[Returnanalytics-commits] r2163 - in pkg/PerformanceAnalytics: . R man sandbox/Meucci sandbox/Meucci/man

noreply at r-forge.r-project.org noreply at r-forge.r-project.org
Mon Jul 16 02:30:19 CEST 2012 

Author: braverock
Date: 2012-07-16 02:30:19 +0200 (Mon, 16 Jul 2012)
New Revision: 2163

Modified:
   pkg/PerformanceAnalytics/DESCRIPTION
   pkg/PerformanceAnalytics/NAMESPACE
   pkg/PerformanceAnalytics/R/CAPM.beta.R
   pkg/PerformanceAnalytics/R/CAPM.utils.R
   pkg/PerformanceAnalytics/R/CoMoments.R
   pkg/PerformanceAnalytics/R/DownsideDeviation.R
   pkg/PerformanceAnalytics/R/InformationRatio.R
   pkg/PerformanceAnalytics/R/KellyRatio.R
   pkg/PerformanceAnalytics/R/Omega.R
   pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R
   pkg/PerformanceAnalytics/R/Return.Geltner.R
   pkg/PerformanceAnalytics/R/Return.annualized.R
   pkg/PerformanceAnalytics/R/Return.calculate.R
   pkg/PerformanceAnalytics/R/Return.clean.R
   pkg/PerformanceAnalytics/R/Return.cumulative.R
   pkg/PerformanceAnalytics/R/Return.excess.R
   pkg/PerformanceAnalytics/R/Return.portfolio.R
   pkg/PerformanceAnalytics/R/Return.read.R
   pkg/PerformanceAnalytics/R/Return.relative.R
   pkg/PerformanceAnalytics/R/SemiDeviation.R
   pkg/PerformanceAnalytics/R/SharpeRatio.R
   pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R
   pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R
   pkg/PerformanceAnalytics/R/SmoothingIndex.R
   pkg/PerformanceAnalytics/R/SortinoRatio.R
   pkg/PerformanceAnalytics/R/StdDev.R
   pkg/PerformanceAnalytics/R/SystematicRisk.R
   pkg/PerformanceAnalytics/R/TotalRisk.R
   pkg/PerformanceAnalytics/R/TrackingError.R
   pkg/PerformanceAnalytics/R/TreynorRatio.R
   pkg/PerformanceAnalytics/R/UlcerIndex.R
   pkg/PerformanceAnalytics/R/UpDownRatios.R
   pkg/PerformanceAnalytics/R/UpsidePotentialRatio.R
   pkg/PerformanceAnalytics/R/VaR.R
   pkg/PerformanceAnalytics/R/chart.ACF.R
   pkg/PerformanceAnalytics/R/chart.ACFplus.R
   pkg/PerformanceAnalytics/R/chart.Bar.R
   pkg/PerformanceAnalytics/R/chart.Boxplot.R
   pkg/PerformanceAnalytics/R/chart.CaptureRatios.R
   pkg/PerformanceAnalytics/R/chart.Correlation.R
   pkg/PerformanceAnalytics/R/chart.CumReturns.R
   pkg/PerformanceAnalytics/R/chart.Drawdown.R
   pkg/PerformanceAnalytics/R/chart.ECDF.R
   pkg/PerformanceAnalytics/R/chart.QQPlot.R
   pkg/PerformanceAnalytics/R/chart.Regression.R
   pkg/PerformanceAnalytics/R/chart.RelativePerformance.R
   pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R
   pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R
   pkg/PerformanceAnalytics/R/chart.RollingMean.R
   pkg/PerformanceAnalytics/R/chart.RollingPerformance.R
   pkg/PerformanceAnalytics/R/chart.RollingQuantileRegression.R
   pkg/PerformanceAnalytics/R/chart.Scatter.R
   pkg/PerformanceAnalytics/R/chart.SnailTrail.R
   pkg/PerformanceAnalytics/R/chart.StackedBar.R
   pkg/PerformanceAnalytics/R/chart.TimeSeries.R
   pkg/PerformanceAnalytics/R/chart.VaRSensitivity.R
   pkg/PerformanceAnalytics/R/charts.Bar.R
   pkg/PerformanceAnalytics/R/charts.BarVaR.R
   pkg/PerformanceAnalytics/R/charts.PerformanceSummary.R
   pkg/PerformanceAnalytics/R/charts.RollingPerformance.R
   pkg/PerformanceAnalytics/R/charts.RollingRegression.R
   pkg/PerformanceAnalytics/R/charts.TimeSeries.R
   pkg/PerformanceAnalytics/R/checkData.R
   pkg/PerformanceAnalytics/R/findDrawdowns.R
   pkg/PerformanceAnalytics/R/kurtosis.R
   pkg/PerformanceAnalytics/R/legend.R
   pkg/PerformanceAnalytics/R/maxDrawdown.R
   pkg/PerformanceAnalytics/R/mean.utils.R
   pkg/PerformanceAnalytics/R/skewness.R
   pkg/PerformanceAnalytics/R/sortDrawdowns.R
   pkg/PerformanceAnalytics/R/table.AnnualizedReturns.R
   pkg/PerformanceAnalytics/R/table.Arbitrary.R
   pkg/PerformanceAnalytics/R/table.Autocorrelation.R
   pkg/PerformanceAnalytics/R/table.CAPM.R
   pkg/PerformanceAnalytics/R/table.CalendarReturns.R
   pkg/PerformanceAnalytics/R/table.CaptureRatios.R
   pkg/PerformanceAnalytics/R/table.Correlation.R
   pkg/PerformanceAnalytics/R/table.HigherMoments.R
   pkg/PerformanceAnalytics/R/table.RollingPeriods.R
   pkg/PerformanceAnalytics/R/textplot.R
   pkg/PerformanceAnalytics/man/BetaCoMoments.Rd
   pkg/PerformanceAnalytics/man/BurkeRatio.Rd
   pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd
   pkg/PerformanceAnalytics/man/CAPM.beta.Rd
   pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd
   pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd
   pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
   pkg/PerformanceAnalytics/man/Return.calculate.Rd
   pkg/PerformanceAnalytics/man/Return.portfolio.Rd
   pkg/PerformanceAnalytics/man/TreynorRatio.Rd
   pkg/PerformanceAnalytics/man/chart.ACF.Rd
   pkg/PerformanceAnalytics/man/chart.RollingRegression.Rd
   pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/DESCRIPTION
   pkg/PerformanceAnalytics/sandbox/Meucci/man/CMAcombination.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/CMAseparation.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/Central2Raw.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/Cumul2Raw.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/PartialConfidencePosterior.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/Prior2Posterior.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/Raw2Central.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/Raw2Cumul.Rd
   pkg/PerformanceAnalytics/sandbox/Meucci/man/robustBayesianPortfolioOptimization.Rd
Log:
- update roxygen doec, specifically @export tags


