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ChangeLog
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5668 lines (4823 loc) · 241 KB
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2016-04-21 pteetor
* New plotting parameter: 'yaxis.pct' (logical) forces the Y axis
of some returns-related plots to be displayed as percentages.
* R/ActivePremium - Pass thru the "..." parameters of ActivePremium
to Return.annualized, letting caller calculate non-geometric returns.
2014-09-14 braverock
* DESCRIPTION: - add Diethelm to 'ctb' designation
* R/zerofill.R: - remove Kris from copyright banner for zerofill,
Ross (and Brian) wrote this
* DESCRIPTION: - add Kris to 'cph' designation, per Kurt Hornick
for CRAN team
* man/PerformanceAnalytics-package.Rd: - add missing comma
* DESCRIPTION, man/PerformanceAnalytics-package.Rd: - move all
Thanks to the documentation, it is now against CRAN policies to
thank people in the DESCRIPTION file.
* DESCRIPTION: - change Authors and Contributors fields to
Authors@R to address yet another suggestion that is actually a
requirement from CRAN
2014-09-12 braverock
* .Rbuildignore, ChangeLog, DESCRIPTION, NEWS,
tests/Examples/PerformanceAnalytics-Ex.Rout.save: - minor updates
prior to CRAN submit
- bump version to 1.4.3534
* DESCRIPTION, NAMESPACE, man/AverageDrawdown.Rd: - minor updates
prior to CRAN release
2014-09-11 peter_carl
* R/maxDrawdown.R: - changed row label to fit function name
* R/maxDrawdown.R, sandbox/refactored.Portfolio.rebalancing.R: -
added AverageLength function
- added documentation for additional drawdown functions
* man/PerformanceAnalytics-package.Rd: - minor changes to reflect
changes in release
2014-09-11 braverock
* R/Return.portfolio.R, man/Return.portfolio.Rd: - update docs for
Return.portfolio
* DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R,
R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R,
R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R,
R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R,
R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
R/DownsideFrequency.R, R/DrawdownPeak.R, R/ES.R, R/FamaBeta.R,
R/Frequency.R, R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R,
R/M2Sortino.R, R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R,
R/MeanAbsoluteDeviation.R, R/NetSelectivity.R, R/Omega.R,
R/OmegaExcessReturn.R, R/OmegaSharpeRatio.R, R/PainIndex.R,
R/PainRatio.R, R/ProspectRatio.R, R/Return.Geltner.R,
R/Return.annualized.R, R/Return.annualized.excess.R,
R/Return.calculate.R, R/Return.clean.R, R/Return.cumulative.R,
R/Return.excess.R, R/Return.portfolio.R, R/Return.read.R,
R/Return.relative.R, R/Selectivity.R, R/SharpeRatio.R,
R/SharpeRatio.annualized.R, R/SkewnessKurtosisRatio.R,
R/SmoothingIndex.R, R/SortinoRatio.R, R/SpecificRisk.R,
R/StdDev.R, R/StdDev.annualized.R, R/SystematicRisk.R,
R/TotalRisk.R, R/TrackingError.R, R/TreynorRatio.R,
R/UpDownRatios.R, R/UpsideFrequency.R, R/UpsidePotentialRatio.R,
R/UpsideRisk.R, R/VaR.R, R/VolatilitySkewness.R,
R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R,
R/chart.Bar.R, R/chart.BarVaR.R, R/chart.Boxplot.R,
R/chart.CaptureRatios.R, R/chart.Correlation.R,
R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R,
R/chart.Events.R, R/chart.Histogram.R, R/chart.QQPlot.R,
R/chart.Regression.R, R/chart.RelativePerformance.R,
R/chart.RiskReturnScatter.R, R/chart.RollingCorrelation.R,
R/chart.RollingMean.R, R/chart.RollingPerformance.R,
R/chart.RollingRegression.R, R/chart.Scatter.R,
R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R,
R/chart.VaRSensitivity.R, R/charts.PerformanceSummary.R,
R/charts.RollingPerformance.R, R/checkData.R, R/findDrawdowns.R,
R/kurtosis.R, R/maxDrawdown.R, R/mean.utils.R, R/skewness.R,
R/sortDrawdowns.R, R/table.AnnualizedReturns.R,
R/table.Arbitrary.R, R/table.Autocorrelation.R, R/table.CAPM.R,
R/table.CalendarReturns.R, R/table.CaptureRatios.R,
R/table.Correlation.R, R/table.Distributions.R,
R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R,
R/table.Drawdowns.R, R/table.DrawdownsRatio.R,
R/table.HigherMoments.R, R/table.InformationRatio.R,
R/table.MonthlyReturns.R, R/table.ProbOutperformance.R,
R/table.RollingPeriods.R, R/table.SpecificRisk.R,
R/table.Variability.R, R/textplot.R, man/ActivePremium.Rd,
man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd,
man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
