R Observatory: Metrics for PerformanceAnalytics version 2.1.0

Balamuta, James Joseph

doi:10.5281/zenodo.21843040

PerformanceAnalytics

2.1.0Package record

Econometric Tools for Performance and Risk Analysis

17packages dependsuggested by 12

390.3Kdownloads / year

84.4%test coverage

13/13flavors OK

Overview

About

Maintained by Brian G. PetersonCRAN page ↗GitHub ↗

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.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("PerformanceAnalytics", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("braverock/PerformanceAnalytics")

Development version from braverock/PerformanceAnalytics. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-performanceanalytics

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled. We list this channel from recorded r2u download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-PerformanceAnalytics

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-PerformanceAnalytics

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed). We list this channel from recorded autoCRAN download activity rather than from a live index of the repository, so treat it as last known rather than guaranteed.

Health

CRAN checks

13OK

CRAN check page ↗

Slowest check: 6.0 min · r-oldrel-macos-x86_64

Status changes

OK13 OK2026-08-05
NOTE12 OK, 1 NOTE2026-08-01
OK14 OK2026-03-10

Advisories

none known

How this is measured·How advisories are found

Documentation

In release 2.1.0

READMEYes · 321 wordsVignettesYes · 9 · dynamicNEWS· In the repository, left out of the releaseCitation fileNoWebsitenot declared in DESCRIPTION

Help pages: 166 (1 internal)includes a package overview page
Examples that run: 87%130 run in a plain check (1 of them under a condition) · 11 only when donttest examples are enabled (R CMD check --as-cran) · 8 never run · 1 hold no code
Exported functions with examples: 94%
Documented parameters: 99%
Return-value docs: 10%
Help pages citing references: 64%

Vignettes (9)

How these are measured

Downloads

390.3K

CRAN downloads in the past year

Rank #709 · ~1.1K/day · ~32.5K/mo

Releases R versions

Daily download trend is not available in this view yet.

27.4K30 days

73.8K90 days

390.3K1 year

Compare downloads with other packages →

Also on3.4K r2u5 autocran5.2K conda_forge202 c2d4u

How downloads are counted

Repository

braverock/performanceanalytics ↗Account: braverock

240Stars

104Forks

6Open issues

1Open PRs

1Releases

2,556Commits

46Commit identities

2,556 commits · Last activity 2026-04-13 · +0.4% stars, 30d

Responsiveness

How these are sampled

PRs merged (all time): 62%
Median days to close, 50 most recently updated closed issues: 2,891
Median days to close, 50 most recently updated closed PRs: 46

Stars over time

2025-10-01 · 2262026-10-03 · 240

How these are measured

PracticesBeta

7 development-tooling and community-health practices detected across 3 families in the upstream repository

Checks run against github.com/braverock/performanceanalytics on 2026-10-18.

Continuous integration (3)

GitHub ActionsR CMD check workflowTravis CI (config file)

The R CMD check workflow runs on Linux, macOS and Windows, and on R-devel

Governance and community (3)

Contributing guideIssue templatesPR template

Coverage (1)

Coverage reporting (Codecov)

How this is detected·Detection ruleset v3 (2026-09-26)

Dependencies

Declared dependencies

25 external dependencies (excludes base and recommended)

Installing PerformanceAnalytics adds 3 packages (3 with compiled code, 1.2 MB of source tarballs). Heaviest: zoo 675 KB, xts 470 KB, quadprog 35 KB.

Depends (2)

R >= 4.0.0xts

Imports (3)

methodsquadprog zoo

LinkingTo (0)

none

Suggests (23)

dygraphs HmiscMASSquantmod gamlss gamlss.dist robustbase quantreg ggplot2 vdiffr RColorBrewer googleVis plotly gridExtra ggpubr nloptr rgenoud RPESE RobStatTM fit.models R.rsp testthat covr

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

17direct

3indirect

Depends 1 · Imports 16

Suggested by 12

Show all 29 packagesHide all 29 packages

Depends, Imports or LinkingTo, most downloaded first

tidyquant PortfolioAnalytics ConnectednessApproach RTL portfolioBacktest pedquant highOrderPortfolios Trading PCRA finlabR HeckmanEM rmsfuns facmodCS SMNCensReg facmodTS RMOPI SlidingWindows

Suggests, most downloaded first

timeSeries cvar RPESE RPEIF RPEGLMEN ExtDist quantdr geosimilarity tbl2xts Dowd pbo smqf