Modified: pkg/PerformanceAnalytics/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/DESCRIPTION	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/DESCRIPTION	2012-07-16 00:30:19 UTC (rev 2163)
@@ -1,7 +1,7 @@
 Package: PerformanceAnalytics
 Type: Package
 Title: Econometric tools for performance and risk analysis.
-Version: 1.0.4.5
+Version: 1.0.5
 Date: $Date$
 Author: Peter Carl, Brian G. Peterson
 Maintainer: Brian G. Peterson <brian at braverock.com>
@@ -34,5 +34,5 @@
 Contributors: Kris Boudt,  Diethelm Wuertz, Eric Zivot, Matthieu Lestel
 Thanks: A special thanks for additional contributions from
     Stefan Albrecht, Khahn Nygyen, Jeff Ryan,
-    Josh Ulrich, Sankalp Upadhyay, Tobias Verbeke, 
+    Josh Ulrich, Sankalp Upadhyay, Tobias Verbeke,
     H. Felix Wittmann, Ram Ahluwalia

Modified: pkg/PerformanceAnalytics/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/NAMESPACE	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/NAMESPACE	2012-07-16 00:30:19 UTC (rev 2163)
@@ -1,422 +1,132 @@
-# NAMESPACE file for PerformanceAnalytics
-
-importFrom("utils", "packageDescription")
-importFrom("stats", "sd")
-
-importFrom("zoo", "rollapply")
-
-# export all functions/variables that don't start with a .
-# exportPattern("^[^\\.]")
-
-
-export(
-    ActivePremium,
-    apply.fromstart,
-    apply.rolling,
-    BetaCoKurtosis,
-    BetaCoSkewness,
-    BetaCoVariance,
-    CalculateReturns,
-    CalmarRatio,
-    CAPM.alpha,
-    CAPM.beta,
-    CAPM.beta.bear,
-    CAPM.beta.bull,
-    CAPM.CML,
-    CAPM.CML.slope,
-    CAPM.RiskPremium,
-    CAPM.SML.slope,
-    CDD,
-    checkData,
-    clean.boudt,
-    CoKurtosis,
-#    CoKurtosisMatrix, #export after co-moments paper is done
-    CoSkewness,
-#    CoSkewnessMatrix, #export after co-moments paper is done
-    CoVariance,
-    DownsideDeviation,
-    DownsidePotential,
-    Drawdowns,
-    ES,
-    ETL,
-    CVaR,
-    findDrawdowns,
-    InformationRatio,
-    KellyRatio,
-    kurtosis,
-    maxDrawdown,
-    mean.geometric,
-    mean.LCL,
-    mean.stderr,
-    mean.UCL,
-    Omega,
-#    pfolioReturn,
-    Return.annualized,
-    Return.calculate,
-    Return.centered,
-    Return.clean,
-    Return.cumulative,
-    Return.excess,
-    Return.Geltner,
-    Return.portfolio,
-    Return.rebalancing,
-    Return.read,
-    Return.relative,
-    sd.annualized,
-    sd.multiperiod,
-    SemiDeviation,
-    SemiVariance,
-    SharpeRatio,
-    SharpeRatio.annualized,
-    SharpeRatio.modified,
-    skewness,
-    SmoothingIndex,
-    sortDrawdowns,
-    SortinoRatio,
-    StdDev,
-    StdDev.annualized,
-    SterlingRatio,
-#    style.fit,
-#    style.QPfit,
-    TimingRatio,
-    TrackingError,
-    TreynorRatio,
-    UpDownRatios,
-    UPR,
-    UpsidePotentialRatio,
-    VaR
-)
-
-## Tables
-export(
-    table.AnnualizedReturns,
-    table.Arbitrary,
-    table.Autocorrelation,
-    table.CalendarReturns,
-    table.CAPM,
-    table.CaptureRatios,
-    table.Correlation,
-    table.DownsideRisk,
-    table.Drawdowns,
-    table.HigherMoments,
-    table.Returns,
-    table.Stats,
-    table.TrailingPeriods,
-    table.TrailingPeriodsRel,
-    table.UpDownRatios
-)
-
-## Charts
-export(
-    chart.ACF,
-    chart.ACFplus,
-    chart.Bar,
-    charts.Bar,
-    chart.BarVaR,
-    charts.BarVaR,
-    chart.Boxplot,
-    chart.CaptureRatios,
-    chart.Correlation,
-#    chart.Correlation.color,
-    chart.CumReturns,
-    chart.Drawdown,
-    chart.ECDF,
-    chart.Events,
-    chart.Histogram,
-    chart.QQPlot,
-    chart.Regression,
-    chart.RelativePerformance,
-    chart.RiskReturnScatter,
-    chart.RollingCorrelation,
-    chart.RollingMean,
-    chart.RollingPerformance,
-    chart.RollingRegression,
-    chart.RollingQuantileRegression,
-#    chart.RollingStyle,
-    chart.Scatter,
-    chart.SnailTrail,
-    charts.PerformanceSummary,
-    charts.RollingPerformance,
-    charts.RollingRegression,
-    chart.StackedBar,
-#    chart.Style,
