PerformanceAnalytics: Econometric tools for performance and risk analysis

Collection of econometric functions for performance and risk analysis. 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: 1.1.0
Depends: R (≥ 2.14.0), zoo, xts (≥ 0.8-9)
Suggests: Hmisc, MASS, tseries, quadprog, sn, robustbase, quantreg, gplots, ff
Published: 2013-01-29
Author: Peter Carl, Brian G. Peterson
Maintainer: Brian G. Peterson <brian at>
License: GPL-2 | GPL-3 [expanded from: GPL]
Copyright: (c) 2004-2012
NeedsCompilation: no
Materials: NEWS ChangeLog
In views: Finance
CRAN checks: PerformanceAnalytics results


Reference manual: PerformanceAnalytics.pdf
Vignettes: Performance Attribution from Bacon
PerformanceAnalytics Charts and Tables Reference
PerformanceAnalytics Charts and Tables Presentation - Meielisalp - 2007
PerformanceAnalytics Data Mining Presentation - UseR - 2007
How to Present Tables in Plot Devices
Package source: PerformanceAnalytics_1.1.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Snow Leopard binaries: r-release: PerformanceAnalytics_1.1.0.tgz, r-oldrel: PerformanceAnalytics_1.1.0.tgz
OS X Mavericks binaries: r-release: PerformanceAnalytics_1.1.0.tgz
Old sources: PerformanceAnalytics archive

Reverse dependencies:

Reverse depends: SMNCensReg
Reverse imports: tawny
Reverse suggests: pbo