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:	2.0.8
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, nloptr, rgenoud, RPESE, RobStatTM, fit.models, R.rsp
Published:	2024-12-09
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], Dhairya Jain [ctb]
Maintainer:	Brian G. Peterson <brian at braverock.com>
License:	GPL-2 | GPL-3
Copyright:	(c) 2004-2022
URL:	https://github.com/braverock/PerformanceAnalytics
NeedsCompilation:	yes
Materials:	README
In views:	Finance
CRAN checks:	PerformanceAnalytics results

Documentation:

Reference manual:

PerformanceAnalytics.pdf

Vignettes:

Standard Errors for Risk and Performance Estimators (source) textplot Presentation for CRUG 2011 (source) Estimation of Higher Order Moments (source, R code) PerformanceAnalytics Charts and Tables Reference (source, R code) PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 (source, R code) PerformanceAnalytics Data Mining Presentation - UseR - 2007 (source, R code) Portfolio Returns (source, R code)

Downloads:

Package source:	PerformanceAnalytics_2.0.8.tar.gz
Windows binaries:	r-devel: PerformanceAnalytics_2.0.8.zip, r-release: PerformanceAnalytics_2.0.8.zip, r-oldrel: PerformanceAnalytics_2.0.8.zip
macOS binaries:	r-release (arm64): PerformanceAnalytics_2.0.8.tgz, r-oldrel (arm64): PerformanceAnalytics_2.0.8.tgz, r-release (x86_64): PerformanceAnalytics_2.0.8.tgz, r-oldrel (x86_64): PerformanceAnalytics_2.0.8.tgz
Old sources:	PerformanceAnalytics archive

Reverse dependencies:

Reverse depends:	PortfolioAnalytics
Reverse imports:	AssetAllocation, 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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