-    chart.TimeSeries,
-    chart.VaRSensitivity,
-    textplot
-)
-
-export(
-    allsymbols,
-    bluefocus,
-    bluemono,
-    bond.dates,
-    bond.labels,
-    closedsymbols,
-    cycles.dates,
-    dark6equal,
-    dark8equal,
-    equity.dates,
-    equity.labels,
-    fillsymbols,
-    greenfocus,
-    greenmono,
-    grey6mono,
-    grey8mono,
-    legend,
-    linesymbols,
-    macro.dates,
-    macro.labels,
-    opensymbols,
-    rainbow10equal,
-    rainbow12equal,
-    rainbow6equal,
-    rainbow8equal,
-    redfocus,
-    redmono,
-    rich10equal,
-    rich12equal,
-    rich6equal,
-    rich8equal,
-    risk.dates,
-    risk.labels,
-    set6equal,
-    set8equal,
-    tim10equal,
-    tim12equal,
-    tim6equal,
-    tim8equal
-)
-
-S3method(textplot, default)
-S3method(textplot, character)
-S3method(textplot, data.frame)
-S3method(textplot, matrix)
-
-S3method(mean,xts)
-S3method(sd,xts)
-#S3method(mean,matrix)
-S3method(sd,matrix)
-
-S3method(rollapply,xts)
-
-# # Export These
-# ActivePremium
-# apply.fromstart
-# apply.rolling
-# BetaCoKurtosis
-# BetaCoSkewness
-# BetaCoVariance
-# CalculateReturns
-# CalmarRatio
-# CAPM.alpha
-# CAPM.beta
-# CAPM.beta.bear
-# CAPM.beta.bull
-# CAPM.CML
-# CAPM.CML.slope
-# CAPM.RiskPremium
-# CAPM.SML.slope
-# chart.ACF
-# chart.ACFplus
-# chart.Bar
-# chart.BarVaR
-# chart.Boxplot
-# chart.CaptureRatios
-# chart.Correlation
-# chart.Correlation.color
-# chart.CumReturns
-# chart.Drawdown
-# chart.ECDF
-# chart.Histogram
-# chart.QQPlot
-# chart.Regression
-# chart.RelativePerformance
-# chart.RiskReturnScatter
-# chart.RollingCorrelation
-# chart.RollingMean
-# chart.RollingPerformance
-# chart.RollingRegression
-# chart.RollingStyle
-# chart.Scatter
-# chart.SnailTrail
-# charts.PerformanceSummary
-# charts.RollingPerformance
-# charts.RollingRegression
-# chart.StackedBar
-# chart.Style
-# chart.TimeSeries
-# chart.VaRSensitivity
-# checkData
-# clean.boudt
-# CoKurtosis
-# CoKurtosisMatrix
-# CoSkewness
-# CoSkewnessMatrix
-# CoVariance
-# DownsideDeviation
-# Drawdowns
-# ES
-# findDrawdowns
-# InformationRatio
-# KellyRatio
-# kurtosis
-# maxDrawdown
-# mean.geometric
-# mean.LCL
-# mean.stderr
-# mean.UCL
-# modifiedVaR
-# modSharpe
-# multivariate_mean
-# Omega
-# pfolioReturn
-# Return.annualized
-# Return.calculate
-# Return.centered
-# Return.clean
-# Return.cumulative
-# Return.excess
-# Return.Geltner
-# Return.portfolio
-# Return.portfolio.multiweight
-# Return.read
-# Return.relative
-# sd.annualized
-# sd.multiperiod
-# SemiDeviation
-# SemiVariance
-# SharpeRatio
-# SharpeRatio.annualized
-# SharpeRatio.modified
-# skewness
-# SmoothingIndex
-# sortDrawdowns
-# SortinoRatio
-# SterlingRatio
-# style.fit
-# style.QPfit
-# table.AnnualizedReturns
-# table.Arbitrary
-# table.Autocorrelation
-# table.CalendarReturns
-# table.CAPM
-# table.CaptureRatios
-# table.Correlation
-# table.DownsideRisk
-# table.Drawdowns
-# table.HigherMoments
-# table.MonthlyReturns
-# table.Returns
-# table.UpDownRatios
-# textplot
-# TimingRatio
-# TrackingError
-# TreynorRatio
-# UpDownRatios
-# UPR
-# UpsidePotentialRatio
-# VaR
-
-# # graphics stuff to export
-# allsymbols
-# bluefocus
-# bluemono
-# bond.dates
-# bond.labels
-# closedsymbols
-# cycles.dates
-# dark6equal
-# dark8equal
-# equity.dates
-# equity.labels
-# fillsymbols
-# greenfocus
-# greenmono
-# grey6mono
-# grey8mono
-# legend
-# linesymbols
-# macro.dates
-# macro.labels
-# opensymbols
-# rainbow10equal
-# rainbow12equal
-# rainbow6equal
-# rainbow8equal
-# redfocus
-# redmono
-# rich10equal
-# rich12equal
-# rich6equal
-# rich8equal
-# risk.dates
-# risk.labels
-# set6equal
-# set8equal
-# tim10equal
-# tim12equal
-# tim6equal
-# tim8equal
-
-# # internal/obsolete functions, do not export
-# centeredcomoment
-# centeredmoment
-# checkDataMatrix
-# checkDataVector
-# checkDataZoo
-# derIpower
-# derportm2
-# derportm3
-# derportm4
-# download.RiskFree
-# download.SP500PriceReturns
-# ES.CornishFisher