man/CAPM.beta.Rd, man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd,
man/CDD.Rd, man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd,
man/DownsideDeviation.Rd, man/DownsideFrequency.Rd,
man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
man/Frequency.Rd, man/InformationRatio.Rd, man/Kappa.Rd,
man/KellyRatio.Rd, man/M2Sortino.Rd, man/MSquared.Rd,
man/MSquaredExcess.Rd, man/MartinRatio.Rd,
man/MeanAbsoluteDeviation.Rd, man/NetSelectivity.Rd,
man/Omega.Rd, man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
man/Return.Geltner.Rd, man/Return.annualized.Rd,
man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
man/Return.clean.Rd, man/Return.cumulative.Rd,
man/Return.excess.Rd, man/Return.portfolio.Rd,
man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd,
man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd,
man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd,
man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd,
man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
man/chart.QQPlot.Rd, man/chart.Regression.Rd,
man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
man/charts.RollingPerformance.Rd, man/checkData.Rd,
man/clean.boudt.Rd, man/edhec.Rd, man/findDrawdowns.Rd,
man/kurtosis.Rd, man/maxDrawdown.Rd, man/mean.geometric.Rd,
man/portfolio_bacon.Rd, man/prices.Rd, man/skewness.Rd,
man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd,
man/table.Arbitrary.Rd, man/table.Autocorrelation.Rd,
man/table.CAPM.Rd, man/table.CalendarReturns.Rd,
man/table.CaptureRatios.Rd, man/table.Correlation.Rd,
man/table.Distributions.Rd, man/table.DownsideRisk.Rd,
man/table.DownsideRiskRatio.Rd, man/table.Drawdowns.Rd,
man/table.DrawdownsRatio.Rd, man/table.HigherMoments.Rd,
man/table.InformationRatio.Rd, man/table.MonthlyReturns.Rd,
man/table.ProbOutPerformance.Rd, man/table.RollingPeriods.Rd,
man/table.SpecificRisk.Rd, man/table.Variability.Rd,
man/textplot.Rd, man/weights.Rd,
tests/Examples/PerformanceAnalytics-Ex.Rout.save: - updates to
pass R CMD check --as-cran
2014-09-08 peter_carl
* NEWS: - added comments on version number method
2014-09-07 braverock
* ChangeLog, DESCRIPTION, R/Return.clean.R, R/chart.Histogram.R,
R/chart.QQPlot.R, R/chart.RollingQuantileRegression.R: - updates
to pass R CMD check on r-devel
2014-09-05 bodanker
* R/VaR.R: - Fix error in reasonableness check when tmp is not
finite
2014-09-04 braverock
* DESCRIPTION, man/VaR.Rd: - update docs
* DESCRIPTION, NAMESPACE, NEWS, R/VaR.R, R/decomposeMVaR.R[DEL],
R/expectedShortFallFunctions.r[DEL], R/rCornishFisher.r[DEL],
R/valueAtRiskFunctions.r[DEL], man/ActivePremium.Rd,
man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd,
man/AverageDrawdown.Rd, man/BernardoLedoitRatio.Rd,
man/BetaCoMoments.Rd, man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd,
man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CAPM.dynamic.Rd,
man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/CDD.Rd,
man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd,
man/DownsideDeviation.Rd, man/DownsideFrequency.Rd,
man/DrawdownDeviation.Rd, man/DrawdownPeak.Rd, man/ES.Rd,
man/FamaBeta.Rd, man/Frequency.Rd, man/HurstIndex.Rd,
man/InformationRatio.Rd, man/Kappa.Rd, man/KellyRatio.Rd,
man/M2Sortino.Rd, man/MSquared.Rd, man/MSquaredExcess.Rd,
man/MarketTiming.Rd, man/MartinRatio.Rd,
man/MeanAbsoluteDeviation.Rd, man/Modigliani.Rd,
man/NetSelectivity.Rd, man/Omega.Rd, man/OmegaExcessReturn.Rd,
man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/PainRatio.Rd,
man/ProspectRatio.Rd, man/Return.Geltner.Rd,
man/Return.annualized.Rd, man/Return.annualized.excess.Rd,
man/Return.calculate.Rd, man/Return.clean.Rd,
man/Return.cumulative.Rd, man/Return.excess.Rd,
man/Return.portfolio.Rd, man/Return.read.Rd,
man/Return.relative.Rd, man/Selectivity.Rd, man/SharpeRatio.Rd,
man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd,
man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd,
man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
man/chart.QQPlot.Rd, man/chart.Regression.Rd,
man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
man/charts.RollingPerformance.Rd, man/checkData.Rd,
man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
man/table.Correlation.Rd, man/table.Distributions.Rd,
man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
