PerformanceAnalytics
Science Score: 23.0%
This score indicates how likely this project is to be science-related based on various indicators:
-
○CITATION.cff file
-
✓codemeta.json file
Found codemeta.json file -
○.zenodo.json file
-
○DOI references
-
○Academic publication links
-
✓Committers with academic emails
9 of 44 committers (20.5%) from academic institutions -
○Institutional organization owner
-
○JOSS paper metadata
-
○Scientific vocabulary similarity
Low similarity (11.7%) to scientific vocabulary
Keywords from Contributors
Repository
Basic Info
- Host: GitHub
- Owner: braverock
- Language: R
- Default Branch: master
- Size: 51.5 MB
Statistics
- Stars: 227
- Watchers: 30
- Forks: 105
- Open Issues: 59
- Releases: 1
Metadata Files
README.md
PerformanceAnalytics: Econometric tools for performance and risk analysis.
<!-- badges: end -->
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: Brian G. Peterson
- Login: braverock
- Kind: user
- Location: Chicago, IL
- Website: http://www.ohloh.net/accounts/braverock
- Repositories: 11
- Profile: https://github.com/braverock
GitHub Events
Total
- Issues event: 6
- Watch event: 18
- Issue comment event: 6
- Push event: 20
Last Year
- Issues event: 6
- Watch event: 18
- Issue comment event: 6
- Push event: 20
Committers
Last synced: about 1 year ago
Top Committers
| Name | Commits | |
|---|---|---|
| Brian G. Peterson | b****n@b****m | 896 |
| 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 | 40 |
| Dries Cornilly | d****y@t****e | 32 |
| Joshua Ulrich | j****h@g****m | 29 |
| 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 | 13 |
| Ke Li | k****i@u****u | 8 |
| Dries Cornilly | d****y@g****m | 7 |
| Kyle Balkissoon | k****n@g****m | 6 |
| ak6 | a****r@w****m | 6 |
| sen-saven | t****s@h****m | 4 |
| Paul Teetor | p****r@w****m | 3 |
| Evelyn Mitchell | e****b@l****m | 3 |
| mwip | m****d@p****m | 2 |
| Anthony-Alexander Christidis | 3****s | 2 |
| Erol Biceroglu | e****u@a****a | 2 |
| Kris Boudt | k****t@e****e | 2 |
| Peter Carl | p****l@w****m | 2 |
| Dries Cornilly | d****y@d****o | 1 |
| (no author) | (****) | 1 |
| chabrault | 3****t | 1 |
| and 14 more... | ||
Committer Domains (Top 20 + Academic)
Issues and Pull Requests
Last synced: 11 months ago
All Time
- Total issues: 66
- Total pull requests: 45
- Average time to close issues: 7 months
- Average time to close pull requests: 8 months
- Total issue authors: 58
- Total pull request authors: 28
- Average comments per issue: 1.59
- Average comments per pull request: 1.13
- Merged pull requests: 32
- Bot issues: 0
- Bot pull requests: 0
Past Year
- Issues: 5
- Pull requests: 0
- Average time to close issues: 23 days
- Average time to close pull requests: N/A
- Issue authors: 4
- Pull request authors: 0
- Average comments per issue: 0.2
- Average comments per pull request: 0
- Merged pull requests: 0
- Bot issues: 0
- Bot pull requests: 0
Top Authors
Issue Authors
- ghost (4)
- tchevri (3)
- XanderDes (2)
- UTexas80 (2)
- stanleyrazor (2)
- sdittmar (1)
- evelynmitchell (1)
- braverock (1)
- kwhkim (1)
- gnmcsbnfrmtcsclb (1)
- lhloki (1)
- AmitZoh (1)
- red-swan (1)
- TY-Cheng (1)
- ggrothendieck (1)
Pull Request Authors
- zenithzhou (5)
- cdries (4)
- jaindhairyahere (3)
- jaymon0703 (3)
- anandkkumar (2)
- cortinah (2)
- sa-ccr (2)
- AnthonyChristidis (2)
- JustinMShea (2)
- domodwyer (1)
- ghost (1)
- mwip (1)
- kecoli (1)
- JannesRed (1)
- anshul96go (1)
Top Labels
Issue Labels
Pull Request Labels
Packages
- Total packages: 4
-
Total downloads:
- cran 22,248 last-month
- Total docker downloads: 49,034
-
Total dependent packages: 36
(may contain duplicates) -
Total dependent repositories: 125
(may contain duplicates) - Total versions: 22
- Total maintainers: 1
cran.r-project.org: PerformanceAnalytics
Econometric Tools for Performance and Risk Analysis
- Homepage: https://github.com/braverock/PerformanceAnalytics
- Documentation: http://cran.r-project.org/web/packages/PerformanceAnalytics/PerformanceAnalytics.pdf
- License: GPL-2 | GPL-3
-
Latest release: 2.0.8
published over 1 year ago
Rankings
Maintainers (1)
proxy.golang.org: github.com/braverock/performanceanalytics
- Documentation: https://pkg.go.dev/github.com/braverock/performanceanalytics#section-documentation
-
Latest release: v2.0.4+incompatible
published over 6 years ago
Rankings
proxy.golang.org: github.com/braverock/PerformanceAnalytics
- Documentation: https://pkg.go.dev/github.com/braverock/PerformanceAnalytics#section-documentation
-
Latest release: v2.0.4+incompatible
published over 6 years ago
Rankings
conda-forge.org: r-performanceanalytics
- Homepage: https://github.com/braverock/PerformanceAnalytics
- License: GPL-2.0-or-later
-
Latest release: 2.0.4
published over 6 years ago
Rankings
Dependencies
- R >= 3.5.0 depends
- xts >= 0.10.0 depends
- R.rsp * imports
- methods * imports
- quadprog * imports
- zoo * imports
- Hmisc * suggests
- MASS * suggests
- RColorBrewer * suggests
- RPESE * suggests
- RobStatTM * suggests
- dygraphs * suggests
- gamlss * suggests
- gamlss.dist * suggests
- ggplot2 * suggests
- ggpubr * suggests
- googleVis * suggests
- gridExtra * suggests
- nloptr * suggests
- plotly * suggests
- quantmod * suggests
- quantreg * suggests
- rgenoud * suggests
- robustbase * suggests
- tinytest * suggests
- PerformanceAnalytics * depends
- gld * depends
- stats * depends
- tseries * depends
- xts * depends
- MASS * depends
- R >= 2.7.0 depends
- fPortfolio * depends
- methods * depends
- timeDate * depends
- timeSeries >= 290.81 depends
- RUnit * suggests
- corpcor * suggests
- covRobust * suggests
- tcltk * suggests
- PerformanceAnalytics * depends
- lpSolve * depends
- xts * depends
- PortfolioAnalytics * suggests
- lpSolve * suggests
- actions/checkout v2 composite
- r-lib/actions/check-r-package v2 composite
- r-lib/actions/setup-pandoc v2 composite
- r-lib/actions/setup-r v2 composite
- r-lib/actions/setup-r-dependencies v2 composite