ActivePremium           Active Premium
BetaCoKurtosis          systematic kurtosis of an asset to the initial
                        portfolio
BetaCoSkewness          systematic skewness of an asset to an initial
                        portfolio
BetaCoVariance          systematic beta of an asset to an initial
                        portfolio
CAPM.alpha              calculate CAPM alpha
CAPM.beta               calculate CAPM beta
CAPM.utils              utility functions for CAPM CML, SML, and
                        RiskPremium
CalculateReturns        calculate simple or compound returns from
                        prices
CalmarRatio             calculate a Calmar or Sterling reward/risk
                        ratio
CoKurtosis              calculate the co-moment for kurtosis of two
                        assets
CoSkewness              calculate the co-moment for skewness of two
                        assets
DownsideDeviation       function for downside risk of the return
                        distribution
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.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
SemiDeviation           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
SortinoRatio            calculate Sortino Ratio of performance over
                        downside risk
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.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
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.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
checkData               check input data type and format and coerce to
                        the desired output type
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
edhec                   EDHEC-Risk Hedge Fund Style Indices
findDrawdowns           Find the drawdowns and drawdown levels in a
                        timeseries.
managers                Hypothetical Alternative Asset Manager Data and
                        Fixed Income Benchmarks
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
moment.fourth           calculate the fourth mathematical moment of the
                        return function
moment.third            calculate the third mathematical moment of the
                        return function
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.multiperiod          calculate a multiperiod or annualized Standard
                        Deviation
sortDrawdowns           order list of drawdowns from worst to best
statsTable              wrapper function for combining arbitrary
                        function list into a table
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
