https://github.com/cortinah/performanceanalytics
Science Score: 10.0%
This score indicates how likely this project is to be science-related based on various indicators:
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○CITATION.cff file
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○codemeta.json file
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○.zenodo.json file
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○DOI references
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○Academic publication links
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✓Committers with academic emails
9 of 44 committers (20.5%) from academic institutions -
○Institutional organization owner
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○JOSS paper metadata
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○Scientific vocabulary similarity
Low similarity (12.8%) to scientific vocabulary
Keywords from Contributors
Repository
Basic Info
- Host: GitHub
- Owner: cortinah
- Language: R
- Default Branch: master
- Size: 50.9 MB
Statistics
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
- Releases: 0
Metadata Files
README.md
PerformanceAnalytics: Econometric tools for performance and risk analysis.
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PerformanceAnalytics provides an R package of econometric functions
for performance and risk analysis of financial instruments or portfolios.
This package aims to aid practitioners and researchers in using the latest research for
analysis of both normally and non-normally distributed return streams.
We created this package 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 wrappers for some functionality with good defaults and naming consistent with common usage in the finance literature.
In general, this package requires return (rather than price) data. Almost all of the functions will work with any periodicity, from annual, monthly, daily, to even minutes and seconds, either regular or irregular.
The package documentation includes sections on
- Time Series Data
- Performance Analysis
- Style Analysis
- Risk Analysis
- Value at Risk - VaR
- Moments and Co-moments
- Robust Data Cleaning
- Summary Tabular Data
- Charts and Graphs
- Wrapper and Utility Functions
- Standard Errors for Risk and Performance Estimators
It also includes some thoughts on work yet to be done, acknowledgments, and pointers to other literature and resources in R useful for performance and risk analysis,
Some sample data is provided in the managers dataset.
It is an xts object that contains columns of monthly returns for six hypothetical asset managers (HAM1 through HAM6),
the EDHEC Long-Short Equity hedge fund index, the S&P 500 total returns,
and total return series for the US Treasury 10-year bond and 3-month bill.
Monthly returns for all series end in December 2006 and begin at different periods starting from January 1996.
That data set is used extensively in our examples and should serve as a model for formatting your data.
Owner
- Name: Hernando Cortina
- Login: cortinah
- Kind: user
- Location: New York, NY
- Twitter: cortinah
- Repositories: 35
- Profile: https://github.com/cortinah
Views are my own and do not necessarily represent the position, strategy, or opinions of my employer.
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Top Committers
| Name | Commits | |
|---|---|---|
| Brian G. Peterson | b****n@b****m | 870 |
| Peter Carl | p****l@g****u | 865 |
| Pulkit Mehrotra | m****t@g****m | 113 |
| Shubhankit Mohan | s****1@g****m | 92 |
| Manan Shah | m****h@t****u | 90 |
| zenithzhou | z****4@i****u | 51 |
| M. Matthieu Lestel | m****l@g****m | 45 |
| JustinMShea | j****a@r****u | 33 |
| Dries Cornilly | d****y@t****e | 32 |
| Joshua Ulrich | j****h@g****m | 20 |
| Peter Carl | p****r@b****m | 19 |
| Eric Hung | n****n@g****m | 18 |
| Andrii Babii | b****w@g****m | 17 |
| Ross Bennett | r****4@g****m | 14 |
| Jasen | j****e@i****m | 12 |
| Ke Li | k****i@u****u | 7 |
| Dries Cornilly | d****y@g****m | 7 |
| ak6 | a****r@w****m | 6 |
| Kyle Balkissoon | k****n@g****m | 6 |
| sen-saven | t****s@h****m | 4 |
| Evelyn Mitchell | e****b@l****m | 3 |
| Paul Teetor | p****r@w****m | 3 |
| Peter Carl | p****l@w****m | 2 |
| Erol Biceroglu | e****u@a****a | 2 |
| Anthony-Alexander Christidis | 3****s | 2 |
| Kris Boudt | k****t@e****e | 2 |
| mwip | m****d@p****m | 2 |
| Hernando Cortina | h****h@a****u | 2 |
| Ke Li (Kirk) | c****i@g****m | 1 |
| Ashwin Agrawal | a****4@i****n | 1 |
| and 14 more... | ||
Committer Domains (Top 20 + Academic)
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