-# ES.CornishFisher.portfolio
-# ES.Gaussian
-# ES.Gaussian.portfolio
-# ES.historical.portfolio
-# GES.MM
-# GVaR.MM
-# Ipower
-# kernel
-# kurtosis.MM
-# mES.MM
-# modifiedVaR
-# multivariate_mean
-# mVaR.MM
-# M3.MM
-# M4.MM
-# portm2
-# portm3
-# portm4
-# Portmean
-# Portsd
-# precision
-# pvalJB
-# operES.CornishFisher
-# operES.CornishFisher.portfolio
-# skewness.MM
-# SR.GES.MM
-# SR.GVaR.MM
-# SR.mES.MM
-# SR.mVaR.MM
-# SR.StdDev.MM
-# statsTable
-# std
-# StdDev.annualized
-# StdDev.MM
-# textplot.character
-# textplot.data.frame
-# textplot.default
-# textplot.matrix
-# timing.ratio
-# VaR.Beyond
-# VaR.CornishFisher
-# VaR.CornishFisher.portfolio
-# VaR.Gaussian
-# VaR.Gaussian.portfolio
-# VaR.historical.portfolio
-# VaR.kernel.portfolio
-# VaR.Marginal
-# VaR.mean
-# VaR.traditional
+export(ActivePremium)
+export(AdjustedSharpeRatio)
+export(apply.fromstart)
+export(apply.rolling)
+export(AverageDrawdown)
+export(AverageRecovery)
+export(BernardoLedoitratio)
+export(BetaCoKurtosis)
+export(BetaCoMoments)
+export(BetaCoSkewness)
+export(BurkeRatio)
+export(CalculateReturns)
+export(CalmarRatio)
+export(CAPM.alpha)
+export(CAPM.beta)
+export(CAPM.beta.bear)
+export(CAPM.beta.bull)
+export(CAPM.CML)
+export(CAPM.CML.slope)
+export(CAPM.epsilon)
+export(CAPM.jensenAlpha)
+export(CAPM.RiskPremium)
+export(CAPM.SML.slope)
+export(CDD)
+export(centeredcomoment)
+export(centeredmoment)
+export(chart.ACF)
+export(chart.ACFplus)
+export(chart.Bar)
+export(chart.BarVaR)
+export(chart.Boxplot)
+export(chart.CaptureRatios)
+export(chart.Correlation)
+export(chart.CumReturns)
+export(chart.Drawdown)
+export(chart.ECDF)
+export(chart.Events)
+export(chart.Histogram)
+export(chart.QQPlot)
+export(chart.Regression)
+export(chart.RelativePerformance)
+export(chart.RiskReturnScatter)
+export(chart.RollingCorrelation)
+export(chart.RollingMean)
+export(chart.RollingPerformance)
+export(chart.RollingQuantileRegression)
+export(chart.RollingRegression)
+export(charts.Bar)
+export(charts.BarVaR)
+export(chart.Scatter)
+export(chart.SnailTrail)
+export(charts.PerformanceSummary)
+export(charts.RollingPerformance)
+export(charts.RollingRegression)
+export(chart.StackedBar)
+export(charts.TimeSeries)
+export(chart.TimeSeries)
+export(chart.VaRSensitivity)
+export(checkData)
+export(clean.boudt)
+export(CoKurtosis)
+export(CoMoments)
+export(CoSkewness)
+export(DownsideDeviation)
+export(DownsideFrequency)
+export(DRatio)
+export(DrawdownDeviation)
+export(ETL)
+export(findDrawdowns)
+export(InformationRatio)
+export(Kappa)
+export(KellyRatio)
+export(kurtosis)
+export(legend)
+export(maxDrawdown)
+export(MeanAbsoluteDeviation)
+export(mean.geometric)
+export(mean.LCL)
+export(mean.stderr)
+export(mean.UCL)
+export(Omega)
+export(OmegaSharpeRatio)
+export(PainIndex)
+export(PainRatio)
+export(Return.annualized)
+export(Return.calculate)
+export(Return.centered)
+export(Return.clean)
+export(Return.cumulative)
+export(Return.excess)
+export(Return.Geltner)
+export(Return.read)
+export(Return.rebalancing)
+export(Return.relative)
+export(SemiDeviation)
+export(SemiVariance)
+export(SharpeRatio)
+export(SharpeRatio.annualized)
+export(SharpeRatio.modified)
+export(skewness)
+export(SkewnessKurtosisRatio)
+export(SmoothingIndex)
+export(sortDrawdowns)
+export(SortinoRatio)
+export(StdDev)
+export(StdDev.annualized)
+export(SterlingRatio)
+export(SystematicRisk)
+export(table.AnnualizedReturns)
+export(table.Arbitrary)
+export(table.Autocorrelation)
+export(table.CalendarReturns)
+export(table.CAPM)
+export(table.CaptureRatios)
+export(table.Correlation)
+export(table.DownsideRisk)
+export(table.Drawdowns)
+export(table.HigherMoments)
+export(table.Stats)
+export(table.TrailingPeriods)
+export(textplot)
+export(TimingRatio)
+export(TotalRisk)
+export(TrackingError)
+export(TreynorRatio)
+export(UlcerIndex)
+export(UpDownRatios)
+export(UpsideFrequency)
+export(UpsidePotentialRatio)
+export(UpsideRisk)
+export(VaR)
+export(VolatilitySkewness)

