset to an initial portfolio |
| SystematicKurtosis | systematic kurtosis of an asset to the initial portfolio |
| SystematicSkewness | systematic skewness of an asset to an initial portfolio |
| SystematicVariance | systematic beta of an asset to an initial portfolio |
| table.AnnualizedReturns | Annualized Returns Summary: Statistics and Stylized Facts |
| table.CAPM | Asset-Pricing Model Summary: Statistics and Stylized Facts |
| table.Correlation | calculate correlalations of multicolumn data |
| table.DownsideRisk | Downside Risk Summary: Statistics and Stylized Facts |
| table.Drawdowns | Worst Drawdowns Summary: Statistics and Stylized Facts |
| table.HigherMoments | Higher Moments Summary: Statistics and Stylized Facts |
| table.MonthlyReturns | Monthly Returns Summary: Statistics and Stylized Facts |
| table.Returns | Monthly and Calendar year Return table |
| table.RollingPeriods | Rolling Periods Summary: Statistics and Stylized Facts |
| TrackingError | Calculate Tracking Error of returns against a benchmark |
| TreynorRatio | calculate Treynor Ratio of excess return over CAPM beta |
| UpDownRatios | calculate metrics on up and down markets for the benchmark asset |
| UPR | calculate Upside Potential Ratio of upside performance over downside risk |
| UpsidePotentialRatio | calculate Upside Potential Ratio of upside performance over downside risk |
| VaR | calculate various Value at Risk (VaR) measures |
| VaR.Beyond | calculate BVaR or loss Beyond traditional mean-VaR |
| VaR.CornishFisher | calculate various Value at Risk (VaR) measures |
| VaR.Marginal | Calculate the Marginal VaR of each element of a portfolio |
| VaR.mean | calculate various Value at Risk (VaR) measures |
| VaR.traditional | calculate various Value at Risk (VaR) measures |