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 |
| 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 |
| 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 |
| 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: PerformanceAnalytics_2.0.4.tgz, r-oldrel: PerformanceAnalytics_2.0.4.tgz |
| Old sources: | PerformanceAnalytics archive |
| Reverse depends: | PortfolioAnalytics, tidyquant |
| Reverse imports: | artMS, OMICsPCA, PortfolioAnalysis, portfolioBacktest, rMorningStar, rmsfuns, RNASeqR, RobStatTM, RPEGLMEN, RPEIF, RPESE, RTL, scRNAtools, Semblance, SMNCensReg, Trading |
| Reverse suggests: | cvar, Dowd, pbo, portsort, tbl2xts, timeSeries |
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