Entry: ActivePremium
Aliases: ActivePremium
Keywords: ts multivariate distribution models
Description: Active Premium
URL: ../../../library/PerformanceAnalytics/html/ActivePremium.html

Entry: BetaCoKurtosis
Aliases: BetaCoKurtosis BetaCoK SystematicKurtosis
Keywords: ts multivariate distribution models
Description: systematic kurtosis of an asset to the initial portfolio
URL: ../../../library/PerformanceAnalytics/html/BetaCoKurtosis.html

Entry: BetaCoSkewness
Aliases: BetaCoSkewness BetaCoS SystematicSkewness
Keywords: ts multivariate distribution models
Description: systematic skewness of an asset to an initial portfolio
URL: ../../../library/PerformanceAnalytics/html/BetaCoSkewness.html

Entry: BetaCoVariance
Aliases: BetaCoVariance BetaCoV SystematicVariance SystematicBeta
Keywords: ts multivariate distribution models
Description: systematic beta of an asset to an initial portfolio
URL: ../../../library/PerformanceAnalytics/html/BetaCoVariance.html

Entry: CAPM.alpha
Aliases: CAPM.alpha
Keywords: ts multivariate distribution models
Description: calculate CAPM alpha
URL: ../../../library/PerformanceAnalytics/html/CAPM.alpha.html

Entry: CAPM.beta
Aliases: CAPM.beta
Keywords: ts multivariate distribution models
Description: calculate CAPM beta
URL: ../../../library/PerformanceAnalytics/html/CAPM.beta.html

Entry: CAPM.utils
Aliases: CAPM.utils CAPM.RiskPremium CAPM.CML CAPM.CML.slope CAPM.SML.slope
Keywords: ts multivariate distribution models
Description: utility functions for CAPM CML, SML, and RiskPremium
URL: ../../../library/PerformanceAnalytics/html/CAPM.utils.html

Entry: CalculateReturns
Aliases: CalculateReturns
Keywords: ts multivariate distribution models
Description: calculate simple or compound returns from prices
URL: ../../../library/PerformanceAnalytics/html/CalculateReturns.html

Entry: CalmarRatio
Aliases: CalmarRatio SterlingRatio
Keywords: ts multivariate distribution models
Description: calculate a Calmar or Sterling reward/risk ratio
URL: ../../../library/PerformanceAnalytics/html/CalmarRatio.html

Entry: CoKurtosis
Aliases: CoKurtosis
Keywords: ts multivariate distribution models
Description: calculate the co-moment for kurtosis of two assets
URL: ../../../library/PerformanceAnalytics/html/CoKurtosis.html

Entry: CoSkewness
Aliases: CoSkewness
Keywords: ts multivariate distribution models
Description: calculate the co-moment for skewness of two assets
URL: ../../../library/PerformanceAnalytics/html/CoSkewness.html

Entry: DownsideDeviation
Aliases: DownsideDeviation
Keywords: ts multivariate distribution models
Description: function for downside risk of the return distribution
URL: ../../../library/PerformanceAnalytics/html/DownsideDeviation.html

Entry: InformationRatio
Aliases: InformationRatio
Keywords: ts multivariate distribution models
Description: InformationRatio = ActivePremium/TrackingError
URL: ../../../library/PerformanceAnalytics/html/InformationRatio.html

Entry: KellyRatio
Aliases: KellyRatio
Keywords: ts multivariate distribution models
Description: calculate Kelly criterion ratio (leverage or bet size) for a strategy
URL: ../../../library/PerformanceAnalytics/html/KellyRatio.html

Entry: Omega
Aliases: Omega
Keywords: ts multivariate distribution models
Description: calculate Omega for a return series
URL: ../../../library/PerformanceAnalytics/html/Omega.html

