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.
- Version2.0.4
- R versionunknown
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release02/06/2020
Documentation
- VignetteStandard Errors for Risk and Performance Estimators
- VignetteEstimation of Higher Order Moments
- VignettePerformance Attribution from Bacon
- VignettePerformanceAnalytics Charts and Tables Reference
- VignettePerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007
- VignettePerformanceAnalytics Data Mining Presentation - UseR - 2007
- VignettePortfolio Returns
- VignetteHow to Present Tables in Plot Devices
- MaterialREADME
- MaterialNEWS
- In ViewsFinance
Team
Brian G. Peterson
Ross Bennett
Show author detailsRolesContributorJoshua Ulrich
Show author detailsRolesContributorKris Boudt
Show author detailsRolesContributor, Copyright holderJustin M. Shea
Show author detailsRolesContributorPeter Carl
Show author detailsRolesAuthor, Copyright holderEric Zivot
Show author detailsRolesContributorDries Cornilly
Show author detailsRolesContributorEric Hung
Show author detailsRolesContributorMatthieu Lestel
Show author detailsRolesContributorKyle Balkissoon
Show author detailsRolesContributorDiethelm Wuertz
Show author detailsRolesContributorAnthony Alexander Christidis
Show author detailsRolesContributorR. Douglas Martin
Show author detailsRolesContributorZeheng 'Zenith' Zhou
Show author detailsRolesContributor
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- Depends1 package
- Imports2 packages
- Suggests18 packages
- Reverse Depends1 package
- Reverse Imports17 packages
- Reverse Suggests14 packages