man/table.MonthlyReturns.Rd, man/table.ProbOutPerformance.Rd,
man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd,
man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd,
sandbox/decomposeMVaR.R[CPY],
sandbox/expectedShortFallFunctions.r[CPY],
sandbox/rCornishFisher.r[CPY],
sandbox/valueAtRiskFunctions.r[CPY],
tests/Examples/PerformanceAnalytics-Ex.Rout.save: - move
bootstrap files to sandbox, will clean up for next release
- update docs to latest roxygen2
- update NEWS
2014-09-02 braverock
* DESCRIPTION, NAMESPACE, R/CoMoments.R, R/ES.R,
R/MultivariateMoments.R, R/table.ProbOutperformance.R, R/zzz.R,
man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd,
man/AppraisalRatio.Rd, man/AverageDrawdown.Rd,
man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd,
man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd,
man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd,
man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd,
man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd,
man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd,
man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd,
man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd,
man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
man/Return.Geltner.Rd, man/Return.annualized.Rd,
man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
man/Return.clean.Rd, man/Return.cumulative.Rd,
man/Return.excess.Rd, man/Return.read.Rd, man/Return.relative.Rd,
man/Selectivity.Rd, man/SharpeRatio.Rd,
man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd,
man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd,
man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
man/chart.QQPlot.Rd, man/chart.Regression.Rd,
man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
man/charts.RollingPerformance.Rd, man/checkData.Rd,
man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
man/table.Correlation.Rd, man/table.Distributions.Rd,
man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
man/table.MonthlyReturns.Rd,
man/table.ProbOutPerformance.Rd[ADD],
man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd,
man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd,
tests/Examples/PerformanceAnalytics-Ex.Rout.save: - clean check
in R-release ahead of new CRAN version
2014-09-02 rossbennett34
* R/zerofill.R, man/zerofill.Rd: Modifying zerofill to avoid loops
and use method="xts" in checkData. Minor edits to zerofill man
file.
2014-08-30 efmrforge
* man/table.ProbOutPerformance.Rd[DEL]: Removed failing .Rd file
* R/table.ProbOutperformance.R: Fixed formatting, so this would
build
* R/table.ProbOutperformance.R: Added title and one line
description so it would build
2014-08-27 kylebalkissoon
* man/table.ProbOutPerformance.Rd[ADD]: Documentation for
table.ProbOutPerformance.Rd
* R/table.ProbOutperformance.R: Expanded documentation and added
examples
2014-08-26 rossbennett34
* R/Return.portfolio.R, man/Return.portfolio.Rd: fixing bad link
error
2014-08-24 rossbennett34
* R/Return.portfolio.R, man/Return.portfolio.Rd: zerofilling NA's
and fixing examples in Return.portfolio
* vignettes/portfolio_returns.Rnw,
vignettes/portfolio_returns.pdf[ADD]: revisions to portfolio
returns vignette
* man/Return.portfolio.Rd: updated Rd file for Return.portfolio
2014-08-19 kylebalkissoon
* R/table.ProbOutperformance.R: Line endings switched to unix
* R/table.ProbOutperformance.R[ADD]: Table to calculate # of
periods fund is outperforming benchmark on a cumulative basis.
User can supply a vector of periods and this will calculate it.
This also returns the proportion of periods the fund outperforms
which is commonly known as the probability of outperformance.
2014-08-13 kylebalkissoon
* R/Return.portfolio.R:
2014-07-27 rossbennett34
* src/Makevars.win[ADD]: Adding Makevars.win file to link against
BLAS and LAPACK libraries
2014-07-09 kecoli
* sandbox/PAenhance/NAMESPACE,
sandbox/PAenhance/R/table.Performance.R,
sandbox/PAenhance/man/SharpeRatio.Rd,
sandbox/PAenhance/man/UncertaintyMeasure.Rd,
sandbox/PAenhance/man/chart.Boxplot.Rd,
sandbox/PAenhance/man/chart.QQPlot.Rd,
sandbox/PAenhance/man/table.Performance.Rd,
sandbox/PAenhance/man/table.Performance.pool.Rd,
sandbox/PAenhance/man/table.Performance.pool.cran.Rd: add
optional argument exportXLS to table.Performance(), that one can
export the Performance table to an Excel file.