Entry: PerformanceAnalytics-internal
Aliases: legend bluefocus bluemono dark6equal dark8equal greenfocus greenmono grey6mono grey8mono rainbow10equal rainbow12equal rainbow6equal rainbow8equal redfocus redmono rich10equal rich12equal rich6equal rich8equal set6equal set8equal tim10equal tim12equal tim6equal tim8equal bond.dates bond.labels cycles.dates equity.dates equity.labels macro.dates macro.labels risk.dates risk.labels allsymbols closedsymbols fillsymbols linesymbols opensymbols
Keywords: internal
Description: internal functions for setting useful defaults for graphs
URL: ../../../library/PerformanceAnalytics/html/PerformanceAnalytics-internal.html

Entry: PerformanceAnalytics-package
Aliases: PerformanceAnalytics-package PerformanceAnalytics
Keywords: package
Description: Econometric tools for performance and risk analysis.
URL: ../../../library/PerformanceAnalytics/html/PerformanceAnalytics-package.html

Entry: Return.annualized
Aliases: Return.annualized
Keywords: ts multivariate distribution models
Description: calculate an annualized return for comparing instruments with different length history
URL: ../../../library/PerformanceAnalytics/html/Return.annualized.html

Entry: Return.cumulative
Aliases: Return.cumulative
Keywords: ts multivariate distribution models
Description: calculate a compounded (geometric) cumulative return
URL: ../../../library/PerformanceAnalytics/html/Return.cumulative.html

Entry: Return.excess
Aliases: Return.excess
Keywords: ts multivariate distribution models
Description: Calculates the returns of an asset in excess of the given risk free rate
URL: ../../../library/PerformanceAnalytics/html/Return.excess.html

Entry: SemiDeviation
Aliases: SemiDeviation SemiVariance
Keywords: ts multivariate distribution models
Description: deviation below the mean of the return distribution
URL: ../../../library/PerformanceAnalytics/html/SemiDeviation.html

Entry: SharpeRatio
Aliases: SharpeRatio
Keywords: ts multivariate distribution models
Description: Sharpe Ratio
URL: ../../../library/PerformanceAnalytics/html/SharpeRatio.html

Entry: SharpeRatio.annualized
Aliases: SharpeRatio.annualized
Keywords: ts multivariate distribution models
Description: calculate annualized Sharpe Ratio
URL: ../../../library/PerformanceAnalytics/html/SharpeRatio.annualized.html

Entry: SharpeRatio.modified
Aliases: SharpeRatio.modified modSharpe
Keywords: ts multivariate distribution models
Description: calculate a modified Sharpe Ratio of Return/modVaR
URL: ../../../library/PerformanceAnalytics/html/SharpeRatio.modified.html

Entry: SortinoRatio
Aliases: SortinoRatio
Keywords: ts multivariate distribution models
Description: calculate Sortino Ratio of performance over downside risk
URL: ../../../library/PerformanceAnalytics/html/SortinoRatio.html

Entry: sd.multiperiod
Aliases: sd.multiperiod sd.annualized StdDev.annualized std StdDev
Keywords: ts multivariate distribution models
Description: calculate a multiperiod or annualized Standard Deviation
URL: ../../../library/PerformanceAnalytics/html/StdDev.annualized.html

Entry: TrackingError
Aliases: TrackingError
Keywords: ts multivariate distribution models
Description: Calculate Tracking Error of returns against a benchmark
URL: ../../../library/PerformanceAnalytics/html/TrackingError.html

Entry: TreynorRatio
Aliases: TreynorRatio
Keywords: ts multivariate distribution models
Description: calculate Treynor Ratio of excess return over CAPM beta
URL: ../../../library/PerformanceAnalytics/html/TreynorRatio.html

Entry: UpDownRatios
Aliases: UpDownRatios
Keywords: ts multivariate distribution models
Description: calculate metrics on up and down markets for the benchmark asset
URL: ../../../library/PerformanceAnalytics/html/UpDownRatios.html

Entry: UpsidePotentialRatio
Aliases: UpsidePotentialRatio UPR
Keywords: ts multivariate distribution models
Description: calculate Upside Potential Ratio of upside performance over downside risk
URL: ../../../library/PerformanceAnalytics/html/UpsidePotentialRatio.html

