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.

Package overview README.md Estimation of Higher Order Moments How to Present Tables in Plot Devices PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007 PerformanceAnalytics Charts and Tables Reference PerformanceAnalytics Data Mining Presentation - UseR - 2007 Performance Attribution from Bacon Portfolio Returns **PerformanceAnalytics** Plotting Using Additional Plotting Engines

Vignettes Man pages API and functions Files

Package details
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@braverock.com>
License	GPL-2 \| GPL-3
Version	2.0.4
URL	https://github.com/braverock/PerformanceAnalytics
Package repository	View on CRAN
Installation	Install the latest version of this package by entering the following in R: `install.packages("PerformanceAnalytics")`