2014-07-03 rossbennett34
* NAMESPACE, R/MultivariateMoments.R, sandbox/testMM.R[ADD],
src[ADD], src/momentF.f90[ADD]: Adding compiled M3 and M4
functions
2014-06-22 kecoli
* sandbox/PAenhance/NAMESPACE, sandbox/PAenhance/R/SharpeRatio.R,
sandbox/PAenhance/R/Uncertainty.R[ADD],
sandbox/PAenhance/man/SharpeRatio.Rd,
sandbox/PAenhance/man/UncertaintyMeasure.Rd[ADD]: change of man
page,
add uncertainty measure of Variance estimator,
add bootstrap sd for SharpRatio,
modify Sharpratio to adapt to table.Performance
* sandbox/PAenhance[ADD], sandbox/PAenhance/DESCRIPTION[ADD],
sandbox/PAenhance/LICENSE[ADD], sandbox/PAenhance/NAMESPACE[ADD],
sandbox/PAenhance/Plan for next release[ADD],
sandbox/PAenhance/R[ADD],
sandbox/PAenhance/R/PAenhance-internal.R[ADD],
sandbox/PAenhance/R/SharpeRatio.R[ADD],
sandbox/PAenhance/R/cbind.na.R[ADD],
sandbox/PAenhance/R/chart.Boxplot.R[ADD],
sandbox/PAenhance/R/chart.QQplot.R[ADD],
sandbox/PAenhance/R/inslib.R[ADD],
sandbox/PAenhance/R/table.Performance.R[ADD],
sandbox/PAenhance/R/table.Performance.pool.R[ADD],
sandbox/PAenhance/R/table.Performance.pool.cran.R[ADD],
sandbox/PAenhance/README.md[ADD], sandbox/PAenhance/man[ADD],
sandbox/PAenhance/man/SharpeRatio.Rd[ADD],
sandbox/PAenhance/man/chart.Boxplot.Rd[ADD],
sandbox/PAenhance/man/chart.QQPlot.Rd[ADD],
sandbox/PAenhance/man/table.Performance.Rd[ADD],
sandbox/PAenhance/man/table.Performance.pool.Rd[ADD],
sandbox/PAenhance/man/table.Performance.pool.cran.Rd[ADD],
sandbox/PAenhance/vignettes[ADD],
sandbox/PAenhance/vignettes/PA-KirkLi.Rnw[ADD],
sandbox/PAenhance/vignettes/PA-KirkLi.pdf[ADD]: merging Kirk's
github work to R-forge
including Chart.Boxplot, Chart.QQplot, table.performance.R
* sandbox/PAshiny[ADD], sandbox/PAshiny/chooser-binding.js[ADD],
sandbox/PAshiny/chooser.R[ADD],
sandbox/PAshiny/crsp.short.6.Rdata[ADD],
sandbox/PAshiny/crsp.short.6.csv[ADD],
sandbox/PAshiny/crsp.short.Rdata[ADD],
sandbox/PAshiny/run.R[ADD], sandbox/PAshiny/server.R[ADD],
sandbox/PAshiny/server_bk.R[ADD],
sandbox/PAshiny/table.Performance.R[ADD],
sandbox/PAshiny/textArea.js[ADD], sandbox/PAshiny/ui.R[ADD],
sandbox/PAshiny/www[ADD],
sandbox/PAshiny/www/chooser-binding.js[ADD],
sandbox/PAshiny/www/index_1.html[ADD],
sandbox/PAshiny/www/stylesheets[ADD],
sandbox/PAshiny/www/stylesheets/jquery-ui.css[ADD],
sandbox/PAshiny/www/stylesheets/style.css[ADD],
sandbox/PAshiny/www/textarea.js[ADD]: merging Kirk's github work
to R-forge
Shiny interface for table.Performance.R in PAenhance
* sandbox/PAenhance[DEL]: merging Kirk's github work to R-forge
2014-06-22 rossbennett34
* vignettes/portfolio_returns.Rnw[ADD]: Adding first draft of
portfolio returns vignette
2014-06-18 rossbennett34
* R/Return.portfolio.R: Modifying Return.rebalancing to support
wealth index and contribution args as well as adding separate
functions for arithmetic and geometric returns
2014-06-11 peter_carl
* R/Return.excess.R: - fixes error when Rf unlabeled - thanks Dave
Demers
2014-06-09 braverock
* DESCRIPTION: - bump version because of new Return.portfolio and
Return.rebalancing
* R/Return.portfolio.R: - add back copyright/license block, lost in
the prototyping
* R/Return.portfolio.R: - fix so the package will build, still need
answers to missing args geometric, wealth_index, and contribution
2014-06-07 peter_carl
* R/Return.portfolio.R: - Refactored and replaced the function,
thanks Ross
* sandbox/refactored.Portfolio.rebalancing.R: - added to examples
2014-06-07 rossbennett34
* sandbox/refactored.Portfolio.rebalancing.R,
sandbox/test_Return.rebalancing.R[ADD]: adding refactored
return.rebalancing function with roxygen documentation and a test
script
2014-04-11 peter_carl
* sandbox/refactored.Portfolio.rebalancing.R: - works
2014-04-09 peter_carl
* sandbox/refactored.Portfolio.rebalancing.R[ADD]: - incomplete
first draft of refactored function
2014-02-27 braverock
* tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update
example output to account for Return.portfolio reversion
2014-02-26 braverock
* man/chart.Events.Rd: - update roxygen doc for chart.Events