Entry: VaR.Beyond
Aliases: VaR.Beyond
Keywords: ts multivariate distribution models
Description: calculate BVaR or loss Beyond traditional mean-VaR
URL: ../../../library/PerformanceAnalytics/html/VaR.Beyond.html

Entry: VaR.CornishFisher
Aliases: VaR.CornishFisher VaR.traditional VaR.mean VaR modifiedVaR
Keywords: ts multivariate distribution models
Description: calculate various Value at Risk (VaR) measures
URL: ../../../library/PerformanceAnalytics/html/VaR.CornishFisher.html

Entry: VaR.Marginal
Aliases: VaR.Marginal
Keywords: ts multivariate distribution models
Description: Calculate the Marginal VaR of each element of a portfolio
URL: ../../../library/PerformanceAnalytics/html/VaR.Marginal.html

Entry: apply.fromstart
Aliases: apply.fromstart
Keywords: ts multivariate distribution models
Description: calculate a function over an expanding window always starting from the beginning of the series
URL: ../../../library/PerformanceAnalytics/html/apply.fromstart.html

Entry: apply.rolling
Aliases: apply.rolling
Keywords: ts multivariate distribution models
Description: calculate a function over a rolling window
URL: ../../../library/PerformanceAnalytics/html/apply.rolling.html

Entry: chart.Bar
Aliases: chart.Bar
Keywords: ts multivariate distribution models hplot
Description: wrapper for barchart of returns
URL: ../../../library/PerformanceAnalytics/html/chart.Bar.html

Entry: chart.BarVaR
Aliases: chart.BarVaR
Keywords: ts multivariate distribution models hplot
Description: Periodic returns in a bar chart with risk metric overlay
URL: ../../../library/PerformanceAnalytics/html/chart.BarVaR.html

Entry: chart.Boxplot
Aliases: chart.Boxplot
Keywords: ts multivariate distribution models hplot
Description: box whiskers plot wrapper, with sensible defaults
URL: ../../../library/PerformanceAnalytics/html/chart.Boxplot.html

Entry: chart.Correlation
Aliases: chart.Correlation
Keywords: ts multivariate distribution models hplot
Description: correlation matrix chart
URL: ../../../library/PerformanceAnalytics/html/chart.Correlation.html

Entry: chart.Correlation.color
Aliases: chart.Correlation.color
Keywords: ts multivariate distribution models hplot
Description: correlation matrix chart, in color
URL: ../../../library/PerformanceAnalytics/html/chart.Correlation.color.html

Entry: chart.CumReturns
Aliases: chart.CumReturns
Keywords: ts multivariate distribution models hplot
Description: Cumulates and graphs a set of periodic returns
URL: ../../../library/PerformanceAnalytics/html/chart.CumReturns.html

Entry: chart.Drawdown
Aliases: chart.Drawdown
Keywords: ts
Description: Time series chart of drawdowns through time
URL: ../../../library/PerformanceAnalytics/html/chart.Drawdown.html

Entry: chart.Histogram
Aliases: chart.Histogram
Keywords: ts multivariate distribution models hplot
Description: histogram of returns
URL: ../../../library/PerformanceAnalytics/html/chart.Histogram.html

Entry: chart.QQPlot
Aliases: chart.QQPlot
Keywords: ts multivariate distribution models hplot
Description: wrapper for qq.plot, with sensible defaults
URL: ../../../library/PerformanceAnalytics/html/chart.QQPlot.html

Entry: chart.RegressionDiagnostics
Aliases: chart.RegressionDiagnostics
Keywords: ts multivariate distribution models hplot
Description: regression diagnostics charts
URL: ../../../library/PerformanceAnalytics/html/chart.RegressionDiagnostics.html

Entry: chart.RelativePerformance
Aliases: chart.RelativePerformance
Keywords: ts multivariate distribution models hplot
Description: relative performance chart between multiple return series
URL: ../../../library/PerformanceAnalytics/html/chart.RelativePerformance.html