How these are counted

Code & Tests

Datasets

People & History

People (17)

Brian G. Peterson

Maintainer since 0.9.4 (2007), Author, Copyright holder

Peter Carl

Author, Copyright holder

Kyle Balkissoon

Contributor · added in 1.4.3541

Ross Bennett

Contributor · added in 1.4.3541

Kris Boudt

Contributor, Copyright holder · added in 1.0.4.4

Anthony Alexander Christidis

Contributor

Dries Cornilly

Contributor · added in 1.5.2

Talgat Daniyarov

Contributor · added in 2.1.0

Eric Hung

Contributor · added in 1.5.2

Dhairya Jain

Contributor · added in 2.0.8

Show 7 more contributorsHide 7 contributors

Matthieu Lestel

Contributor · added in 1.4.3541

R. Douglas Martin

Contributor · added in 2.0.4

Justin M. Shea

Contributor

Joshua Ulrich

Contributor · added in 1.4.3541

Diethelm Wuertz

Contributor · added in 1.4.3541

Zeheng Zenith Zhou

Contributor

Eric Zivot

Contributor · added in 1.0.4.4

Listed in earlier versions (4)

Show 4 peopleHide 4 people

Peterson

no longer listed · 1.4.3541 to 2.1.0

Christidis

no longer listed · 2.0.4 to 2.1.0

Shea

no longer listed · 2.0.4 to 2.1.0

Zhou

no longer listed · 2.0.4 to 2.1.0

Releases (18)

Pick two releases to compare their code metrics.

R
R 4.6.0 released · 2026-04-24
2.1.0Latest
record
2026-04-11 · current release · diff ↗ ·
removed 1 export
lpm

added 3 exports
Level.calculate, VaR.backtest, table.TrailingPeriodsRel
R
R 4.5.0 released · 2025-04-11
2.0.8
record
2024-12-09 · diff ↗ ·
removed 1 export
Mean.arithmetic

added 19 exports
CDaR.alpha, CDaR.beta, DownsideSharpeRatio, M3.mat2vec, M3.vec2mat, M4.mat2vec, M4.vec2mat, MM.NCE, SFM.beta.bear, SFM.beta.bull, SFM.coefficients, SFM.fit.models, chart.SFM, derportm2, derportm3, derportm4, portm2, portm3, portm4
R
R 4.4.0 released · 2024-04-24
R
R 4.3.0 released · 2023-04-21
R
R 4.2.0 released · 2022-04-22
R
R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
2.0.4
record
2020-02-06 · diff ↗ ·
added 7 exports
Mean.arithmetic, MinTrackRecord, ProbSharpeRatio, RPESE.control, RachevRatio, Return.locScaleRob, SemiSD
1.5.3
record
2019-06-23 · diff ↗ ·
added 1 export
DrawdownPeak
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
1.5.2
record
2018-03-02 · diff ↗ ·
removed 1 export
DrawdownPeak

added 18 exports
Drawdowns, M2.ewma, M2.shrink, M2.struct, M3.MCA, M3.ewma, M3.shrink, M3.struct, M4.MCA, M4.ewma, M4.shrink, M4.struct, table.RollingPeriods, to.monthly.contributions, to.period.contributions, to.quarterly.contributions, to.weekly.contributions, to.yearly.contributions
R
R 3.4.0 released · 2017-04-21
R
R 3.3.0 released · 2016-05-03

Show 28 earlier eventsHide 28 earlier events

R
R 3.2.0 released · 2015-04-16
1.4.3541
record
2014-09-16 · diff ↗ ·
removed 4 exports
Drawdowns, UPR, table.Returns, table.TrailingPeriodsRel