Modified: pkg/PerformanceAnalytics/R/CAPM.beta.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.beta.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/CAPM.beta.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -131,6 +131,8 @@
     }
 }
 
+#' @rdname CAPM.beta
+#' @export 
 CAPM.beta.bull <-
 function (Ra, Rb, Rf = 0)
 { # @author Peter Carl
@@ -183,6 +185,8 @@
     }
 }
 
+#' @rdname CAPM.beta
+#' @export 
 CAPM.beta.bear <-
 function (Ra, Rb, Rf = 0)
 { # @author Peter Carl
@@ -236,6 +240,8 @@
 }
 
 
+#' @rdname CAPM.beta
+#' @export 
 TimingRatio <-
 function (Ra, Rb, Rf = 0)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/CAPM.utils.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.utils.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/CAPM.utils.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -126,6 +126,7 @@
 #' CAPM.RiskPremium(managers[,"HAM1",drop=FALSE], Rf=0)
 #' CAPM.SML.slope(managers[,"SP500 TR",drop=FALSE], Rf=0)
 #' # should create plots like in Ruppert 7.1 7.2
+#' @export
 CAPM.RiskPremium <- function (Ra, Rf = 0)
 { #@author Brian G. Peterson
 
@@ -141,6 +142,8 @@
     return (result)
 }
 
+#' @rdname CAPM.RiskPremium
+#' @export
 CAPM.SML.slope <- function (Rb, Rf = 0)
 { #@author Brian G. Peterson
 

Modified: pkg/PerformanceAnalytics/R/CoMoments.R
===================================================================
--- pkg/PerformanceAnalytics/R/CoMoments.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/CoMoments.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -197,7 +197,6 @@
 #' Preference for Moments of Higher Order than the Variance. Journal of Finance
 #' 35(4):915-919.
 #' @keywords ts multivariate distribution models
-#' @export
 #' @examples
 #' 
 #' data(managers)
@@ -205,7 +204,7 @@
 #' CoSkewness(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
 #' CoKurtosis(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
 #' 
-#' 
+#' @export
 CoVariance<- function(Ra,Rb)
 {# @author Kris Boudt, Peter Carl
     Ra= checkData(Ra)
@@ -236,13 +235,12 @@
 
 #' Functions to calculate systematic or beta co-moments of return series
 #' 
+#' calculate higher co-moment betas, or 'systematic' variance, skewness, and
+#' kurtosis
 #' @name BetaCoMoments
+#' @aliases BetaCoMoments BetaCoVariance BetaCoSkewness BetaCoKurtosis
 #' @concept beta co-moments
 #' @concept moments
-#' @aliases BetaCoMoments BetaCoVariance BetaCoSkewness BetaCoKurtosis
-#' @export
-#' calculate higher co-moment betas, or 'systematic' variance, skewness, and
-#' kurtosis
 #' 
 #' The co-moments, including covariance, coskewness, and cokurtosis, do not
 #' allow the marginal impact of an asset on a portfolio to be directly
@@ -261,19 +259,28 @@
 #' Higher moment betas are defined as proportional to the derivative of the
 #' covariance, coskewness and cokurtosis of the second, third and fourth
 #' portfolio moment with respect to the portfolio weights. The beta co-variance
-#' is calculated as: \deqn{ }{BetaCoV(Ra,Rb) =
-#' CoV(Ra,Rb)/centeredmoment(Rb,2)}\deqn{ \beta^{(2)}_{a,b} =
+#' is calculated as: 
+#' 
+#' \deqn{ BetaCoV(Ra,Rb) = \beta^{(2)}_{a,b} =
 #' \frac{CoV(R_a,R_b)}{\mu^{(2)}(R_b)} }{BetaCoV(Ra,Rb) =
-#' CoV(Ra,Rb)/centeredmoment(Rb,2)} Beta co-skewness is given as: \deqn{
-#' }{BetaCoS(Ra,Rb) = CoS(Ra,Rb)/centeredmoment(Rb,3)}\deqn{ \beta^{(3)}_{a,b}
-#' = \frac{CoS(R_a,R_b)}{\mu^{(3)}(R_b)} }{BetaCoS(Ra,Rb) =
-#' CoS(Ra,Rb)/centeredmoment(Rb,3)} Beta co-kurtosis is: \deqn{
-#' }{BetaCoK(Ra,Rb) = CoK(Ra,Rb)/centeredmoment(Rb,4)}\deqn{ \beta^{(4)}_{a,b}
+#' CoV(Ra,Rb)/centeredmoment(Rb,2)} 
+#' 
+#' Beta co-skewness is given as: 
+#' 
+#' \deqn{ BetaCoS(Ra,Rb) = \beta^{(3)}_{a,b}= \frac{CoS(R_a,R_b)}{\mu^{(3)}(R_b)} }{BetaCoS(Ra,Rb) =
+#' CoS(Ra,Rb)/centeredmoment(Rb,3)} 
+#' 
+#' Beta co-kurtosis is: 
+#' 
+#' \deqn{ BetaCoK(Ra,Rb)=\beta^{(4)}_{a,b}
 #' = \frac{CoK(R_a,R_b)}{\mu^{(4)}(R_b)} }{BetaCoK(Ra,Rb) =
-#' CoK(Ra,Rb)/centeredmoment(Rb,4)} where the \eqn{n}-th centered moment is
-#' calculated as \deqn{ }{moment^n(R) = E[R-E(R)^n]}\deqn{ \mu^{(n)}(R) =
-#' E\lbrack(R-E(R))^n\rbrack }{moment^n(R) = E[R-E(R)^n]}
+#' CoK(Ra,Rb)/centeredmoment(Rb,4)} 
 #' 
+#' where the \eqn{n}-th centered moment is
+#' calculated as 
+#' 
+#' \deqn{ \mu^{(n)}(R) = E\lbrack(R-E(R))^n\rbrack }{moment^n(R) = E[R-E(R)^n]}
+#' 
 #' A beta is greater than one indicates that no diversification benefits should
 #' be expected from the introduction of that asset into the portfolio.
 #' Conversely, a beta that is less than one indicates that adding the new asset
@@ -334,7 +341,7 @@
 #' BetaCoKurtosis(managers[,1:6], managers[,8,drop=FALSE])
 #' BetaCoKurtosis(managers[,1:6], managers[,8:7])
 #' 
-#' 
+#' @export 
 BetaCoVariance <- function(Ra,Rb)
 {# @author Kris Boudt, Peter Carl
     Ra= checkData(Ra)

