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.

Version: 2.0.4
Depends: R (≥ 3.5.0), xts (≥ 0.10.0)
Imports: methods, quadprog, zoo
Suggests: dygraphs, Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase, quantreg, tinytest, ggplot2, RColorBrewer, googleVis, plotly, gridExtra, ggpubr, RPESE, R.rsp, RobStatTM
Published: 2020-02-06
DOI: 10.32614/CRAN.package.PerformanceAnalytics
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 at>
License: GPL-2 | GPL-3
Copyright: (c) 2004-2020
NeedsCompilation: yes
Materials: README NEWS
In views: Finance
CRAN checks: PerformanceAnalytics results


Reference manual: PerformanceAnalytics.pdf
Vignettes: Standard Errors for Risk and Performance Estimators
Estimation of Higher Order Moments
Performance Attribution from Bacon
PerformanceAnalytics Charts and Tables Reference
PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007
PerformanceAnalytics Data Mining Presentation - UseR - 2007
Portfolio Returns
How to Present Tables in Plot Devices


Package source: PerformanceAnalytics_2.0.4.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): PerformanceAnalytics_2.0.4.tgz, r-oldrel (arm64): PerformanceAnalytics_2.0.4.tgz, r-release (x86_64): PerformanceAnalytics_2.0.4.tgz, r-oldrel (x86_64): PerformanceAnalytics_2.0.4.tgz
Old sources: PerformanceAnalytics archive

Reverse dependencies:

Reverse depends: PortfolioAnalytics, tidyquant
Reverse imports: AssetAllocation, ConnectednessApproach, facmodCS, facmodTS, HeckmanEM, highOrderPortfolios, methylclock, OMICsPCA, PCRA, pedquant, portfolioBacktest, RMOPI, rmsfuns, RTL, scRNAtools, Semblance, SlidingWindows, SMNCensReg, Trading
Reverse suggests: artMS, cvar, Dowd, EPLSIM, ExtDist, pbo, portsort, quantdr, RPEGLMEN, RPEIF, RPESE, Statsomat, tbl2xts, timeSeries


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