ActivePremium           Active Premium
BetaCoMoments           Functions to calculate systematic or beta
                        co-moments of return series
CAPM.alpha              calculate CAPM alpha
CAPM.beta               calculate CAPM beta
CAPM.utils              utility functions for CAPM CML, SML, and
                        RiskPremium
CDD                     Calculate Uryasev's proposed Conditional
                        Drawdown at Risk (CDD or CDaR) measure
CalmarRatio             calculate a Calmar or Sterling reward/risk
                        ratio
CoMoments               Functions for calculating comoments of
                        financial time series
DownsideDeviation       downside risk (deviation, variance) of the
                        return distribution
ES                      calculates Expected Shortfall(ES) (or
                        Conditional Value-at-Risk(CVaR) for univariate
                        and component, using a variety of analytical
                        methods.
InformationRatio        InformationRatio = ActivePremium/TrackingError
KellyRatio              calculate Kelly criterion ratio (leverage or
                        bet size) for a strategy
Omega                   calculate Omega for a return series
PerformanceAnalytics-package
                        Econometric tools for performance and risk
                        analysis.
Return.Geltner          calculate Geltner liquidity-adjusted return
                        series
Return.annualized       calculate an annualized return for comparing
                        instruments with different length history
Return.calculate        calculate simple or compound returns from
                        prices
Return.centered         calculate centered Returns
Return.clean            clean returns in a time series to to provide
                        more robust risk estimates
Return.cumulative       calculate a compounded (geometric) cumulative
                        return
Return.excess           Calculates the returns of an asset in excess of
                        the given risk free rate
Return.portfolio        Calculates 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
SharpeRatio             calculate a traditional or modified Sharpe
                        Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized
                        calculate annualized Sharpe Ratio
SmoothingIndex          calculate Normalized Getmansky Smoothing Index
SortinoRatio            calculate Sortino Ratio of performance over
                        downside risk
StdDev                  calculates Standard Deviation for univariate
                        and multivariate series, also calculates
                        component contribution to standard deviation of
                        a portfolio
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
UpsidePotentialRatio    calculate Upside Potential Ratio of upside
                        performance over downside risk
VaR                     calculate various Value at Risk (VaR) measures
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
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 in a scatterplot
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.SnailTrail        chart risk versus return over rolling time
                        periods
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 estimates
charts.PerformanceSummary
                        Create combined wealth index, period
                        performance, and drawdown chart
charts.RollingPerformance
                        rolling performance chart
checkData               check input data type and format and coerce to
                        the desired output type
clean.boudt             clean extreme observations in a time series to
                        to provide more robust risk estimates
edhec                   EDHEC-Risk Hedge Fund Style Indices
findDrawdowns           Find the drawdowns and drawdown levels in a
                        timeseries.
kurtosis                Kurtosis
managers                Hypothetical Alternative Asset Manager and
                        Benchmark Data
maxDrawdown             caclulate the maximum drawdown from peak equity
mean.utils              calculate attributes relative to the mean of
                        the observation series given, including
                        geometric, stderr, LCL and UCL
prices                  Selected Price Series Example Data
sd.multiperiod          calculate a multiperiod or annualized Standard
                        Deviation
skewness                Skewness
sortDrawdowns           order list of drawdowns from worst to best
table.AnnualizedReturns
                        Annualized Returns Summary: Statistics and
                        Stylized Facts
table.Arbitrary         wrapper function for combining arbitrary
                        function list into a table
table.Autocorrelation   table for calculating the first six
                        autocorrelation coefficients and significance
table.CAPM              Asset-Pricing Model Summary: Statistics and
                        Stylized Facts
table.CalendarReturns   Monthly and Calendar year Return table
table.CaptureRatios     Calculate and display a table of capture ratio
                        and related statistics
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.Stats             Returns Summary: Statistics and Stylized Facts
table.TrailingPeriods   Rolling Periods Summary: Statistics and
                        Stylized Facts
textplot                Display text information in a graphics plot.
weights                 Selected Portfolio Weights Data
zerofill                zerofill