added 43 exports
ActiveReturn, AverageLength, AverageRecovery, CAPM.dynamic, CoKurtosisMatrix, CoSkewnessMatrix, HurstIndex, M3.MM, M4.MM, MarketTiming, Modigliani, Return.annualized.excess, SFM.CML, SFM.CML.slope, SFM.alpha, SFM.beta, SFM.dynamic, SFM.epsilon, SFM.jensenAlpha, UlcerIndex, centeredcomoment, centeredmoment, charts.TimeSeries, lpm, table.ProbOutPerformance, table.SFM, tol10qualitative, tol11qualitative, tol12qualitative, tol14rainbow and 13 more
R
R 3.1.0 released · 2014-04-10
R
R 3.0.0 released · 2013-04-03
1.1.0
record
2013-01-29 · diff ↗ ·
added 39 exports
AdjustedSharpeRatio, AppraisalRatio, AverageDrawdown, BernardoLedoitRatio, BurkeRatio, CAPM.epsilon, CAPM.jensenAlpha, DownsideFrequency, DRatio, DrawdownDeviation, DrawdownPeak, FamaBeta, Frequency, Kappa, M2Sortino, MartinRatio, MeanAbsoluteDeviation, MSquared, MSquaredExcess, NetSelectivity, OmegaExcessReturn, OmegaSharpeRatio, PainIndex, PainRatio, ProspectRatio, Selectivity, SkewnessKurtosisRatio, SpecificRisk, SystematicRisk, TotalRisk and 9 more
1.0.4.4
record
2012-03-31 · diff ↗ ·
added 3 exports
DownsidePotential, ETL, CVaR
R
R 2.15.0 released · 2012-03-30
R
R 2.14.0 released · 2011-10-31
R
R 2.13.0 released · 2011-04-13
R
R 2.12.0 released · 2010-10-15
1.0.3.2
record
2010-09-15 · diff ↗
1.0.3
record
2010-08-04 · diff ↗ ·
removed 4 exports
style.fit, style.QPfit, chart.RollingStyle, chart.Style
1.0.2.1
record
2010-04-25 · diff ↗ ·
added 5 exports
CDD, StdDev, charts.Bar, charts.BarVaR, chart.RollingQuantileRegression
R
R 2.11.0 released · 2010-04-22
1.0.2
record
2010-04-08 · diff ↗
1.0.0
record
2009-10-27 · diff ↗ ·
removed 1 export
pattern:^[^\\.]

added 152 exports
ActivePremium, apply.fromstart, apply.rolling, BetaCoKurtosis, BetaCoSkewness, BetaCoVariance, CalculateReturns, CalmarRatio, CAPM.alpha, CAPM.beta, CAPM.beta.bear, CAPM.beta.bull, CAPM.CML, CAPM.CML.slope, CAPM.RiskPremium, CAPM.SML.slope, checkData, clean.boudt, CoKurtosis, CoSkewness, CoVariance, DownsideDeviation, Drawdowns, ES, findDrawdowns, InformationRatio, KellyRatio, kurtosis, maxDrawdown, mean.geometric and 122 more
R
R 2.10.0 released · 2009-10-26
R
R 2.9.0 released · 2009-04-17
R
R 2.8.0 released · 2008-10-20
0.9.7.1
record
2008-10-12 · diff ↗
0.9.7
record
2008-09-30 · diff ↗ ·
added 1 export
pattern:^[^\\.]
R
R 2.7.0 released · 2008-04-22
0.9.6
record
2007-12-30 · diff ↗
R
R 2.6.0 released · 2007-10-03
0.9.5
record
2007-07-10 · diff ↗
R
R 2.5.0 released · 2007-04-24
0.9.4
record
2007-04-16
R
R 2.4.0 released · 2006-10-03

Package metadata

First published: 2007-04-16
Total releases: 18 / 19 yrs
License: GPL-2 | GPL-3 OSI
Minimum R: ≥ 4.0.0
Bundled data: 37 KB / 10 files
Download size: 5.0 MB

Appears in task views

Empirical Finance

Cite

Cite this package

Run in R for the authors' preferred citation:

citation("PerformanceAnalytics")

Format

Peterson, B. G., Balkissoon, K., Bennett, R., Boudt, K., Carl, P., Christidis, A. A., Cornilly, D., Daniyarov, T., Hung, E., Jain, D., Lestel, M., Martin, R. D., Shea, J. M., Ulrich, J., Wuertz, D., Zhou, Z. Z., & Zivot, E. (2026). PerformanceAnalytics: Econometric Tools for Performance and Risk Analysis (Version 2.1.0) [Computer software]. https://doi.org/10.32614/CRAN.package.PerformanceAnalytics

This package has no citation file, so citation() returns this entry built from DESCRIPTION.

Cite the R Observatory

For a number measured here: a download total, a coverage figure, an archival date.

Format

APA

Balamuta, J. J. (2026). R Observatory: Metrics for PerformanceAnalytics version 2.1.0 [Data set]. HJJB, LLC. Data release v2026-10-20. https://doi.org/10.5281/zenodo.21843040

From data release v2026-10-20, which the citation names so these numbers can be found later. More on citing and the projects behind them.

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