Last data update: 2014.03.03
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PerformanceAnalytics
Package: PerformanceAnalytics
Type: Package
Title: Econometric tools for performance and risk analysis
Authors@R: c(
person(given=c("Brian","G."),family="Peterson",role=c("cre","aut","cph"), email="brian@braverock.com")
, person(given="Peter",family="Carl",role=c("aut","cph"), email="peter@braverock.com")
, person(given="Kris",family="Boudt",role=c("ctb","cph"))
, person(given="Ross",family="Bennett",role="ctb")
, person(given="Joshua",family="Ulrich",role="ctb")
, person(given="Eric",family="Zivot",role="ctb")
, person(given="Matthieu",family="Lestel",role="ctb")
, person(given="Kyle",family="Balkissoon",role="ctb")
, person(given="Diethelm",family="Wuertz",role="ctb")
)
Version: 1.4.3541
Date: $Date: 2014-09-15 04:39:58 -0500 (Mon, 15 Sep 2014) $
Description: 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.
Imports: zoo
Depends: R (>= 3.0.0), xts (>= 0.9)
Suggests: Hmisc, MASS, quantmod, gamlss, gamlss.dist, robustbase,
quantreg, gplots
License: GPL-2 | GPL-3
URL: http://r-forge.r-project.org/projects/returnanalytics/
Copyright: (c) 2004-2014
Packaged: 2014-09-15 09:42:19.192918 UTC; brian
Author: Brian G. Peterson [cre, aut, cph],
Peter Carl [aut, cph],
Kris Boudt [ctb, cph],
Ross Bennett [ctb],
Joshua Ulrich [ctb],
Eric Zivot [ctb],
Matthieu Lestel [ctb],
Kyle Balkissoon [ctb],
Diethelm Wuertz [ctb]
Maintainer: Brian G. Peterson <brian@braverock.com>
NeedsCompilation: yes
Repository: CRAN
Date/Publication: 2014-09-16 09:47:58
Install log
* installing to library '/home/ddbj/local/lib64/R/library'
* installing *source* package 'PerformanceAnalytics' ...
** package 'PerformanceAnalytics' successfully unpacked and MD5 sums checked
** libs
gfortran -fpic -g -O2 -c momentF.f90 -o momentF.o
gfortran -shared -L/home/ddbj/local/lib64/R/lib -L/usr/local/lib64 -o PerformanceAnalytics.so momentF.o -L/home/ddbj/local/lib64/R/lib -lR
installing to /home/ddbj/local/lib64/R/library/PerformanceAnalytics/libs
** R
** data
** inst
** preparing package for lazy loading
** help
*** installing help indices
converting help for package 'PerformanceAnalytics'
finding HTML links ... done
ActivePremium html
AdjustedSharpeRatio html
AppraisalRatio html
AverageDrawdown html
AverageLength html
AverageRecovery html
BernardoLedoitRatio html
BetaCoMoments html
BurkeRatio html
CAPM.RiskPremium html
CAPM.alpha html
CAPM.beta html
CAPM.dynamic html
CAPM.epsilon html
CAPM.jensenAlpha html
CDD html
CalmarRatio html
CoMoments html
DRatio html
DownsideDeviation html
DownsideFrequency html
DrawdownDeviation html
DrawdownPeak html
ES html
FamaBeta html
Frequency html
HurstIndex html
InformationRatio html
Kappa html
KellyRatio html
M2Sortino html
MSquared html
MSquaredExcess html
MarketTiming html
MartinRatio html
MeanAbsoluteDeviation html
Modigliani html
NetSelectivity html
Omega html
OmegaExcessReturn html
OmegaSharpeRatio html
PainIndex html
PainRatio html
PerformanceAnalytics-package html
ProspectRatio html
Return.Geltner html
Return.annualized html
Return.annualized.excess html
Return.calculate html
Return.clean html
Return.cumulative html
Return.excess html
Return.portfolio html
Return.read html
Rd warning: /tmp/RtmpV2xwEs/R.INSTALL506b58fed3a1/PerformanceAnalytics/man/Return.read.Rd:15: missing file link 'as.yearmon'
Rd warning: /tmp/RtmpV2xwEs/R.INSTALL506b58fed3a1/PerformanceAnalytics/man/Return.read.Rd:16: missing file link 'as.yearqtr'
Return.relative html
Selectivity html
SharpeRatio html
SharpeRatio.annualized html
SkewnessKurtosisRatio html
SmoothingIndex html
SortinoRatio html
SpecificRisk html
StdDev html
StdDev.annualized html
SystematicRisk html
TotalRisk html
TrackingError html
TreynorRatio html
UlcerIndex html
UpDownRatios html
UpsideFrequency html
UpsidePotentialRatio html
UpsideRisk html
VaR html
VolatilitySkewness html
apply.fromstart html
apply.rolling html
centeredmoments html
chart.ACF html
chart.Bar html
chart.BarVaR html
chart.Boxplot html
chart.CaptureRatios html
chart.Correlation html
chart.CumReturns html
chart.Drawdown html
chart.ECDF html
chart.Events html
chart.Histogram html
chart.QQPlot html
Rd warning: /tmp/RtmpV2xwEs/R.INSTALL506b58fed3a1/PerformanceAnalytics/man/chart.QQPlot.Rd:130: missing file link 'qqplot'
Rd warning: /tmp/RtmpV2xwEs/R.INSTALL506b58fed3a1/PerformanceAnalytics/man/chart.QQPlot.Rd:131: missing file link 'qq.plot'
chart.Regression html
chart.RelativePerformance html
chart.RiskReturnScatter html
chart.RollingCorrelation html
finding level-2 HTML links ... done
chart.RollingMean html
chart.RollingPerformance html
chart.RollingRegression html
chart.Scatter html
chart.SnailTrail html
chart.StackedBar html
Rd warning: /tmp/RtmpV2xwEs/R.INSTALL506b58fed3a1/PerformanceAnalytics/man/chart.StackedBar.Rd:91: missing file link 'barchart'
chart.TimeSeries html
chart.VaRSensitivity html
charts.PerformanceSummary html
charts.RollingPerformance html
checkData html
clean.boudt html
edhec html
findDrawdowns html
kurtosis html
legend html
lpm html
managers html
maxDrawdown html
mean.geometric html
portfolio_bacon html
prices html
skewness html
sortDrawdowns html
table.AnnualizedReturns html
table.Arbitrary html
table.Autocorrelation html
table.CAPM html
table.CalendarReturns html
table.CaptureRatios html
table.Correlation html
table.Distributions html
table.DownsideRisk html
table.DownsideRiskRatio html
table.Drawdowns html
table.DrawdownsRatio html
table.HigherMoments html
table.InformationRatio html
table.MonthlyReturns html
table.ProbOutPerformance html
table.RollingPeriods html
table.SpecificRisk html
table.Variability html
textplot html
weights html
zerofill html
** building package indices
** installing vignettes
** testing if installed package can be loaded
* DONE (PerformanceAnalytics)
Making 'packages.html' ... done
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