.coefficients           Wrapper for SFM's regression models.
ActiveReturn            Active Premium or Active Return
AdjustedSharpeRatio     Adjusted Sharpe ratio of the return
                        distribution
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 drawdowns.
AverageRecovery         Calculates the average length (in periods) of
                        the observed recovery period.
BernardoLedoitRatio     Bernardo and Ledoit ratio of the return
                        distribution
BetaCoMoments           Functions to calculate systematic or beta
                        co-moments of return series
BurkeRatio              Burke ratio of the return distribution
CAPM.CML.slope          utility functions for single factor (CAPM) CML,
                        SML, and RiskPremium
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
CDD                     Calculate Uryasev's proposed Conditional
                        Drawdown at Risk (CDD or CDaR) measure
CDaR.alpha              Conditional Drawdown alpha
CDaR.beta               Conditional Drawdown beta
CalmarRatio             calculate a Calmar or Sterling reward/risk
                        ratio Calmar and Sterling Ratios are yet
                        another method of creating a risk-adjusted
                        measure for ranking investments similar to the
                        'SharpeRatio'.
CoMoments               Functions for calculating comoments of
                        financial time series
DRatio                  d ratio of the return distribution
DownsideDeviation       downside risk (deviation, variance) of the
                        return distribution
DownsideFrequency       downside frequency of the return distribution
DownsideSharpeRatio     Downside Sharpe Ratio
DrawdownDeviation       Calculates a standard deviation-type statistic
                        using individual drawdowns.
DrawdownPeak            Drawdawn peak of the return distribution
Drawdowns               Find the drawdowns and drawdown levels in a
                        timeseries.
ETL                     calculates Expected Shortfall(ES) (or
                        Conditional Value-at-Risk(CVaR) for univariate
                        and component, using a variety of analytical
                        methods.
EWMAMoments             Functions for calculating EWMA comoments of
                        financial time series
FamaBeta                Fama beta of the return distribution
Frequency               Frequency of the return distribution
HurstIndex              calculate the Hurst Index The Hurst index can
                        be used to measure whether returns are mean
                        reverting, totally random, or persistent.
InformationRatio        InformationRatio = ActivePremium/TrackingError
Kappa                   Kappa of the return distribution
KellyRatio              calculate Kelly criterion ratio (leverage or
                        bet size) for a strategy
Level.calculate         Calculate appropriate cumulative return series
                        or asset level using xts attribute information
M2Sortino               M squared for Sortino of the return
                        distribution
MCA                     Functions for doing Moment Component Analysis
                        (MCA) of financial time series
MSquared                M squared of the return distribution
MSquaredExcess          M squared excess of the return distribution
MarketTiming            Market timing models
MartinRatio             Martin ratio of the return distribution
MeanAbsoluteDeviation   Mean absolute deviation of the return
                        distribution
MinTrackRecord          Minimum Track Record Length
Modigliani              Modigliani-Modigliani measure
NCE                     Functions for calculating the nearest comoment
                        estimator for financial time series
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.
ProbSharpeRatio         Probabilistic Sharpe Ratio
ProspectRatio           Prospect ratio of the return distribution
RPESE.control           Controls Function for the Computation of
                        Standard Errors for Risk and Performance
                        estimators
RachevRatio             Rachev Ratio
Return.Geltner          calculate Geltner liquidity-adjusted return
                        series
Return.annualized       calculate an annualized return for comparing
                        instruments with different length history
Return.annualized.excess
                        calculates an annualized excess return for
                        comparing instruments with different length
                        history
Return.calculate        calculate simple or compound returns from
                        prices
Return.centered         calculate centered moment/co-moment return
                        matrices
Return.clean            clean returns in a time series to to provide
                        more robust risk estimates
Return.convert          Convert coredata content from one type of
                        return to another
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.locScaleRob      Robust Filter for Time Series Returns
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
SFM.alpha               Calculate single factor model (CAPM) alpha
SFM.beta                Calculate single factor model (CAPM) beta
SFM.coefficients        Calculate single factor model alpha and beta
                        coefficients
SFM.fit.models          Compare SFM estimated using robust estimators
                        with that estimated by OLS
Selectivity             Selectivity of the return distribution
SharpeRatio             calculate a traditional or modified Sharpe
                        Ratio of Return over StdDev or VaR or ES
SharpeRatio.annualized
                        calculate annualized Sharpe Ratio
ShrinkageMoments        Functions for calculating shrinkage-based
                        comoments of financial time series
SkewnessKurtosisRatio   Skewness-Kurtosis ratio of the return
                        distribution
SmoothingIndex          calculate Normalized Getmansky Smoothing Index
SortinoRatio            calculate Sortino Ratio of performance over
                        downside risk
SpecificRisk            Specific risk of the return distribution
StdDev                  calculates Standard Deviation for univariate
                        and multivariate series, also calculates
                        component contribution to standard deviation of
                        a portfolio
StdDev.annualized       calculate a multiperiod or annualized Standard
                        Deviation
StructuredMoments       Functions for calculating structured comoments
                        of financial time series
SystematicRisk          Systematic risk of the return distribution
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 return over CAPM beta
UlcerIndex              calculate the Ulcer Index
UpDownRatios            calculate metrics on up and down markets for
                        the benchmark asset
UpsideFrequency         upside frequency of the return distribution
UpsidePotentialRatio    calculate Upside Potential Ratio of upside
                        performance over downside risk
UpsideRisk              upside risk, variance and potential of the
                        return distribution
VaR                     calculate various Value at Risk (VaR) measures
VolatilitySkewness      Volatility and variability of the return
                        distribution
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.RollingQuantileRegression
                        A wrapper to create charts of relative
                        regression performance through time
chart.SFM               Compare SFM estimated using robust estimators
                        with that estimated by OLS
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
checkSeedValue          Check 'seedValue' to ensure it is compatible
                        with coredata_content attribute of 'R' (an xts
                        object)
clean.boudt             clean extreme observations in a time series to
                        to provide more robust risk estimates
edhec                   EDHEC-Risk Hedge Fund Style Indices
kurtosis                Kurtosis
lpm                     calculate a lower partial moment for a time
                        series
managers                Hypothetical Alternative Asset Manager and
                        Benchmark Data
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
portfolio-moments       Portfolio moments
portfolio_bacon         Bacon(2008) Data
prices                  Selected Price Series Example Data
replaceTabs.inner       Display text information in a graphics plot.
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.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.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.ProbOutPerformance
                        Outperformance Report of Asset vs Benchmark
table.RollingPeriods    Rolling Periods Summary: Statistics and
                        Stylized Facts
table.SFM               Single Factor Asset-Pricing Model Summary:
                        Statistics and Stylized Facts
table.SpecificRisk      Specific risk Summary: Statistics and Stylized
                        Facts
table.Stats             Returns Summary: Statistics and Stylized Facts
table.Variability       Variability Summary: Statistics and Stylized
                        Facts
test_returns            Sample sector returns for use by unit tests
test_weights            Sample sector weights for use by unit tests
to.period.contributions
                        Aggregate contributions through time
unique-comoments        Helper function for comoment matrices
weights                 Selected Portfolio Weights Data
zerofill                zerofill
