├── DESCRIPTION ├── MD5 ├── NAMESPACE ├── 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 ├── CDAR.alpha.R ├── CDAR.beta.R ├── CalmarRatio.R ├── CoMoments.R ├── DRatio.R ├── DownsideDeviation.R ├── DownsideFrequency.R ├── DownsideSharpeRatio.R ├── DrawdownPeak.R ├── Drawdowns.R ├── ES.R ├── FamaBeta.R ├── Frequency.R ├── HerfindahlIndex.R ├── HurstIndex.R ├── InformationRatio.R ├── Kappa.R ├── KellyRatio.R ├── Level.calculate.R ├── M2Sortino.R ├── MM.NCE.R ├── MSquared.R ├── MSquaredExcess.R ├── MarketTiming.R ├── MartinRatio.R ├── MeanAbsoluteDeviation.R ├── MinTRL.R ├── Modigliani.R ├── MultivariateMoments.R ├── NetSelectivity.R ├── Omega.R ├── OmegaExcessReturn.R ├── OmegaSharpeRatio.R ├── PainIndex.R ├── PainRatio.R ├── PerformanceAnalytics-package.R ├── PortfolioRisk.R ├── ProbSharpeRatio.R ├── ProspectRatio.R ├── RPESE.control.R ├── RachevRatio.R ├── Return.Geltner.R ├── Return.annualized.R ├── Return.annualized.excess.R ├── Return.calculate.R ├── Return.clean.R ├── Return.convert.R ├── Return.cumulative.R ├── Return.excess.R ├── Return.locScaleRob.R ├── Return.portfolio.R ├── Return.read.R ├── Return.relative.R ├── SFM.coefficients.R ├── SFM.fit.models.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.SFM.R ├── chart.Scatter.R ├── chart.SnailTrail.R ├── chart.StackedBar.R ├── chart.TimeSeries.R ├── chart.TimeSeries.base.R ├── chart.TimeSeries.builtin.R ├── chart.TimeSeries.dygraph.R ├── chart.TimeSeries.ggplot2.R ├── chart.TimeSeries.googlevis.R ├── chart.TimeSeries.plotly.R ├── chart.VaRSensitivity.R ├── charts.Bar.R ├── charts.BarVaR.R ├── charts.PerformanceSummary.R ├── charts.RollingPerformance.R ├── charts.RollingRegression.R ├── charts.TimeSeries.R ├── checkData.R ├── checkSeedValue.R ├── findDrawdowns.R ├── kurtosis.R ├── legend.R ├── lpm.R ├── maxDrawdown.R ├── mean.utils.R ├── na.skip.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.ProbOutperformance.R ├── table.RollingPeriods.R ├── table.SpecificRisk.R ├── table.UpDownRatios.R ├── table.Variability.R ├── test_returns.R ├── test_weights.R ├── textplot.R ├── to.period.contributions.R ├── utils.R ├── zerofill.R └── zzz.R ├── README.md ├── data ├── edhec.csv.gz ├── edhec.rda ├── managers.csv.gz ├── managers.rda ├── portfolio_bacon.csv.gz ├── portfolio_bacon.rda ├── prices.rda ├── test_returns.rda ├── test_weights.rda └── weights.rda ├── inst ├── doc │ ├── EstimationComoments.R │ ├── EstimationComoments.Rnw │ ├── EstimationComoments.pdf │ ├── PA-charts.R │ ├── PA-charts.Rnw │ ├── PA-charts.pdf │ ├── PA_StandardErrors.pdf │ ├── PA_StandardErrors.pdf.asis │ ├── PerformanceAnalyticsChartsPresentation-Meielisalp-2007.R │ ├── PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw │ ├── PerformanceAnalyticsChartsPresentation-Meielisalp-2007.pdf │ ├── PerformanceAnalyticsPresentation-UseR-2007.R │ ├── PerformanceAnalyticsPresentation-UseR-2007.Rnw │ ├── PerformanceAnalyticsPresentation-UseR-2007.pdf │ ├── portfolio_returns.R │ ├── portfolio_returns.Rnw │ ├── portfolio_returns.pdf │ ├── textplotPresentation-CRUG-2011.pdf │ └── textplotPresentation-CRUG-2011.pdf.asis └── tinytest │ ├── test_CAPM.R │ ├── test_PerformanceAnalytics.R │ ├── test_Return.portfolio.arithmetic.R │ ├── test_Return.portfolio.geometric.R │ └── test_to.period.contributions.R ├── man ├── ActivePremium.Rd ├── AdjustedSharpeRatio.Rd ├── AppraisalRatio.Rd ├── AverageDrawdown.Rd ├── AverageLength.Rd ├── AverageRecovery.Rd ├── BernardoLedoitRatio.Rd ├── BetaCoMoments.Rd ├── BurkeRatio.Rd ├── CAPM.RiskPremium.Rd ├── CAPM.dynamic.Rd ├── CAPM.epsilon.Rd ├── CAPM.jensenAlpha.Rd ├── CDD.Rd ├── CDaR.alpha.Rd ├── CDaR.beta.Rd ├── CalmarRatio.Rd ├── CoMoments.Rd ├── DRatio.Rd ├── DownsideDeviation.Rd ├── DownsideFrequency.Rd ├── DownsideSharpeRatio.Rd ├── DrawdownDeviation.Rd ├── DrawdownPeak.Rd ├── ES.Rd ├── EWMAMoments.Rd ├── FamaBeta.Rd ├── Frequency.Rd ├── HurstIndex.Rd ├── InformationRatio.Rd ├── Kappa.Rd ├── KellyRatio.Rd ├── Level.calculate.Rd ├── M2Sortino.Rd ├── MCA.Rd ├── MSquared.Rd ├── MSquaredExcess.Rd ├── MarketTiming.Rd ├── MartinRatio.Rd ├── MeanAbsoluteDeviation.Rd ├── MinTrackRecord.Rd ├── Modigliani.Rd ├── NCE.Rd ├── NetSelectivity.Rd ├── Omega.Rd ├── OmegaExcessReturn.Rd ├── OmegaSharpeRatio.Rd ├── PainIndex.Rd ├── PainRatio.Rd ├── PerformanceAnalytics-package.Rd ├── ProbSharpeRatio.Rd ├── ProspectRatio.Rd ├── RPESE.control.Rd ├── RachevRatio.Rd ├── Return.Geltner.Rd ├── Return.annualized.Rd ├── Return.annualized.excess.Rd ├── Return.calculate.Rd ├── Return.clean.Rd ├── Return.convert.Rd ├── Return.cumulative.Rd ├── Return.excess.Rd ├── Return.locScaleRob.Rd ├── Return.portfolio.Rd ├── Return.read.Rd ├── Return.relative.Rd ├── SFM.alpha.Rd ├── SFM.beta.Rd ├── SFM.coefficients.Rd ├── SFM.fit.models.Rd ├── Selectivity.Rd ├── SharpeRatio.Rd ├── SharpeRatio.annualized.Rd ├── ShrinkageMoments.Rd ├── SkewnessKurtosisRatio.Rd ├── SmoothingIndex.Rd ├── SortinoRatio.Rd ├── SpecificRisk.Rd ├── StdDev.Rd ├── StdDev.annualized.Rd ├── StructuredMoments.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.SFM.Rd ├── chart.Scatter.Rd ├── chart.SnailTrail.Rd ├── chart.StackedBar.Rd ├── chart.TimeSeries.Rd ├── chart.VaRSensitivity.Rd ├── charts.PerformanceSummary.Rd ├── charts.RollingPerformance.Rd ├── checkData.Rd ├── checkSeedValue.Rd ├── clean.boudt.Rd ├── dot-coefficients.Rd ├── edhec.Rd ├── findDrawdowns.Rd ├── kurtosis.Rd ├── legend.Rd ├── lpm.Rd ├── managers.Rd ├── maxDrawdown.Rd ├── mean.geometric.Rd ├── portfolio-moments.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.ProbOutPerformance.Rd ├── table.RollingPeriods.Rd ├── table.SpecificRisk.Rd ├── table.Variability.Rd ├── test_returns.Rd ├── test_weights.Rd ├── textplot.Rd ├── to.period.contributions.Rd ├── unique-comoments.Rd ├── weights.Rd └── zerofill.Rd ├── src ├── MCAHelper.c ├── NCEHelper.c ├── comomentsEstimators.c ├── comomentsHelper.c └── init.c ├── tests └── tinytest.R └── vignettes ├── EstimationComoments.Rnw ├── Graphing-Engine-2019-Features.Rmd ├── PA-Bacon.Rmd ├── PA-Bacon.pdf ├── PA-charts.Rnw ├── PA.bib ├── PA_StandardErrors.pdf.asis ├── PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw ├── PerformanceAnalyticsGraphicalExamples.pdf ├── PerformanceAnalyticsPresentation-UseR-2007.Rnw ├── Rlogo.jpg ├── portfolio_returns.Rnw └── 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