Collection of econometric functions for performance and risk analysis.
This package aims to aid practitioners and researchers in utilizing
the latest research in analysis of non-normal return streams. In
general, it is most tested on return (rather than price) data on a
regular scale, but most functions will work with irregular return
data as well, and increasing numbers of functions will work with
P&L or price data where possible.

WWW: http://cran.r-project.org/web/packages/PerformanceAnalytics/