PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis

Collection of econometric functions for performance and risk analysis. In addition to standard risk and performance metrics, 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.

Version:	2.0.4
Depends:	R (≥ 3.5.0), xts (≥ 0.10.0)
Imports:	methods, quadprog, zoo
Suggests:	dygraphs, Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, tinytest, ggplot2, RColorBrewer, googleVis, plotly, gridExtra, ggpubr, RPESE, R.rsp, RobStatTM
Published:	2020-02-06
DOI:	10.32614/CRAN.package.PerformanceAnalytics
Author:	Brian G. Peterson [cre, aut, cph], Peter Carl [aut, cph], Kris Boudt [ctb, cph], Ross Bennett [ctb], Joshua Ulrich [ctb], Eric Zivot [ctb], Dries Cornilly [ctb], Eric Hung [ctb], Matthieu Lestel [ctb], Kyle Balkissoon [ctb], Diethelm Wuertz [ctb], Anthony Alexander Christidis [ctb], R. Douglas Martin [ctb], Zeheng 'Zenith' Zhou [ctb], Justin M. Shea [ctb]
Maintainer:	Brian G. Peterson <brian at braverock.com>
License:	GPL-2 | GPL-3
Copyright:	(c) 2004-2020
URL:	https://github.com/braverock/PerformanceAnalytics
NeedsCompilation:	yes
Materials:	README NEWS
In views:	Finance
CRAN checks:	PerformanceAnalytics results [issues need fixing before 2024-12-07]

Documentation:

Reference manual:	PerformanceAnalytics.pdf
Vignettes:	Standard Errors for Risk and Performance Estimators Estimation of Higher Order Moments Performance Attribution from Bacon PerformanceAnalytics Charts and Tables Reference PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 PerformanceAnalytics Data Mining Presentation - UseR - 2007 Portfolio Returns How to Present Tables in Plot Devices

Downloads:

Package source:	PerformanceAnalytics_2.0.4.tar.gz
Windows binaries:	r-devel: PerformanceAnalytics_2.0.4.zip, r-release: PerformanceAnalytics_2.0.4.zip, r-oldrel: PerformanceAnalytics_2.0.4.zip
macOS binaries:	r-release (arm64): PerformanceAnalytics_2.0.4.tgz, r-oldrel (arm64): PerformanceAnalytics_2.0.4.tgz, r-release (x86_64): PerformanceAnalytics_2.0.4.tgz, r-oldrel (x86_64): PerformanceAnalytics_2.0.4.tgz
Old sources:	PerformanceAnalytics archive

Reverse dependencies:

Reverse depends:	PortfolioAnalytics
Reverse imports:	AssetAllocation, ConnectednessApproach, facmodCS, facmodTS, HeckmanEM, highOrderPortfolios, methylclock, OMICsPCA, PCRA, pedquant, portfolioBacktest, RMOPI, rmsfuns, RTL, scRNAtools, Semblance, SlidingWindows, SMNCensReg, tidyquant
Reverse suggests:	artMS, cvar, Dowd, EPLSIM, ExtDist, geosimilarity, pbo, portsort, quantdr, RPEGLMEN, RPEIF, RPESE, Statsomat, tbl2xts, timeSeries

Linking:

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