* R/Return.portfolio.R: - revert calculation for geometric=TRUE in
Return.portfolio to r2170, we'll improve this with a broader
refactoring
2014-02-26 peter_carl
* R/chart.Boxplot.R: - really a reversion back to rev 2163 with
hardcoded horizontal arg
- anticipating future improvements that will make this work
better
2014-02-25 peter_carl
* R/Return.calculate.R, R/chart.RollingPerformance.R,
R/chart.TimeSeries.R, R/decomposeMVaR.R: - removed ':::' to
internal functions and exported xts functions
* R/chart.Events.R: - fixed example to pass check
2014-02-25 kecoli
* sandbox/PAenhance/R/lpm.Rd[DEL],
sandbox/PAenhance/man/lpm.R[DEL]: delete misplaced file in
sandbox/PAenhance
* sandbox/PAenhance[ADD], sandbox/PAenhance/R[ADD],
sandbox/PAenhance/R/chart.Boxplot.R[ADD],
sandbox/PAenhance/R/chart.QQplot.R[ADD],
sandbox/PAenhance/R/lpm.Rd[ADD], sandbox/PAenhance/inst[ADD],
sandbox/PAenhance/inst/PA-KirkLi.Rnw[ADD],
sandbox/PAenhance/inst/PA-KirkLi.pdf[ADD],
sandbox/PAenhance/man[ADD],
sandbox/PAenhance/man/chart.Boxplot.Rd[ADD],
sandbox/PAenhance/man/chart.QQPlot.Rd[ADD],
sandbox/PAenhance/man/lpm.R[ADD]: commit to sandbox/PAenhance,
major changes on chart.Boxplot.R and chart.QQplot.R per comments
made by Douglass Martin. Plan to merge to trunk version soon.
For details see sandbox/PAenhance/inst/PA-KirkLi.pdf
2014-02-23 braverock
* tests/Examples/PerformanceAnalytics-Ex.Rout.save: - commit
updated example output
* .Rbuildignore, DESCRIPTION, NAMESPACE, R/CAPM.dynamic.R,
R/MSquaredExcess.R, R/MarketTiming.R, R/StdDev.annualized.R,
R/TreynorRatio.R, R/chart.TimeSeries.R,
R/charts.RollingPerformance.R, R/lpm.R,
R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
R/table.Autocorrelation.R, R/table.CAPM.R,
R/table.CalendarReturns.R, R/table.CaptureRatios.R,
R/table.Correlation.R, R/table.DownsideRisk.R,
R/table.Drawdowns.R, R/table.HigherMoments.R,
R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/textplot.R,
R/zzz.R, man/CAPM.dynamic.Rd, man/MSquaredExcess.Rd,
man/MarketTiming.Rd, man/TreynorRatio.Rd,
man/chart.TimeSeries.Rd, man/charts.RollingPerformance.Rd,
man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
man/table.Correlation.Rd, man/table.DownsideRisk.Rd,
man/table.Drawdowns.Rd, man/table.HigherMoments.Rd,
man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd,
man/textplot.Rd, vignettes/PA-Bacon.Rnw, vignettes/PA-charts.Rnw,
vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw,
vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw,
vignettes/textplotPresentation-CRUG-2011.Rnw: - more fixes for R
CMD check prior to CRAN release
* DESCRIPTION, NAMESPACE, R/DownsideDeviation.R,
R/Return.calculate.R, R/StdDev.annualized.R, R/chart.Events.R,
R/table.CaptureRatios.R, R/table.UpDownRatios.R,
man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd,
man/AppraisalRatio.Rd, man/AverageDrawdown.Rd,
man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd,
man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd,
man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd,
man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd,
man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd,
man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd,
man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd,
man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd,
man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
man/Return.Geltner.Rd, man/Return.annualized.Rd,
man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
man/Return.clean.Rd, man/Return.cumulative.Rd,
man/Return.excess.Rd, man/Return.portfolio.Rd,
man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd,
man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd,
man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd,
man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd,
man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
man/chart.QQPlot.Rd, man/chart.Regression.Rd,
man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
man/charts.RollingPerformance.Rd, man/checkData.Rd,
man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd,