Modified: pkg/PerformanceAnalytics/R/DownsideDeviation.R
===================================================================
--- pkg/PerformanceAnalytics/R/DownsideDeviation.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/DownsideDeviation.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -103,7 +103,6 @@
 #' SemiVariance (managers[,1:6]) #calculated using method="subset"
 #'
 #' @export 
-
 DownsideDeviation <-
 function (R, MAR = 0, method=c("full","subset"), ..., potential=FALSE)
 { # @author Peter Carl, Matthieu Lestel

Modified: pkg/PerformanceAnalytics/R/InformationRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/InformationRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/InformationRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -28,6 +28,7 @@
 #' InformationRatio(managers[,1:6], managers[,8,drop=FALSE])
 #' InformationRatio(managers[,1:6], managers[,8:7])
 #' 
+#' @export
 InformationRatio <-
 function (Ra, Rb, scale = NA)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/KellyRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/KellyRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/KellyRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -35,6 +35,7 @@
 #'     KellyRatio(managers[,1,drop=FALSE], Rf=managers[,10,drop=FALSE])
 #'     KellyRatio(managers[,1:6], Rf=managers[,10,drop=FALSE])
 #' 
+#' @export
 KellyRatio <-
 function (R, Rf = 0, method = "half")
 { # @author Brian G. Peterson

Modified: pkg/PerformanceAnalytics/R/Omega.R
===================================================================
--- pkg/PerformanceAnalytics/R/Omega.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Omega.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -66,6 +66,7 @@
 #'     Omega(edhec[,13],method="interp",output="point")
 #'     Omega(edhec[,13],method="interp",output="full")
 #' 
+#' @export
 Omega <-
 function(R, L = 0, method = c("simple", "interp", "binomial", "blackscholes"), output = c("point", "full"), Rf = 0, ...)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -38,7 +38,6 @@
 #' print(OmegaSharpeRatio(managers['1996',1], MAR)) #expected 3.60
 #'
 #' @export 
-
 OmegaSharpeRatio <-
 function (R, MAR = 0, ...)
 {

Modified: pkg/PerformanceAnalytics/R/Return.Geltner.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.Geltner.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.Geltner.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -39,6 +39,7 @@
 #' data(managers)
 #' head(Return.Geltner(managers[,1:3]),n=20)
 #' 
+#' @export
 Return.Geltner <-
 function (Ra, ...)
 { # @author Brian G. Peterson, Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.annualized.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.annualized.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.annualized.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -35,6 +35,7 @@
 #' Return.annualized(managers[,1:8])
 #' Return.annualized(managers[,1:8],geometric=FALSE)
 #' 
+#' @export
 Return.annualized <-
 function (R, scale = NA, geometric = TRUE )
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.calculate.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.calculate.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.calculate.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -44,7 +44,7 @@
 #' colnames(R.IBM)="IBM"
 #' chart.CumReturns(R.IBM,legend.loc="topleft", main="Cumulative Daily Returns for IBM")
 #' round(R.IBM,2)
-#' 
+#' @export
 Return.calculate <-
 function(prices, method = c("compound","simple"))
 { # @ author Peter Carl
@@ -73,6 +73,8 @@
 
 }
 
+#' @rdname Return.calculate
+#' @export 
 CalculateReturns <-
 function(prices, method = c("compound","simple"))
 { # @ author Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.clean.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.clean.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.clean.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -37,6 +37,7 @@
 #' head(Return.clean(managers[,1:4]),n=20)
 #' chart.BarVaR(managers[,1,drop=FALSE], show.clean=TRUE, clean="boudt", lwd=2, methods="ModifiedVaR")
 #' 
+#' @export
 Return.clean <-
 function(R, method = c("none","boudt","geltner"), alpha=.01, ...)
 { # @author Peter Carl
@@ -195,6 +196,7 @@
 #' In W. Grossmann, G. Pflug, I. Vincze, and W. Wertz (Eds.), Mathematical
 #' Statistics and Its Applications, Volume B, pp. 283?297. Dordrecht-Reidel.
 #' @keywords ts multivariate distribution models
+#' @export
 clean.boudt <-
 function(R, alpha=.01 , trim=1e-3)
 {# @author Kris Boudt, Brian Peterson