Entry: chart.RiskReturnScatter
Aliases: chart.RiskReturnScatter
Keywords: ts multivariate distribution models hplot
Description: scatter chart of returns vs risk for comparing multiple instruments
URL: ../../../library/PerformanceAnalytics/html/chart.RiskReturnScatter.html

Entry: chart.RollingCorrelation
Aliases: chart.RollingCorrelation
Keywords: ts multivariate distribution models hplot
Description: chart rolling correlation fo multiple assets
URL: ../../../library/PerformanceAnalytics/html/chart.RollingCorrelation.html

Entry: chart.RollingMean
Aliases: chart.RollingMean
Keywords: ts multivariate distribution models hplot
Description: chart the rolling mean return
URL: ../../../library/PerformanceAnalytics/html/chart.RollingMean.html

Entry: chart.RollingPerformance
Aliases: chart.RollingPerformance
Keywords: ts multivariate distribution models hplot
Description: wrapper to create a chart of rolling performance metrics in a line chart
URL: ../../../library/PerformanceAnalytics/html/chart.RollingPerformance.html

Entry: chart.RollingRegression
Aliases: chart.RollingRegression charts.RollingRegression
Keywords: ts multivariate distribution models hplot
Description: A wrapper to create charts of relative regression performance through time
URL: ../../../library/PerformanceAnalytics/html/chart.RollingRegression.html

Entry: chart.Scatter
Aliases: chart.Scatter
Keywords: ts multivariate distribution models hplot
Description: wrapper to draw scatter plot with sensible defaults
URL: ../../../library/PerformanceAnalytics/html/chart.Scatter.html

Entry: chart.TimeSeries
Aliases: chart.TimeSeries
Keywords: ts multivariate distribution models hplot
Description: Creates a time series chart with some extensions.
URL: ../../../library/PerformanceAnalytics/html/chart.TimeSeries.html

Entry: charts.PerformanceSummary
Aliases: charts.PerformanceSummary
Keywords: ts multivariate distribution models hplot
Description: Create combined wealth index, period performance, and drawdown chart
URL: ../../../library/PerformanceAnalytics/html/charts.PerformanceSummary.html

Entry: charts.RollingPerformance
Aliases: charts.RollingPerformance
Keywords: ts multivariate distribution models hplot
Description: rolling performance chart
URL: ../../../library/PerformanceAnalytics/html/charts.RollingPerformance.html

Entry: checkData
Aliases: checkData checkDataMatrix checkDataVector checkDataZoo
Keywords: ts multivariate distribution models
Description: check input data type and format and coerce to the desired output type
URL: ../../../library/PerformanceAnalytics/html/checkData.html

Entry: cum.utils
Aliases: cumprod.column cummax.column
Keywords: ts multivariate distribution models
Description: wrapper to calculate cumprod on all columns in a matrix
URL: ../../../library/PerformanceAnalytics/html/cum.utils.html

Entry: download.RiskFree
Aliases: download.RiskFree
Keywords: ts multivariate distribution models
Description: download 13-week US Treasury Bill Prices and calculate 13-week US Treasury Bill returns
URL: ../../../library/PerformanceAnalytics/html/download.RiskFree.html

Entry: download.SP500PriceReturns
Aliases: download.SP500PriceReturns
Keywords: ts multivariate distribution models
Description: download S & P Prices and calculate S & P returns
URL: ../../../library/PerformanceAnalytics/html/download.SP500PriceReturns.html

Entry: edhec
Aliases: edhec
Keywords: datasets ts
Description: EDHEC-Risk Hedge Fund Style Indices
URL: ../../../library/PerformanceAnalytics/html/edhec.html

Entry: findDrawdowns
Aliases: findDrawdowns Drawdowns
Keywords: ts multivariate distribution models
Description: Find the drawdowns and drawdown levels in a timeseries.
URL: ../../../library/PerformanceAnalytics/html/findDrawdowns.html

Entry: managers
Aliases: managers
Keywords: datasets ts
Description: Hypothetical Alternative Asset Manager Data and Fixed Income Benchmarks
URL: ../../../library/PerformanceAnalytics/html/managers.html