man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd,
man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd,
man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd,
man/table.Autocorrelation.Rd, man/table.CAPM.Rd,
man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd,
man/table.Correlation.Rd, man/table.Distributions.Rd,
man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd,
man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd,
man/table.HigherMoments.Rd, man/table.InformationRatio.Rd,
man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd,
man/table.SpecificRisk.Rd, man/table.Variability.Rd,
man/textplot.Rd, man/zerofill.Rd: - updates ahead of CRAN release
2014-02-21 peter_carl
* R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R: - added
alias for SFM nomenclature
* R/CAPM.beta.R: - added alias for SFM.beta
* R/CAPM.alpha.R: - added alias for SFM.alpha
* ., R/legend.R, sandbox/Shubhankit: - added alias tags for tol
colors
2014-02-20 braverock
* NAMESPACE, R/ActivePremium.R, R/HurstIndex.R,
R/Return.index.R[DEL], R/Return.wealthindex.R[DEL],
R/mean.utils.R, R/zerofill.R, man/HurstIndex.Rd[ADD],
sandbox/Return.wealthindex.R[CPY]: - export more functions prior
to CRAN release
- move Return.index/wealthindex to sandbox
* DESCRIPTION, NAMESPACE, R/CAPM.alpha.R, R/CAPM.beta.R,
R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R,
R/CAPM.utils.R, R/checkData.R, R/lpm.R, inst[DEL],
man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd,
man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd,
man/CAPM.jensenAlpha.Rd, man/checkData.Rd, man/lpm.Rd: - add SFM
aliases for all CAPM functions, and export them
- minor doc edits
- bump version as we prepare for new CRAN release
* inst/doc[DEL], vignettes[CPY]: - move inst/doc to vignettes
2014-02-14 peter_carl
* R/legend.R: - added exports for tol color schemes
2014-02-13 braverock
* NAMESPACE, R/ES.R, R/table.CAPM.R: - more roxygen NAMESPACE
changes
* .Rbuildignore, NAMESPACE, R/legend.R, R/textplot.R, R/zzz.R,
codeblock.txt[ADD], generatechangelog.sh,
man/DownsideDeviation.Rd, man/MSquared.Rd, man/lpm.Rd[ADD]: -
update roxygen docs
- update exports to create roxygen-generated NAMESPACE file
2014-02-13 peter_carl
* DESCRIPTION: - switched dependency from 'sn' to 'gamlss'
* R/chart.Histogram.R: - replaced 'sn' dependency with 'gamlss' for
skew-t fit
2014-01-28 peter_carl
* R/Omega.R: - fixed Hmisc reference for CRAN note
2014-01-18 braverock
* DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R,
R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R,
R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R,
R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R,
R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
R/DownsideFrequency.R, R/DrawdownPeak.R, R/Drawdowns.R, R/ES.R,
R/FamaBeta.R, R/Frequency.R, R/HerfindahlIndex.R, R/HurstIndex.R,
R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R, R/M2Sortino.R,
R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R,
R/MeanAbsoluteDeviation.R, R/MultivariateMoments.R,
R/NetSelectivity.R, R/Omega.R, R/OmegaExcessReturn.R,
R/OmegaSharpeRatio.R, R/PainIndex.R, R/PainRatio.R,
R/PortfolioRisk.R, R/ProspectRatio.R, R/Return.Geltner.R,
R/Return.annualized.R, R/Return.calculate.R, R/Return.clean.R,
R/Return.cumulative.R, R/Return.excess.R, R/Return.index.R,
R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R,
R/Return.wealthindex.R, R/Selectivity.R, R/SemiDeviation.R,
R/SharpeRatio.R, R/SharpeRatio.annualized.R,
R/SkewnessKurtosisRatio.R, R/SmoothingIndex.R, R/SortinoRatio.R,
R/SpecificRisk.R, R/StdDev.R, R/StdDev.annualized.R,
R/SystematicRisk.R, R/TotalRisk.R, R/TrackingError.R,
R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R,
R/UpsideFrequency.R, R/UpsidePotentialRatio.R, R/UpsideRisk.R,
R/VaR.Marginal.R, R/VaR.R, R/VolatilitySkewness.R,
R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R,
R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.R,
R/chart.Boxplot.R, R/chart.CaptureRatios.R,
R/chart.Correlation.R, R/chart.CumReturns.R, R/chart.Drawdown.R,
