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PerformanceAnalytics

Econometric Tools for Performance and Risk Analysis

v2.0.8 · Dec 9, 2024 · GPL-2 | GPL-3
CRAN GitHub Mirror

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.

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CRAN Check Status

14 OK
Show all 14 flavors
Flavor Status
r-devel-linux-x86_64-debian-clang OK
r-devel-linux-x86_64-debian-gcc OK
r-devel-linux-x86_64-fedora-clang OK
r-devel-linux-x86_64-fedora-gcc OK
r-devel-macos-arm64 OK
r-devel-windows-x86_64 OK
r-oldrel-macos-arm64 OK
r-oldrel-macos-x86_64 OK
r-oldrel-windows-x86_64 OK
r-patched-linux-x86_64 OK
r-release-linux-x86_64 OK
r-release-macos-arm64 OK
r-release-macos-x86_64 OK
r-release-windows-x86_64 OK

Check History

OK 14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026

Reverse Dependencies (28)

depends

PortfolioAnalytics

imports

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

suggests

Dowd ExtDist RPEGLMEN RPEIF RPESE cvar geosimilarity pbo quantdr tbl2xts timeSeries

Dependency Network

Dependencies Reverse dependencies xts quadprog zoo PortfolioAnalytics ConnectednessApproach HeckmanEM PCRA RMOPI RTL SMNCensReg Semblance SlidingWindows Trading facmodCS facmodTS highOrderPortfolios pedquant portfolioBacktest +13 more reverse deps PerformanceAnalytics

Version History

new 2.0.8 Mar 10, 2026
updated 2.0.8 ← 2.0.4 diff Dec 8, 2024
updated 2.0.4 ← 1.5.3 diff Feb 5, 2020
updated 1.5.3 ← 1.5.2 diff Jun 22, 2019
updated 1.5.2 ← 1.4.3541 diff Mar 1, 2018
updated 1.4.3541 ← 1.1.0 diff Sep 15, 2014
updated 1.1.0 ← 1.0.4.4 diff Jan 28, 2013
updated 1.0.4.4 ← 1.0.3.2 diff Mar 30, 2012
updated 1.0.3.2 ← 1.0.3 diff Sep 14, 2010
updated 1.0.3 ← 1.0.2.1 diff Aug 3, 2010
updated 1.0.2.1 ← 1.0.2 diff Apr 24, 2010
updated 1.0.2 ← 1.0.0 diff Apr 7, 2010
updated 1.0.0 ← 0.9.7.1 diff Oct 26, 2009
updated 0.9.7.1 ← 0.9.7 diff Oct 11, 2008
updated 0.9.7 ← 0.9.6 diff Sep 29, 2008
updated 0.9.6 ← 0.9.5 diff Dec 29, 2007
updated 0.9.5 ← 0.9.4 diff Jul 9, 2007
new 0.9.4 Apr 15, 2007