Performance Analytics has Display relative performance, Calculate Downside Risk, Show relative return risk, Compare distributions
If you try out this R package and tutorial:
http://cran.r-project.org/web/packages/PerformanceAnalytics/vignettes/PA-charts.pdf
You will find this a very impressive package. Even Matlab could not do any of this functionality so easily. What is even more impressive is this is all for free. How much would Mathworks charge for this?
This is the entire table of content list of what is can do easily with one table function call:
3.1 Create performance charts . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
3.2 Create a monthly returns table . . . . . . . . . . . . . . . . . . . . . . . . 9
3.3 Calculate monthly statistics . . . . . . . . . . . . . . . . . . . . . . . . . . 11
3.4 Compare distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.5 Show relative return and risk . . . . . . . . . . . . . . . . . . . . . . . . . 12
3.6 Examine performance consistency . . . . . . . . . . . . . . . . . . . . . . . 16
3.7 Display relative performance . . . . . . . . . . . . . . . . . . . . . . . . . . 16
3.8 Measure relative performance to a benchmark . . . . . . . . . . . . . . . . 16
3.9 Calculate Downside Risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24