A while back Sam Humbert wrote a comment on our Performance-Analytics package for R. We have since cleaned up a few of the issues noted in the preview versions of the code. Here’s the new release announcement from R-SIG-Finance:

Description: Library of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams.

We created this library to include functionality that has been appearing in the academic literature on performance analysis and risk over the past several years, but had no functional equivalent in R. In doing so, we also found it valuable to have wrapper functions for functionality easily replicated in R, so that we could access that functionality using a function with defaults and naming consistent with common usage in the finance literature. The package covers Performance Analysis, Risk Analysis (with a separate treatment of VaR), Summary Tables of related statistics, Charts and Graphs, a variety of Wrappers and Utility functions, and some thoughts on work yet to be done.This R package contains over 80 original functions, and several additional wrappers to simplify parameters or provide accessible names for other functionality.

I suggest that you start with the summary documentation, either via the Performance-Analytics package pdf. attached to the original announcement linked above, or via the HTML version of the same.





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