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PerformanceAnalytics  

Econometric Tools for Performance and Risk Analysis
View on CRAN: Click here


Download and install PerformanceAnalytics package within the R console
Install from CRAN:
install.packages("PerformanceAnalytics")

Install from Github:
library("remotes")
install_github("cran/PerformanceAnalytics")

Install by package version:
library("remotes")
install_version("PerformanceAnalytics", "2.0.8")



Attach the package and use:
library("PerformanceAnalytics")
Maintained by
Brian G. Peterson
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2007-04-16
Latest Update: 2020-02-06
Description:
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.
How to cite:
Brian G. Peterson (2007). PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis. R package version 2.0.8, https://cran.r-project.org/web/packages/PerformanceAnalytics. Accessed 22 Dec. 2024.
Previous versions and publish date:
0.9.4 (2007-04-16 21:59), 0.9.5 (2007-07-10 14:10), 0.9.6 (2007-12-30 21:41), 0.9.7.1 (2008-10-12 11:00), 0.9.7 (2008-09-30 16:16), 1.0.0 (2009-10-27 20:46), 1.0.2.1 (2010-04-25 09:26), 1.0.2 (2010-04-08 08:07), 1.0.3.2 (2010-09-15 09:43), 1.0.3 (2010-08-04 23:57), 1.0.4.4 (2012-03-31 07:19), 1.1.0 (2013-01-29 16:32), 1.4.3541 (2014-09-16 09:48), 1.5.2 (2018-03-02 18:06), 1.5.3 (2019-06-23 18:50), 2.0.4 (2020-02-06 13:10)
Other packages that cited PerformanceAnalytics R package
View PerformanceAnalytics citation profile
Other R packages that PerformanceAnalytics depends, imports, suggests or enhances
Complete documentation for PerformanceAnalytics
Functions, R codes and Examples using the PerformanceAnalytics R package
Some associated functions: ActivePremium . AdjustedSharpeRatio . AppraisalRatio . AverageDrawdown . AverageLength . AverageRecovery . BernardoLedoitRatio . BetaCoMoments . BurkeRatio . CAPM.RiskPremium . CAPM.alpha . CAPM.beta . CAPM.dynamic . CAPM.epsilon . CAPM.jensenAlpha . CDD . CalmarRatio . CoMoments . DRatio . DownsideDeviation . DownsideFrequency . DrawdownDeviation . DrawdownPeak . ES . EWMAMoments . FamaBeta . Frequency . HurstIndex . InformationRatio . Kappa . KellyRatio . Level.calculate . M2Sortino . MCA . MSquared . MSquaredExcess . MarketTiming . MartinRatio . MeanAbsoluteDeviation . MinTrackRecord . Modigliani . NetSelectivity . Omega . OmegaExcessReturn . OmegaSharpeRatio . PainIndex . PainRatio . PerformanceAnalytics-package . ProbSharpeRatio . ProspectRatio . RPESE.control . RachevRatio . Return.Geltner . Return.annualized.excess . Return.annualized . Return.calculate . Return.clean . Return.convert . Return.cumulative . Return.excess . Return.locScaleRob . Return.portfolio . Return.read . Return.relative . Selectivity . SharpeRatio.annualized . SharpeRatio . ShrinkageMoments . SkewnessKurtosisRatio . SmoothingIndex . SortinoRatio . SpecificRisk . StdDev.annualized . StdDev . StructuredMoments . SystematicRisk . TotalRisk . TrackingError . TreynorRatio . UlcerIndex . UpDownRatios . UpsideFrequency . UpsidePotentialRatio . UpsideRisk . VaR . VolatilitySkewness . apply.fromstart . apply.rolling . centeredmoments . chart.ACF . chart.Bar . chart.BarVaR . chart.Boxplot . chart.CaptureRatios . chart.Correlation . chart.CumReturns . chart.Drawdown . chart.ECDF . chart.Events . chart.Histogram . chart.QQPlot . chart.Regression . chart.RelativePerformance . chart.RiskReturnScatter . chart.RollingCorrelation . chart.RollingMean . chart.RollingPerformance . chart.RollingRegression . chart.Scatter . chart.SnailTrail . chart.StackedBar . chart.TimeSeries . chart.VaRSensitivity . charts.PerformanceSummary . charts.RollingPerformance . checkData . checkSeedValue . clean.boudt . edhec . findDrawdowns . kurtosis . legend . lpm . managers . maxDrawdown . mean.geometric . portfolio_bacon . prices . skewness . sortDrawdowns . table.AnnualizedReturns . table.Arbitrary . table.Autocorrelation . table.CAPM . table.CalendarReturns . table.CaptureRatios . table.Correlation . table.Distributions . table.DownsideRisk . table.DownsideRiskRatio . table.Drawdowns . table.DrawdownsRatio . table.HigherMoments . table.InformationRatio . table.MonthlyReturns . table.ProbOutPerformance . table.RollingPeriods . table.SpecificRisk . table.Variability . test_returns . test_weights . textplot . to.period.contributions . weights . zerofill . 
