├── .Rbuildignore ├── ChangeLog ├── ChangeLog.1.0.0 ├── DESCRIPTION ├── NAMESPACE ├── NEWS ├── R ├── ActivePremium.R ├── AdjustedSharpeRatio.R ├── AppraisalRatio.R ├── BernadoLedoitratio.R ├── BurkeRatio.R ├── CAPM.alpha.R ├── CAPM.beta.R ├── CAPM.dynamic.R ├── CAPM.epsilon.R ├── CAPM.jensenAlpha.R ├── CAPM.utils.R ├── CalmarRatio.R ├── CoMoments.R ├── DRatio.R ├── DownsideDeviation.R ├── DownsideFrequency.R ├── DrawdownPeak.R ├── Drawdowns.R ├── ES.R ├── FamaBeta.R ├── Frequency.R ├── HerfindahlIndex.R ├── HurstIndex.R ├── InformationRatio.R ├── Kappa.R ├── KellyRatio.R ├── M2Sortino.R ├── MSquared.R ├── MSquaredExcess.R ├── MarketTiming.R ├── MartinRatio.R ├── MeanAbsoluteDeviation.R ├── Modigliani.R ├── MultivariateMoments.R ├── NetSelectivity.R ├── Omega.R ├── OmegaExcessReturn.R ├── OmegaSharpeRatio.R ├── PainIndex.R ├── PainRatio.R ├── PortfolioRisk.R ├── ProspectRatio.R ├── Return.Geltner.R ├── Return.annualized.R ├── Return.annualized.excess.R ├── Return.calculate.R ├── Return.clean.R ├── Return.cumulative.R ├── Return.excess.R ├── Return.portfolio.R ├── Return.read.R ├── Return.relative.R ├── Selectivity.R ├── SemiDeviation.R ├── SharpeRatio.R ├── SharpeRatio.annualized.R ├── SkewnessKurtosisRatio.R ├── SmoothingIndex.R ├── SortinoRatio.R ├── SpecificRisk.R ├── StdDev.R ├── StdDev.annualized.R ├── SystematicRisk.R ├── TotalRisk.R ├── TrackingError.R ├── TreynorRatio.R ├── UlcerIndex.R ├── UpDownRatios.R ├── UpsideFrequency.R ├── UpsidePotentialRatio.R ├── UpsideRisk.R ├── VaR.Marginal.R ├── VaR.R ├── VolatilitySkewness.R ├── apply.fromstart.R ├── apply.rolling.R ├── chart.ACF.R ├── chart.ACFplus.R ├── chart.Bar.R ├── chart.BarVaR.R ├── chart.Boxplot.R ├── chart.CaptureRatios.R ├── chart.Correlation.R ├── chart.CumReturns.R ├── chart.Drawdown.R ├── chart.ECDF.R ├── chart.Events.R ├── chart.Histogram.R ├── chart.QQPlot.R ├── chart.Regression.R ├── chart.RelativePerformance.R ├── chart.RiskReturnScatter.R ├── chart.RollingCorrelation.R ├── chart.RollingMean.R ├── chart.RollingPerformance.R ├── chart.RollingQuantileRegression.R ├── chart.RollingRegression.R ├── chart.Scatter.R ├── chart.SnailTrail.R ├── chart.StackedBar.R ├── chart.TimeSeries.R ├── chart.VaRSensitivity.R ├── charts.Bar.R ├── charts.BarVaR.R ├── charts.PerformanceSummary.R ├── charts.RollingPerformance.R ├── charts.RollingRegression.R ├── charts.TimeSeries.R ├── checkData.R ├── decomposeMVaR.R ├── expectedShortFallFunctions.r ├── findDrawdowns.R ├── kurtosis.R ├── legend.R ├── lpm.R ├── maxDrawdown.R ├── mean.utils.R ├── na.skip.R ├── rCornishFisher.r ├── replaceTabs.R ├── skewness.R ├── sortDrawdowns.R ├── table.AnnualizedReturns.R ├── table.Arbitrary.R ├── table.Autocorrelation.R ├── table.CAPM.R ├── table.CalendarReturns.R ├── table.CaptureRatios.R ├── table.Correlation.R ├── table.Distributions.R ├── table.DownsideRisk.R ├── table.DownsideRiskRatio.R ├── table.Drawdowns.R ├── table.DrawdownsRatio.R ├── table.HigherMoments.R ├── table.InformationRatio.R ├── table.MonthlyReturns.R ├── table.RollingPeriods.R ├── table.SpecificRisk.R ├── table.UpDownRatios.R ├── table.Variability.R ├── textplot.R ├── valueAtRiskFunctions.r ├── zerofill.R └── zzz.R ├── codeblock.txt ├── data ├── edhec.csv ├── edhec.rda ├── managers.csv ├── managers.rda ├── portfolio_bacon.csv ├── portfolio_bacon.rda ├── prices.rda └── weights.rda ├── generatechangelog.sh ├── man ├── ActivePremium.Rd ├── AdjustedSharpeRatio.Rd ├── AppraisalRatio.Rd ├── AverageDrawdown.Rd ├── BernardoLedoitRatio.Rd ├── BetaCoMoments.Rd ├── BurkeRatio.Rd ├── CAPM.RiskPremium.Rd ├── CAPM.alpha.Rd ├── CAPM.beta.Rd ├── CAPM.dynamic.Rd ├── CAPM.epsilon.Rd ├── CAPM.jensenAlpha.Rd ├── CDD.Rd ├── CalmarRatio.Rd ├── CoMoments.Rd ├── DRatio.Rd ├── DownsideDeviation.Rd ├── DownsideFrequency.Rd ├── DrawdownDeviation.Rd ├── DrawdownPeak.Rd ├── ES.Rd ├── FamaBeta.Rd ├── Frequency.Rd ├── HurstIndex.Rd ├── InformationRatio.Rd ├── Kappa.Rd ├── KellyRatio.Rd ├── M2Sortino.Rd ├── MSquared.Rd ├── MSquaredExcess.Rd ├── MarketTiming.Rd ├── MartinRatio.Rd ├── MeanAbsoluteDeviation.Rd ├── Modigliani.Rd ├── NetSelectivity.Rd ├── Omega.Rd ├── OmegaExcessReturn.Rd ├── OmegaSharpeRatio.Rd ├── PainIndex.Rd ├── PainRatio.Rd ├── PerformanceAnalytics-package.Rd ├── ProspectRatio.Rd ├── Return.Geltner.Rd ├── Return.annualized.Rd ├── Return.annualized.excess.Rd ├── Return.calculate.Rd ├── Return.clean.Rd ├── Return.cumulative.Rd ├── Return.excess.Rd ├── Return.portfolio.Rd ├── Return.read.Rd ├── Return.relative.Rd ├── Selectivity.Rd ├── SharpeRatio.Rd ├── SharpeRatio.annualized.Rd ├── SkewnessKurtosisRatio.Rd ├── SmoothingIndex.Rd ├── SortinoRatio.Rd ├── SpecificRisk.Rd ├── StdDev.Rd ├── StdDev.annualized.Rd ├── SystematicRisk.Rd ├── TotalRisk.Rd ├── TrackingError.Rd ├── TreynorRatio.Rd ├── UlcerIndex.Rd ├── UpDownRatios.Rd ├── UpsideFrequency.Rd ├── UpsidePotentialRatio.Rd ├── UpsideRisk.Rd ├── VaR.Rd ├── VolatilitySkewness.Rd ├── apply.fromstart.Rd ├── apply.rolling.Rd ├── centeredmoments.Rd ├── chart.ACF.Rd ├── chart.Bar.Rd ├── chart.BarVaR.Rd ├── chart.Boxplot.Rd ├── chart.CaptureRatios.Rd ├── chart.Correlation.Rd ├── chart.CumReturns.Rd ├── chart.Drawdown.Rd ├── chart.ECDF.Rd ├── chart.Events.Rd ├── chart.Histogram.Rd ├── chart.QQPlot.Rd ├── chart.Regression.Rd ├── chart.RelativePerformance.Rd ├── chart.RiskReturnScatter.Rd ├── chart.RollingCorrelation.Rd ├── chart.RollingMean.Rd ├── chart.RollingPerformance.Rd ├── chart.RollingRegression.Rd ├── chart.Scatter.Rd ├── chart.SnailTrail.Rd ├── chart.StackedBar.Rd ├── chart.TimeSeries.Rd ├── chart.VaRSensitivity.Rd ├── charts.PerformanceSummary.Rd ├── charts.RollingPerformance.Rd ├── checkData.Rd ├── clean.boudt.Rd ├── edhec.Rd ├── findDrawdowns.Rd ├── kurtosis.Rd ├── legend.Rd ├── lpm.Rd ├── managers.Rd ├── maxDrawdown.Rd ├── mean.geometric.Rd ├── portfolio_bacon.Rd ├── prices.Rd ├── skewness.Rd ├── sortDrawdowns.Rd ├── table.AnnualizedReturns.Rd ├── table.Arbitrary.Rd ├── table.Autocorrelation.Rd ├── table.CAPM.Rd ├── table.CalendarReturns.Rd ├── table.CaptureRatios.Rd ├── table.Correlation.Rd ├── table.Distributions.Rd ├── table.DownsideRisk.Rd ├── table.DownsideRiskRatio.Rd ├── table.Drawdowns.Rd ├── table.DrawdownsRatio.Rd ├── table.HigherMoments.Rd ├── table.InformationRatio.Rd ├── table.MonthlyReturns.Rd ├── table.RollingPeriods.Rd ├── table.SpecificRisk.Rd ├── table.Variability.Rd ├── textplot.Rd ├── weights.Rd └── zerofill.Rd ├── sandbox ├── Benford.R ├── PAenhance │ ├── R │ │ ├── chart.Boxplot.R │ │ └── chart.QQplot.R │ ├── inst │ │ ├── PA-KirkLi.Rnw │ │ └── PA-KirkLi.pdf │ └── man │ │ ├── chart.Boxplot.Rd │ │ └── chart.QQPlot.Rd ├── Return.wealthindex.R ├── Shubhankit │ ├── noniid.sm │ │ ├── .Rbuildignore │ │ ├── DESCRIPTION │ │ ├── NAMESPACE │ │ ├── R │ │ │ ├── ACStdDev.annualized.R │ │ │ ├── CDrawdown.R │ │ │ ├── CalmarRatio.Norm.R │ │ │ ├── EmaxDDGBM.R │ │ │ ├── GLMSmoothIndex.R │ │ │ ├── LoSharpe.R │ │ │ ├── QP.Norm.R │ │ │ ├── Return.GLM.R │ │ │ ├── Return.Okunev.R │ │ │ ├── SterlingRatio.Norm.R │ │ │ ├── UnsmoothReturn.R │ │ │ ├── chart.AcarSim.R │ │ │ ├── chart.Autocorrelation.R │ │ │ ├── glmi.R │ │ │ ├── lmi.R │ │ │ ├── na.skip.R │ │ │ ├── noniid.sm-internal.R │ │ │ ├── se.LoSharpe.R │ │ │ ├── table.ComparitiveReturn.GLM.R │ │ │ ├── table.EMaxDDGBM.R │ │ │ ├── table.Sharpe.R │ │ │ ├── table.UnsmoothReturn.R │ │ │ └── table.normDD.R │ │ ├── man │ │ │ ├── ACStdDev.annualized.Rd │ │ │ ├── AcarSim.Rd │ │ │ ├── CalmarRatio.Norm.Rd │ │ │ ├── Cdrawdown.Rd │ │ │ ├── EMaxDDGBM.Rd │ │ │ ├── GLMSmoothIndex.Rd │ │ │ ├── LoSharpe.Rd │ │ │ ├── QP.Norm.Rd │ │ │ ├── Return.GLM.Rd │ │ │ ├── Return.Okunev.Rd │ │ │ ├── SterlingRatio.Norm.Rd │ │ │ ├── UnSmoothReturn.Rd │ │ │ ├── chart.AcarSim.Rd │ │ │ ├── chart.Autocorrelation.Rd │ │ │ ├── glmi.Rd │ │ │ ├── lmi.Rd │ │ │ ├── se.LoSharpe.Rd │ │ │ ├── table.ComparitiveReturn.GLM.Rd │ │ │ ├── table.EMaxDDGBM.Rd │ │ │ ├── table.Sharpe.Rd │ │ │ ├── table.UnsmoothReturn.Rd │ │ │ └── table.normDD.Rd │ │ ├── noniid.sm.Rproj │ │ ├── tests │ │ │ └── Examples │ │ │ │ ├── noniid.sm-Ex.R │ │ │ │ ├── noniid.sm-Ex.Rout │ │ │ │ └── noniid.sm-Ex.pdf │ │ └── vignettes │ │ │ ├── Non-iid-ACFSTDEV.pdf │ │ │ ├── Non-iid-ACFSTDEV.rnw │ │ │ ├── Non-iid-ConditionalDrawdown.Rnw │ │ │ ├── Non-iid-ConditionalDrawdown.pdf │ │ │ ├── Non-iid-EmaxDDGBM.Rnw │ │ │ ├── Non-iid-EmaxDDGBM.pdf │ │ │ ├── Non-iid-GLMReturn.Rnw │ │ │ ├── Non-iid-GLMReturn.pdf │ │ │ ├── Non-iid-GLMSmoothIndex.Rnw │ │ │ ├── Non-iid-GLMSmoothIndex.pdf │ │ │ ├── Non-iid-LoSharpeRatio.Rnw │ │ │ ├── Non-iid-LoSharpeRatio.pdf │ │ │ ├── Non-iid-Managers.Rnw │ │ │ ├── Non-iid-Managers.pdf │ │ │ ├── Non-iid-NormCalmar-Sterling.pdf │ │ │ ├── Non-iid-NormCalmar-Sterling.rnw │ │ │ ├── Non-iid-OWReturn.Rnw │ │ │ ├── Non-iid-OWReturn.pdf │ │ │ ├── Non-iid-OkunevWhite.Rnw │ │ │ ├── Non-iid-OkunevWhite.pdf │ │ │ ├── Non-iid-ShaneAcarMaxLoss.Rnw │ │ │ ├── Non-iid-ShaneAcarMaxLoss.pdf │ │ │ ├── Non-iid-UnSmoothReturnAnalysis.Rnw │ │ │ └── Non-iid-UnSmoothReturnAnalysis.pdf │ ├── noniid.sm_0.1.zip │ └── sandbox │ │ ├── Week6-7 │ │ ├── Code │ │ │ ├── Covariance Matrix Integrated Regression Function │ │ │ │ ├── glmi.R │ │ │ │ ├── lmi.R │ │ │ │ └── nlsi.R │ │ │ ├── Data │ │ │ │ ├── Investment.csv │ │ │ │ ├── PublicSchools.csv │ │ │ │ ├── RealInt.csv │ │ │ │ └── ps.csv │ │ │ ├── Equivalent Matlab Code │ │ │ │ ├── NWmissings.m │ │ │ │ ├── effort.dat │ │ │ │ ├── nwse.m │ │ │ │ ├── regstats2.m │ │ │ │ └── sim_NWmissings.m │ │ │ └── Tests │ │ │ │ ├── Cross Sectional Data.R │ │ │ │ ├── HAC Data.R │ │ │ │ ├── Tests.R │ │ │ │ └── Time Series Data.R │ │ ├── Literature │ │ │ ├── Thumbs.db │ │ │ ├── Zelisis.pdf │ │ │ └── sandwich-OOP.pdf │ │ ├── Vignette │ │ │ ├── HACintegrated-hac-kweights.pdf │ │ │ ├── HACintegrated-hac-plot.pdf │ │ │ ├── HACintegrated-hc-plot.pdf │ │ │ ├── HACintegrated.Rnw │ │ │ ├── HACintegrated.log │ │ │ ├── HACintegrated.tex │ │ │ ├── Test_Report.Rnw │ │ │ └── Test_Report.pdf │ │ └── lmi.R │ │ └── vignettes │ │ ├── ACFSTDEV.rnw │ │ ├── AcarSim.R │ │ ├── Cheklov.CDDOpt.Rnw │ │ ├── Commodity.Rnw │ │ ├── CommodityReport.Rnw │ │ ├── Commodity_ResearchReport.Rnw │ │ ├── ConditionalDrawdown.Rnw │ │ ├── GLMReturn.Rnw │ │ ├── GLMSmoothIndex.Rnw │ │ ├── LoSharpe.Rnw │ │ ├── Managers.Rnw │ │ ├── Managers.pdf │ │ ├── MaximumLoss.Rnw │ │ ├── NormCalmar.rnw │ │ ├── OkunevWhite.Rnw │ │ └── ShaneAcarMaxLoss.Rnw ├── fPerformance │ ├── DESCRIPTION │ ├── R │ │ ├── perf-Data.R │ │ ├── perf-DownsideRisk.R │ │ ├── perf-Drawdown.R │ │ ├── perf-RegressionAnalysis.R │ │ ├── perf-RelativeRisk.R │ │ ├── perf-ReturnDisributions.R │ │ ├── perf-Returns.R │ │ ├── perf-Risk.R │ │ ├── perf-RiskAdjusted.R │ │ ├── perf-Tables.R │ │ └── perf-ValueAtRisk.R │ └── man │ │ ├── perfAdjustedMeasures.Rd │ │ ├── perfDistributionMeasures.Rd │ │ ├── perfDownsideMeasures.Rd │ │ ├── perfDrawdownMeasures.Rd │ │ ├── perfRegressionMeasures.Rd │ │ ├── perfRelativeMeasures.Rd │ │ ├── perfVaRMeasures.Rd │ │ ├── returns.Rd │ │ └── tables.Rd ├── pulkit │ ├── .Rbuildignore │ ├── DESCRIPTION │ ├── NAMESPACE │ ├── R │ │ ├── BenchmarkPlots.R │ │ ├── BenchmarkSR.R │ │ ├── CDaRMultipath.R │ │ ├── CdaR.R │ │ ├── DrawdownBeta.R │ │ ├── DrawdownBetaMulti.R │ │ ├── Drawdownalpha.R │ │ ├── EDDCOPS.R │ │ ├── Edd.R │ │ ├── ExtremeDrawdown.R │ │ ├── GoldenSection.R │ │ ├── MaxDD.R │ │ ├── MinTRL.R │ │ ├── MonteSimulTriplePenance.R │ │ ├── PSRopt.R │ │ ├── Penance.R │ │ ├── ProbSharpeRatio.R │ │ ├── REDDCOPS.R │ │ ├── REM.R │ │ ├── SRIndifferenceCurve.R │ │ ├── TriplePenance.R │ │ ├── TuW.R │ │ ├── capm_aorda.R │ │ ├── chart.Penance.R │ │ ├── chart.REDD.R │ │ ├── chart.SharpeEfficient.R │ │ ├── gpdmle.R │ │ ├── na.skip.R │ │ ├── psr_python.R │ │ ├── redd.R │ │ ├── ret.R │ │ ├── table.PSR.R │ │ └── table.Penance.R │ ├── data │ │ ├── capm_aorda.csv │ │ ├── psr_python.csv │ │ └── ret.csv │ ├── inst │ │ └── doc │ │ │ ├── ProbSharpe.Rnw │ │ │ └── ProbSharpe.pdf │ ├── man │ │ ├── AlphaDrawdown.Rd │ │ ├── BenchmarkSR.Rd │ │ ├── BetaDrawdown.Rd │ │ ├── CDaR.Rd │ │ ├── CdarMultiPath.Rd │ │ ├── DrawdownGPD.Rd │ │ ├── EDDCOPS.Rd │ │ ├── EconomicDrawdown.Rd │ │ ├── MaxDD.Rd │ │ ├── MinTrackRecord.Rd │ │ ├── MonteSimulTriplePenance.Rd │ │ ├── MultiBetaDrawdown.Rd │ │ ├── Penance.Rd │ │ ├── ProbSharpeRatio.Rd │ │ ├── PsrPortfolio.Rd │ │ ├── REDDCOPS.Rd │ │ ├── TuW.Rd │ │ ├── capm_aorda.Rd │ │ ├── chart.BenchmarkSR.Rd │ │ ├── chart.Penance.Rd │ │ ├── chart.REDD.Rd │ │ ├── chart.SRIndifference.Rd │ │ ├── golden_section.Rd │ │ ├── psr_python.Rd │ │ ├── ret.Rd │ │ ├── rollDrawdown.Rd │ │ ├── rollEconomicMax.Rd │ │ ├── table.PSR.Rd │ │ └── table.Penance.Rd │ ├── src │ │ ├── gpd.c │ │ └── moment.c │ ├── week1 │ │ ├── code │ │ │ ├── PSR.py │ │ │ └── PSROpt.py │ │ ├── tests │ │ │ └── SEF.tests.R │ │ └── vignette │ │ │ └── ProbSharpe.pdf │ ├── week2 │ │ └── tests │ │ │ └── test_SharpeIndifference.R │ ├── week3_4 │ │ ├── code │ │ │ ├── DD2.py │ │ │ ├── DD3.py │ │ │ └── run.py │ │ ├── tests │ │ │ └── tests.TriplePenance.R │ │ └── vignette │ │ │ └── TriplePenance.pdf 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