{"id":13741478,"url":"https://github.com/braverock/PerformanceAnalytics","last_synced_at":"2025-05-08T21:34:07.969Z","repository":{"id":8601291,"uuid":"58736268","full_name":"braverock/PerformanceAnalytics","owner":"braverock","description":null,"archived":false,"fork":false,"pushed_at":"2024-10-16T22:55:43.000Z","size":53751,"stargazers_count":207,"open_issues_count":61,"forks_count":105,"subscribers_count":30,"default_branch":"master","last_synced_at":"2024-10-18T23:05:00.316Z","etag":null,"topics":[],"latest_commit_sha":null,"homepage":null,"language":"R","has_issues":true,"has_wiki":null,"has_pages":null,"mirror_url":null,"source_name":null,"license":null,"status":null,"scm":"git","pull_requests_enabled":true,"icon_url":"https://github.com/braverock.png","metadata":{"files":{"readme":"README.md","changelog":"ChangeLog","contributing":".github/CONTRIBUTING.md","funding":null,"license":null,"code_of_conduct":null,"threat_model":null,"audit":null,"citation":null,"codeowners":null,"security":null,"support":null,"governance":null,"roadmap":null,"authors":null,"dei":null,"publiccode":null,"codemeta":null}},"created_at":"2016-05-13T12:02:42.000Z","updated_at":"2024-10-16T22:55:49.000Z","dependencies_parsed_at":"2023-02-19T13:15:58.975Z","dependency_job_id":"359dfa93-fa1d-4afa-8612-3fc51f6cfb33","html_url":"https://github.com/braverock/PerformanceAnalytics","commit_stats":{"total_commits":2370,"total_committers":46,"mean_commits":51.52173913043478,"dds":0.6324894514767933,"last_synced_commit":"3e46f41d6f47e004c6735cfce51763739a43b818"},"previous_names":[],"tags_count":1,"template":false,"template_full_name":null,"repository_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/braverock%2FPerformanceAnalytics","tags_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/braverock%2FPerformanceAnalytics/tags","releases_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/braverock%2FPerformanceAnalytics/releases","manifests_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/braverock%2FPerformanceAnalytics/manifests","owner_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners/braverock","download_url":"https://codeload.github.com/braverock/PerformanceAnalytics/tar.gz/refs/heads/master","host":{"name":"GitHub","url":"https://github.com","kind":"github","repositories_count":224774830,"owners_count":17367804,"icon_url":"https://github.com/github.png","version":null,"created_at":"2022-05-30T11:31:42.601Z","updated_at":"2022-07-04T15:15:14.044Z","host_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub","repositories_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories","repository_names_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/repository_names","owners_url":"https://repos.ecosyste.ms/api/v1/hosts/GitHub/owners"}},"keywords":[],"created_at":"2024-08-03T04:00:59.569Z","updated_at":"2024-11-15T11:31:20.764Z","avatar_url":"https://github.com/braverock.png","language":"R","funding_links":[],"categories":["R"],"sub_categories":["Risk Analysis"],"readme":"# PerformanceAnalytics: Econometric tools for performance and risk analysis.\n\n\u003c!-- badges: start --\u003e\n[![R-CMD-check](https://github.com/braverock/PerformanceAnalytics/workflows/R-CMD-check/badge.svg)](https://github.com/braverock/PerformanceAnalytics/actions)\n[![Downloads from the RStudio CRAN mirror](https://cranlogs.r-pkg.org/badges/PerformanceAnalytics)](https://cran.r-project.org/package=PerformanceAnalytics)\n\u003c!-- badges: end --\u003e\n\n`PerformanceAnalytics` provides an R package of econometric functions\nfor performance and risk analysis of financial instruments or portfolios.\nThis package aims to aid practitioners and researchers in using the latest research for\nanalysis of both normally and non-normally distributed return streams.\n\nWe created this package to include functionality that has been appearing in the academic literature\non performance analysis and risk over the past several years, but had no functional equivalent in R.\nIn doing so, we also found it valuable to have wrappers for some functionality\nwith good defaults and naming consistent with common usage in the finance literature.  \n\nIn general, this package requires return (rather than price) data.\nAlmost all of the functions will work with any periodicity,\nfrom annual, monthly, daily, to even minutes and seconds, either regular or irregular.\n\nThe package documentation includes sections on\n\n* Time Series Data\n* Performance Analysis\n* Style Analysis\n* Risk Analysis\n* Value at Risk - VaR\n* Moments and Co-moments\n* Robust Data Cleaning\n* Summary Tabular Data\n* Charts and Graphs\n* Wrapper and Utility Functions\n* Standard Errors for Risk and Performance Estimators\n\nIt also includes some thoughts on work yet to be done,\nacknowledgments,\nand pointers to other literature and resources in R useful for performance and risk analysis,\n\nSome sample data is provided in the `managers` dataset.\nIt is an `xts` object that contains columns of monthly returns for six hypothetical asset managers (HAM1 through HAM6),\nthe EDHEC Long-Short Equity hedge fund index, the S\u0026P 500 total returns,\nand total return series for the US Treasury 10-year bond and 3-month bill.\nMonthly returns for all series end in December 2006 and begin at different periods starting from January 1996.\nThat data set is used extensively in our examples and should serve as a model for formatting your data.\n","project_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbraverock%2FPerformanceAnalytics","html_url":"https://awesome.ecosyste.ms/projects/github.com%2Fbraverock%2FPerformanceAnalytics","lists_url":"https://awesome.ecosyste.ms/api/v1/projects/github.com%2Fbraverock%2FPerformanceAnalytics/lists"}