R/chart.ECDF.R, R/chart.Events.R, R/chart.Histogram.R,
R/chart.QQPlot.R, R/chart.Regression.R,
R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R,
R/chart.RollingCorrelation.R, R/chart.RollingMean.R,
R/chart.RollingPerformance.R,
R/chart.RollingQuantileRegression.R, R/chart.RollingRegression.R,
R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.StackedBar.R,
R/chart.TimeSeries.R, R/chart.VaRSensitivity.R, R/charts.Bar.R,
R/charts.BarVaR.R, R/charts.PerformanceSummary.R,
R/charts.RollingPerformance.R, R/charts.RollingRegression.R,
R/charts.TimeSeries.R, R/checkData.R, R/decomposeMVaR.R,
R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/lpm.R[ADD],
R/maxDrawdown.R, R/mean.utils.R, R/na.skip.R, R/rCornishFisher.r,
R/replaceTabs.R, R/skewness.R, R/sortDrawdowns.R,
R/table.AnnualizedReturns.R, R/table.Arbitrary.R,
R/table.Autocorrelation.R, R/table.CAPM.R,
R/table.CalendarReturns.R, R/table.CaptureRatios.R,
R/table.Correlation.R, R/table.Distributions.R,
R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R,
R/table.Drawdowns.R, R/table.DrawdownsRatio.R,
R/table.HigherMoments.R, R/table.InformationRatio.R,
R/table.MonthlyReturns.R, R/table.RollingPeriods.R,
R/table.SpecificRisk.R, R/table.UpDownRatios.R,
R/table.Variability.R, R/textplot.R, R/valueAtRiskFunctions.r,
R/zerofill.R, R/zzz.R,
sandbox/Shubhankit/noniid.sm/R/CDrawdown.R,
sandbox/Shubhankit/noniid.sm/R/GLMSmoothIndex.R,
sandbox/Shubhankit/noniid.sm/R/Return.GLM.R,
sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R,
sandbox/Shubhankit/noniid.sm/R/chart.AcarSim.R,
sandbox/Shubhankit/noniid.sm/R/chart.Autocorrelation.R,
sandbox/Shubhankit/noniid.sm/R/na.skip.R,
sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R,
sandbox/pulkit/R/EDDCOPS.R, sandbox/pulkit/R/Edd.R,
sandbox/pulkit/R/MinTRL.R, sandbox/pulkit/R/ProbSharpeRatio.R,
sandbox/pulkit/R/REDDCOPS.R, sandbox/pulkit/R/REM.R,
sandbox/pulkit/R/na.skip.R, sandbox/pulkit/R/redd.R: - update
copyright to 2014
2014-01-06 peter_carl
* R/chart.Correlation.R: - now passing method into cor.test
2014-01-03 matthieu_lestel
* R/MSquared.R: correction of a bug in the computation of MSquared
2013-11-26 peter_carl
* NAMESPACE: - added AverageRecovery to namespace
2013-11-26 matthieu_lestel
* R/DownsideDeviation.R: example with MAR at 0.5% instead of 50%
* R/MSquaredExcess.R: correction of a bug when risk free rate is
not null in MSquaredExcess computation
2013-11-14 peter_carl
* DESCRIPTION: - bumped version to 1.1.2
* man/CAPM.epsilon.Rd, man/CDD.Rd, man/Return.annualized.excess.Rd,
man/SkewnessKurtosisRatio.Rd, man/StdDev.annualized.Rd,
man/centeredmoments.Rd, man/chart.ACF.Rd,
man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd,
man/legend.Rd, man/mean.geometric.Rd: - re-roxygenized help files
* R/Return.annualized.excess.R: - fixed typo
* R/Return.annualized.excess.R: - fixed example to use managers
dataset
* NAMESPACE: - added Return.annualized.excess
* NAMESPACE, sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd[CPY]: -
added Modigliani function
* NAMESPACE: - added MarketTiming function
* NAMESPACE: - added CAPM.dynamic
2013-10-30 peter_carl
* R/chart.TimeSeries.R: - repairs a bug in passing cex.lab and
cex.main into dots within title
2013-10-19 peter_carl
* R/Return.portfolio.R: - fixed a bug in the calc of first period
of Return.portfolio
2013-10-12 shubhanm
* sandbox/Shubhankit/Shubhankit.zip[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw,
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf,
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw,
sandbox/Shubhankit/noniid.sm_0.1.tar.gz[DEL]: R CMD Clean Build,
removing one path script which lead to previous non-build fatal
error, deletion of 21 MB file zipped file [ deemed unnecessary]
2013-10-08 shubhanm
* sandbox/Shubhankit/Shubhankit.zip[ADD]: Adding zipped version of
work done till present as submitted to Google Inc. Apologies for
prev message
* sandbox/Shubhankit/sandbox/vignettes/Managers.pdf[ADD]: Adding
zipped version of work done till present as submitted to Google
Inc.