Modified: pkg/PerformanceAnalytics/R/Return.cumulative.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.cumulative.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.cumulative.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -23,6 +23,7 @@
 #' Return.cumulative(managers[,1:8])
 #' Return.cumulative(managers[,1:8],geometric=FALSE)
 #' 
+#' @export
 Return.cumulative <-
 function (R, geometric = TRUE)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.excess.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.excess.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.excess.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -38,6 +38,7 @@
 #' head(Return.excess(managers[,1:6], managers[,10,drop=FALSE]))
 #' head(Return.excess(managers[,1,drop=FALSE], managers[,8,drop=FALSE]))
 #' 
+#' @export
 Return.excess <-
 function (R, Rf = 0)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.portfolio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.portfolio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -1,3 +1,5 @@
+#' @rdname Return.portfolio
+#' @export
 Return.rebalancing <- function (R, weights, ...)
 {   # @author Brian G. Peterson
 

Modified: pkg/PerformanceAnalytics/R/Return.read.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.read.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.read.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -40,7 +40,7 @@
 #'      Return.read("managers.cvs", frequency="d")
 #'      }
 #' 
-#' 
+#' @export
 Return.read <-
 function (filename=stop("Please specify a filename"), frequency = c("d","m","q","i","o"), format.in = c("ISO8601","excel","oo","gnumeric"), sep = ",", header = TRUE, check.names = FALSE, ...)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/Return.relative.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.relative.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/Return.relative.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -17,6 +17,7 @@
 #' data(managers)
 #' head(Return.relative(managers[,1:3], managers[,8,drop=FALSE]),n=20)
 #' 
+#' @export
 Return.relative <-
 function (Ra, Rb, ...)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/SemiDeviation.R
===================================================================
--- pkg/PerformanceAnalytics/R/SemiDeviation.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SemiDeviation.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -1,3 +1,5 @@
+#' @rdname DownsideDeviation
+#' @export
 SemiDeviation <-
 function (R)
 { # @author Peter Carl
@@ -23,6 +25,8 @@
     }
 }
 
+#' @rdname DownsideDeviation
+#' @export
 SemiVariance <-
 function (R)
 {

Modified: pkg/PerformanceAnalytics/R/SharpeRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/SharpeRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SharpeRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -76,7 +76,6 @@
 #' @export 
 #' @rdname SharpeRatio
 #' 
-#' 
 SharpeRatio <-
 function (R, Rf = 0, p = 0.95, FUN=c("StdDev", "VaR","ES"), weights=NULL, annualize = FALSE , ...)
 { # @author Brian G. Peterson

Modified: pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R
===================================================================
--- pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -42,6 +42,7 @@
 #' SharpeRatio.annualized(managers[,1:6], Rf = managers[,10,drop=FALSE])
 #' SharpeRatio.annualized(managers[,1:6], Rf = managers[,10,drop=FALSE],geometric=FALSE)
 #' 
+#' @export
 SharpeRatio.annualized <-
 function (R, Rf = 0, scale = NA, geometric=TRUE)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -29,7 +29,6 @@
 #' print(SkewnessKurtosisRatio(managers['1996',1])
 #'
 #' @export 
-
 SkewnessKurtosisRatio <-
 function (R, ...)
 {

Modified: pkg/PerformanceAnalytics/R/SmoothingIndex.R
===================================================================
--- pkg/PerformanceAnalytics/R/SmoothingIndex.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SmoothingIndex.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -92,6 +92,7 @@
 #' SmoothingIndex(managers[,1:8])
 #' SmoothingIndex(edhec)
 #' 
+#' @export
 SmoothingIndex <-
 function (R, neg.thetas = FALSE, MAorder=2, verbose = FALSE, ...)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/SortinoRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/SortinoRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SortinoRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -41,6 +41,7 @@
 #' round(SortinoRatio(managers[, 1]),4)
 #' round(SortinoRatio(managers[, 1:8]),4)
 #' 
+#' @export
 SortinoRatio <-
 function (R, MAR = 0,...,weights=NULL)
 { # @author Brian G. Peterson

Modified: pkg/PerformanceAnalytics/R/StdDev.R
===================================================================
--- pkg/PerformanceAnalytics/R/StdDev.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/StdDev.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -74,6 +74,7 @@
 #'     StdDev(edhec, clean="boudt", portfolio_method="component")
 #' 
 #' 
+#' @export
 StdDev <- function (R , ..., clean=c("none","boudt","geltner"),  portfolio_method=c("single","component"), weights=NULL, mu=NULL, sigma=NULL, use="everything", method=c("pearson", "kendall", "spearman"))
 { # @author Brian G. Peterson
     

Modified: pkg/PerformanceAnalytics/R/SystematicRisk.R
===================================================================
--- pkg/PerformanceAnalytics/R/SystematicRisk.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/SystematicRisk.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -33,7 +33,6 @@
 #' print(SystematicRisk(managers['1996',1:5], managers['1996',8]))
 #'
 #' @export 
-
 SystematicRisk <-
 function (Ra, Rb, Rf = 0, Period = 12, ...)
 {

Modified: pkg/PerformanceAnalytics/R/TotalRisk.R
===================================================================
--- pkg/PerformanceAnalytics/R/TotalRisk.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/TotalRisk.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -30,7 +30,6 @@
 #' print(TotalRisk(managers['1996',1:5], managers['1996',8]))
 #'
 #' @export 
-
 TotalRisk <-
 function (Ra, Rb, Rf = 0, Period = 12,  ...)
 {