Some associated R codes: ActivePremium.R . AdjustedSharpeRatio.R . AppraisalRatio.R . BernadoLedoitratio.R . BurkeRatio.R . CAPM.alpha.R . CAPM.beta.R . CAPM.dynamic.R . CAPM.epsilon.R . CAPM.jensenAlpha.R . CAPM.utils.R . CalmarRatio.R . CoMoments.R . DRatio.R . DownsideDeviation.R . DownsideFrequency.R . DrawdownPeak.R . Drawdowns.R . ES.R . FamaBeta.R . Frequency.R . HerfindahlIndex.R . HurstIndex.R . InformationRatio.R . Kappa.R . KellyRatio.R . Level.calculate.R . M2Sortino.R . MSquared.R . MSquaredExcess.R . MarketTiming.R . MartinRatio.R . MeanAbsoluteDeviation.R . MinTRL.R . Modigliani.R . MultivariateMoments.R . NetSelectivity.R . Omega.R . OmegaExcessReturn.R . OmegaSharpeRatio.R . PainIndex.R . PainRatio.R . PortfolioRisk.R . ProbSharpeRatio.R . ProspectRatio.R . RPESE.control.R . RachevRatio.R . Return.Geltner.R . Return.annualized.R . Return.annualized.excess.R . Return.calculate.R . Return.clean.R . Return.convert.R . Return.cumulative.R . Return.excess.R . Return.locScaleRob.R . Return.portfolio.R . Return.read.R . Return.relative.R . Selectivity.R . SemiDeviation.R . SharpeRatio.R . SharpeRatio.annualized.R . SkewnessKurtosisRatio.R . SmoothingIndex.R . SortinoRatio.R . SpecificRisk.R . StdDev.R . StdDev.annualized.R . SystematicRisk.R . TotalRisk.R . TrackingError.R . TreynorRatio.R . UlcerIndex.R . UpDownRatios.R . UpsideFrequency.R . UpsidePotentialRatio.R . UpsideRisk.R . VaR.Marginal.R . VaR.R . VolatilitySkewness.R . apply.fromstart.R . apply.rolling.R . chart.ACF.R . chart.ACFplus.R . chart.Bar.R . chart.BarVaR.R . chart.Boxplot.R . chart.CaptureRatios.R . chart.Correlation.R . chart.CumReturns.R . chart.Drawdown.R . chart.ECDF.R . chart.Events.R . chart.Histogram.R . chart.QQPlot.R . chart.Regression.R . chart.RelativePerformance.R . chart.RiskReturnScatter.R . chart.RollingCorrelation.R . chart.RollingMean.R . chart.RollingPerformance.R . chart.RollingQuantileRegression.R . chart.RollingRegression.R . chart.Scatter.R . chart.SnailTrail.R . chart.StackedBar.R . chart.TimeSeries.R . chart.TimeSeries.base.R . chart.TimeSeries.builtin.R . chart.TimeSeries.dygraph.R . chart.TimeSeries.ggplot2.R . chart.TimeSeries.googlevis.R . chart.TimeSeries.plotly.R . chart.VaRSensitivity.R . charts.Bar.R . charts.BarVaR.R . charts.PerformanceSummary.R . charts.RollingPerformance.R . charts.RollingRegression.R . charts.TimeSeries.R . checkData.R . checkSeedValue.R . findDrawdowns.R . kurtosis.R . legend.R . lpm.R . maxDrawdown.R . mean.utils.R . na.skip.R . replaceTabs.R . skewness.R . sortDrawdowns.R . table.AnnualizedReturns.R . table.Arbitrary.R . table.Autocorrelation.R . table.CAPM.R . table.CalendarReturns.R . table.CaptureRatios.R . table.Correlation.R . table.Distributions.R . table.DownsideRisk.R . table.DownsideRiskRatio.R . table.Drawdowns.R . table.DrawdownsRatio.R . table.HigherMoments.R . table.InformationRatio.R . table.MonthlyReturns.R . table.ProbOutperformance.R . table.RollingPeriods.R . table.SpecificRisk.R . table.UpDownRatios.R . table.Variability.R . test_returns.R . test_weights.R . textplot.R . to.period.contributions.R . zerofill.R . zzz.R .  Full PerformanceAnalytics package functions and examples
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