2013-10-03 peter_carl
* R/chart.RiskReturnScatter.R: - added no.readonly=TRUE to par
* R/chart.TimeSeries.R: - added correct las handling for axis
labels
2013-09-26 peter_carl
* R/chart.VaRSensitivity.R: - added ylim to documentation
* R/chart.VaRSensitivity.R: - added ylim so that axis can be
adjusted
2013-09-22 shubhanm
* sandbox/Shubhankit/noniid.sm_0.1.tar.gz[ADD],
sandbox/Shubhankit/noniid.sm_0.1.zip[ADD]: Binary and Source
Package
* sandbox/Shubhankit/noniid.sm/R/glmi.R,
sandbox/Shubhankit/noniid.sm/R/lmi.R,
sandbox/Shubhankit/noniid.sm/man/glmi.Rd,
sandbox/Shubhankit/noniid.sm/man/lmi.Rd,
sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
EmaxDDGBM.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
LoSharpeRatio.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - UnSmooth Return
Analysis.pdf[DEL], sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ACFSTDEV.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -Commodity Index
Fund Analysis.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ConditionalDrawdown.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-GLMReturn.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-GLMSmoothIndex.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-NormCalmar-Sterling.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-OkunevWhite.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ShaneAcarMaxLoss.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/NormCalmar.rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/OWReturn.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/OkunevWhite.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/ShaneAcarMaxLoss.Rnw[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/UnSmoothReturnAnalysis.Rnw[DEL]:
final touches -
* sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Commodity.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/CommodityReport.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Managers.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
EmaxDDGBM.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -
LoSharpeRatio.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - UnSmooth Return
Analysis.pdf[ADD], sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ACFSTDEV.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -Commodity Index
Fund Analysis.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ConditionalDrawdown.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-GLMReturn.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-GLMSmoothIndex.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-NormCalmar-Sterling.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-OkunevWhite.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/Non-iid
-ShaneAcarMaxLoss.pdf[ADD],
sandbox/Shubhankit/noniid.sm/vignettes/NormCalmar.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/OWReturn.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/OkunevWhite.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/ShaneAcarMaxLoss.pdf[DEL],
sandbox/Shubhankit/noniid.sm/vignettes/UnSmoothReturnAnalysis.pdf[DEL],
sandbox/Shubhankit/sandbox/AcarSim.R[DEL],
sandbox/Shubhankit/sandbox/Commodity-002.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-005.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-006.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-007.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-009.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-010.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-011.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-012.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/Commodity.Rnw[DEL],
sandbox/Shubhankit/sandbox/Commodity.log[DEL],
sandbox/Shubhankit/sandbox/Commodity.pdf[DEL],
sandbox/Shubhankit/sandbox/Commodity.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/Commodity.tex[DEL],
sandbox/Shubhankit/sandbox/Commodity.toc[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-002.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-005.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-006.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-007.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-009.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-010.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-011.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-012.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.Rnw[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.log[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.pdf[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.tex[DEL],
sandbox/Shubhankit/sandbox/CommodityReport.toc[DEL],
sandbox/Shubhankit/sandbox/LoSharpe.Rnw[DEL],
sandbox/Shubhankit/sandbox/Managers-002.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-005.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-006.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-007.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-008.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-009.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-010.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-011.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/Managers.Rnw[DEL],
sandbox/Shubhankit/sandbox/Managers.log[DEL],
sandbox/Shubhankit/sandbox/Managers.pdf[DEL],
sandbox/Shubhankit/sandbox/Managers.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/Managers.tex[DEL],
sandbox/Shubhankit/sandbox/Managers.toc[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV-Graph10.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV.log[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/vignettes/ACFSTDEV.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/AcarSim.R[ADD],
sandbox/Shubhankit/sandbox/vignettes/Commodity.Rnw[ADD],
sandbox/Shubhankit/sandbox/vignettes/CommodityReport.Rnw[ADD],
sandbox/Shubhankit/sandbox/vignettes/Commodity_ResearchReport.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/ConditionalDrawdown-Graph10.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/ConditionalDrawdown.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/GLMReturn-Graph1.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/GLMReturn-Graph10.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/GLMReturn.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/GLMSmoothIndex.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpe.Rnw,
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio.Rnw[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio.log[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/vignettes/LoSharpeRatio.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/Managers.Rnw[ADD],
sandbox/Shubhankit/sandbox/vignettes/NormCalmar-Graph10.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/NormCalmar.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/OkunevWhite-Graph1.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/OkunevWhite-Graph10.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/OkunevWhite.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/Rplots.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/ShaneAcarMaxLoss-003.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/ShaneAcarMaxLoss.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-003.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-004.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-005.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-006.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-007.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-008.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-Graph3.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-Graph4.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-Graph5.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-Graph6.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis-concordance.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis.log[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis.pdf[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis.synctex.gz[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis.tex[DEL],
sandbox/Shubhankit/sandbox/vignettes/UnSmoothReturnAnalysis.toc[DEL]:
final touches - deletion of junk files + transfers
* sandbox/Shubhankit/noniid.sm/.Rproj.user[DEL]: final touches-
.Rproj history removed
2013-09-20 shubhanm
* sandbox/Shubhankit/noniid.sm/.Rproj.user/E5D7D248/sdb/per/t/32D790F7[DEL],
sandbox/Shubhankit/noniid.sm/.Rproj.user/E5D7D248/sdb/per/t/445E439C[DEL],