Modified: pkg/PerformanceAnalytics/R/TrackingError.R
===================================================================
--- pkg/PerformanceAnalytics/R/TrackingError.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/TrackingError.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -28,6 +28,7 @@
 #' TrackingError(managers[,1:6], managers[,8,drop=FALSE]) 
 #' TrackingError(managers[,1:6], managers[,8:7,drop=FALSE])
 #' 
+#' @export
 TrackingError <-
 function (Ra, Rb, scale = NA)
 { # @author Peter Carl

Modified: pkg/PerformanceAnalytics/R/TreynorRatio.R
===================================================================
--- pkg/PerformanceAnalytics/R/TreynorRatio.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/TreynorRatio.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -43,54 +43,7 @@
 #' print(TreynorRatio(managers['1996',1], managers['1996',8], modified = TRUE))
 #' print(TreynorRatio(managers['1996',1:5], managers['1996',8], modified = TRUE)) 
 #' 
-
-ModifiedTreynorRatio <-
-function (Ra, Rb, Rf = 0, scale = NA)
-{
-    		if(is.na(scale)) {
-        	    freq = periodicity(Ra)
-        	    switch(freq$scale,
-            	    minute = {stop("Data periodicity too high")},
-            	    hourly = {stop("Data periodicity too high")},
-            	    daily = {scale = 252},
-            	    weekly = {scale = 52},
-            	    monthly = {scale = 12},
-            	    quarterly = {scale = 4},
-            	    yearly = {scale = 1}
-        	    )
-          }
-
-    calcul = FALSE
-    Ra = checkData(Ra, method="matrix")
-    Rb = checkData(Rb, method="matrix")
-
-    if (ncol(Ra)==1 || is.null(Ra) || is.vector(Ra)) {
-    
-     Rp = (prod(1+R/100)^(scale/length(R))-1)*100
-     for (i in (1:length(Ra))) {
-     	 if (!is.na(Ra[i])) {
-     	    calcul = TRUE
-	 }
-      }
-     if (calcul) {
-     	     result = (Rp - Rf) / SystematicRisk(Ra, Rb, Rf)
-     }    
-     else {
-        result = NA
-     }
-      return(result)
-    }
-    else {
-        Ra = checkData(Ra)
-        result = apply(Ra, MARGIN = 2, ModifiedTreynorRatio, Rb = Rb, Rf = Rf)
-        result<-t(result)
-        colnames(result) = colnames(Ra)
-        rownames(result) = paste("Modified Treynor Ratio (Risk free = ",Rf,")", sep="")
-        return(result)
-    }
-}
-
-
+#' @export
 TreynorRatio <-
 function (Ra, Rb, Rf = 0, scale = NA, modified = FALSE)
 { # @author Peter Carl, Matthieu Lestel
@@ -152,6 +105,54 @@
      }
 }
 
+#' @rdname TreynorRatio
+ModifiedTreynorRatio <-
+		function (Ra, Rb, Rf = 0, scale = NA)
+{
+	if(is.na(scale)) {
+		freq = periodicity(Ra)
+		switch(freq$scale,
+				minute = {stop("Data periodicity too high")},
+				hourly = {stop("Data periodicity too high")},
+				daily = {scale = 252},
+				weekly = {scale = 52},
+				monthly = {scale = 12},
+				quarterly = {scale = 4},
+				yearly = {scale = 1}
+		)
+	}
+	
+	calcul = FALSE
+	Ra = checkData(Ra, method="matrix")
+	Rb = checkData(Rb, method="matrix")
+	
+	if (ncol(Ra)==1 || is.null(Ra) || is.vector(Ra)) {
+		
+		Rp = (prod(1+R/100)^(scale/length(R))-1)*100
+		for (i in (1:length(Ra))) {
+			if (!is.na(Ra[i])) {
+				calcul = TRUE
+			}
+		}
+		if (calcul) {
+			result = (Rp - Rf) / SystematicRisk(Ra, Rb, Rf)
+		}    
+		else {
+			result = NA
+		}
+		return(result)
+	}
+	else {
+		Ra = checkData(Ra)
+		result = apply(Ra, MARGIN = 2, ModifiedTreynorRatio, Rb = Rb, Rf = Rf)
+		result<-t(result)
+		colnames(result) = colnames(Ra)
+		rownames(result) = paste("Modified Treynor Ratio (Risk free = ",Rf,")", sep="")
+		return(result)
+	}
+}
+
+
 ###############################################################################
 # R (http://r-project.org/) Econometrics for Performance and Risk Analysis
 #

Modified: pkg/PerformanceAnalytics/R/UlcerIndex.R
===================================================================
--- pkg/PerformanceAnalytics/R/UlcerIndex.R	2012-07-15 15:30:38 UTC (rev 2162)
+++ pkg/PerformanceAnalytics/R/UlcerIndex.R	2012-07-16 00:30:19 UTC (rev 2163)
@@ -1,30 +1,36 @@
+#' calculate the Ulcer Index
+#' 
+#' Developed by Peter G. Martin in 1987 (Martin and McCann, 1987) and named
+#' for the worry caused to the portfolio manager or investor.  This is
+#' similar to drawdown deviation except that the impact of the duration of 
+#' drawdowns is incorporated by selecting the negative return for each 
+#' period below the previous peak or high water mark.  The impact of long,
+#' deep drawdowns will have significant impact because the underperformance
[TRUNCATED]

To get the complete diff run:
    svnlook diff /svnroot/returnanalytics -r 2163

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