Entry: maxDrawdown
Aliases: maxDrawdown
Keywords: ts multivariate distribution models
Description: caclulate the maximum drawdown from peak equity
URL: ../../../library/PerformanceAnalytics/html/maxDrawdown.html

Entry: mean.utils
Aliases: mean.utils mean.geometric mean.UCL mean.LCL mean.stderr
Keywords: ts multivariate distribution models
Description: calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
URL: ../../../library/PerformanceAnalytics/html/mean.utils.html

Entry: moment.fourth
Aliases: moment.fourth
Keywords: ts multivariate distribution models
Description: calculate the fourth mathematical moment of the return function
URL: ../../../library/PerformanceAnalytics/html/moment.fourth.html

Entry: moment.third
Aliases: moment.third
Keywords: ts multivariate distribution models
Description: calculate the third mathematical moment of the return function
URL: ../../../library/PerformanceAnalytics/html/moment.third.html

Entry: rollingCorrelation
Aliases: rollingCorrelation
Keywords: ts multivariate distribution models
Description: rolling training period covariance/correlation
URL: ../../../library/PerformanceAnalytics/html/rollingCorrelation.html

Entry: rollingFunction
Aliases: rollingFunction
Keywords: ts multivariate distribution models
Description: wrapper to apply functions over a rolling period
URL: ../../../library/PerformanceAnalytics/html/rollingFunction.html

Entry: rollingRegression
Aliases: rollingRegression
Keywords: ts multivariate distribution models
Description: Rolling Regression on Returns
URL: ../../../library/PerformanceAnalytics/html/rollingRegression.html

Entry: rollingStat
Aliases: rollingStat
Keywords: ts multivariate distribution models
Description: wrapper to apply any function over a rolling time window
URL: ../../../library/PerformanceAnalytics/html/rollingStat.html

Entry: sortDrawdowns
Aliases: sortDrawdowns
Keywords: ts multivariate distribution models
Description: order list of drawdowns from worst to best
URL: ../../../library/PerformanceAnalytics/html/sortDrawdowns.html

Entry: statsTable
Aliases: statsTable
Keywords: ts multivariate distribution models
Description: wrapper function for combining arbitrary function list into a table
URL: ../../../library/PerformanceAnalytics/html/statsTable.html

Entry: table.AnnualizedReturns
Aliases: table.AnnualizedReturns
Keywords: ts multivariate distribution models
Description: Annualized Returns Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.AnnualizedReturns.html

Entry: table.CAPM
Aliases: table.CAPM
Keywords: ts multivariate distribution models
Description: Asset-Pricing Model Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.CAPM.html

Entry: table.Correlation
Aliases: table.Correlation
Keywords: ts multivariate distribution models
Description: calculate correlalations of multicolumn data
URL: ../../../library/PerformanceAnalytics/html/table.Correlation.html

Entry: table.DownsideRisk
Aliases: table.DownsideRisk
Keywords: ts multivariate distribution models
Description: Downside Risk Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.DownsideRisk.html

Entry: table.Drawdowns
Aliases: table.Drawdowns
Keywords: ts multivariate distribution models
Description: Worst Drawdowns Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.Drawdowns.html

Entry: table.HigherMoments
Aliases: table.HigherMoments
Keywords: ts multivariate distribution models
Description: Higher Moments Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.HigherMoments.html

Entry: table.MonthlyReturns
Aliases: table.MonthlyReturns
Keywords: ts multivariate distribution models
Description: Monthly Returns Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.MonthlyReturns.html

Entry: table.Returns
Aliases: table.Returns
Keywords: ts multivariate distribution models
Description: Monthly and Calendar year Return table
URL: ../../../library/PerformanceAnalytics/html/table.Returns.html

Entry: table.RollingPeriods
Aliases: table.RollingPeriods
Keywords: ts multivariate distribution models
Description: Rolling Periods Summary: Statistics and Stylized Facts
URL: ../../../library/PerformanceAnalytics/html/table.RollingPeriods.html
