All functions
ActiveReturn	Active Premium or Active Return
AdjustedSharpeRatio	Adjusted Sharpe ratio 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
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
BetaCoVariance BetaCoSkewness BetaCoKurtosis	Functions to calculate systematic or beta co-moments of return series
BurkeRatio	Burke ratio of the return distribution
CalmarRatio SterlingRatio	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.
CAPM.alpha	calculate single factor model (CAPM) alpha
CAPM.beta CAPM.beta.bull CAPM.beta.bear TimingRatio	calculate single factor model (CAPM) beta
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
CAPM.CML.slope CAPM.CML CAPM.RiskPremium CAPM.SML.slope	utility functions for single factor (CAPM) CML, SML, and RiskPremium
CDD	Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
Return.centered centeredmoment centeredcomoment	calculate centered Returns
chart.ACF chart.ACFplus	Create ACF chart or ACF with PACF two-panel chart
chart.Bar charts.Bar	wrapper for barchart of returns
chart.BarVaR charts.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 chart.RollingRegression charts.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 chart.TimeSeries.base charts.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
CoSkewnessMatrix CoKurtosisMatrix CoVariance CoSkewness CoKurtosis M3.MM M4.MM	Functions for calculating comoments of financial time series
DownsideDeviation DownsidePotential SemiDeviation SemiVariance	downside risk (deviation, variance) of the return distribution
DownsideFrequency	downside frequency of the return distribution
DRatio	d ratio of the return distribution
DrawdownDeviation	Calculates a standard deviation-type statistic using individual drawdowns.
DrawdownPeak	Drawdawn peak of the return distribution
edhec	EDHEC-Risk Hedge Fund Style Indices
ETL	calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for univariate and component, using a variety of analytical methods.
M2.ewma M3.ewma M4.ewma	Functions for calculating EWMA comoments of financial time series
FamaBeta	Fama beta of the return distribution
Drawdowns findDrawdowns	Find the drawdowns and drawdown levels in a timeseries.
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
kurtosis	Kurtosis
lpm	calculate a lower partial moment for a time series
M2Sortino	M squared for Sortino of the return distribution
managers	Hypothetical Alternative Asset Manager and Benchmark Data
MarketTiming	Market timing models
MartinRatio	Martin ratio of the return distribution
maxDrawdown	caclulate the maximum drawdown from peak equity
M3.MCA M4.MCA	Functions for doing Moment Component Analysis (MCA) of financial time series
mean	calculate attributes relative to the mean of the observation series given, including geometric, stderr, LCL and UCL
MeanAbsoluteDeviation	Mean absolute deviation of the return distribution
Modigliani	Modigliani-Modigliani measure
MSquared	M squared of the return distribution
MSquaredExcess	M squared excess of the return distribution
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.
portfolio_bacon	Bacon(2008) Data
prices	Selected Price Series Example Data
ProspectRatio	Prospect ratio of the return distribution
Return.annualized.excess	calculates an annualized excess return for comparing instruments with different length history
Return.annualized	calculate an annualized return for comparing instruments with different length history
Return.calculate CalculateReturns	calculate simple or compound returns from prices
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.Geltner	calculate Geltner liquidity-adjusted return series
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
Selectivity	Selectivity of the return distribution
SharpeRatio.annualized	calculate annualized Sharpe Ratio
SharpeRatio SharpeRatio.modified	calculate a traditional or modified Sharpe Ratio of Return over StdDev or VaR or ES
M2.shrink M3.shrink M4.shrink	Functions for calculating shrinkage-based comoments of financial time series
skewness	Skewness
SkewnessKurtosisRatio	Skewness-Kurtosis ratio of the return distribution
SmoothingIndex	calculate Normalized Getmansky Smoothing Index
sortDrawdowns	order list of drawdowns from worst to best
SortinoRatio	calculate Sortino Ratio of performance over downside risk
SpecificRisk	Specific risk of the return distribution
StdDev.annualized	calculate a multiperiod or annualized Standard Deviation
StdDev	calculates Standard Deviation for univariate and multivariate series, also calculates component contribution to standard deviation of a portfolio
M2.struct M3.struct M4.struct	Functions for calculating structured comoments of financial time series
SystematicRisk	Systematic risk of the return distribution
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.SFM	Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
table.CaptureRatios table.UpDownRatios	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.Stats	Returns Summary: Statistics and Stylized Facts
table.ProbOutPerformance	Outperformance Report of Asset vs Benchmark
table.RollingPeriods	Rolling Periods Summary: Statistics and Stylized Facts
table.SpecificRisk	Specific risk Summary: Statistics and Stylized Facts
table.Variability	Variability Summary: Statistics and Stylized Facts
replaceTabs.inner replaceTabs textplot	Display text information in a graphics plot.
to.period.contributions	Aggregate contributions through time
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
managers	Selected Portfolio Weights Data
zerofill	zerofill