SCM

R Development Page

Contributed R Packages

Below is a list of all packages provided by project ReturnAnalytics.

Important note for package binaries: R-Forge provides these binaries only for the most recent version of R, but not for older versions. In order to successfully install the packages provided on R-Forge, you have to switch to the most recent version of R or, alternatively, install from the package sources (.tar.gz).

Packages

Dowd

Functions Ported from MMR2 Toolbox Offered in Kevin Dowds Book Measuring Market Risk

  Kevin Dowds book Measuring Market Risk is a widely read book in the area of risk measurement by students and practitioners alike. As he claims, MATLAB indeed might have been the most suitable language when he originally wrote the functions, but, with growing popularity of R it is not entirely valid. As Dowds code was not intended to be error free and were mainly for reference, some functions in this package have inherited those errors. An attempt will be made in future releases to identify and correct them. Dowds original code can be downloaded from www.kevindowd.org/measuring-market-risk/. It should be noted that Dowd offers both MMR2 and MMR1 toolboxes. Only MMR2 was ported to R. MMR2 is more recent version of MMR1 toolbox and they both have mostly similar function. The toolbox mainly contains different parametric and non parametric methods for measurement of market risk as well as backtesting risk measurement methods.
  Version: 0.1 | Last change: 2015-08-31 23:52:27+02 | Rev.: 3992
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get Dowd 0.1 from CRAN
  R install command: install.packages("Dowd", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


MPO

Modern Portfolio Optimization

  Shell Package for the second edition of "Modern Portfolio Optimization"
  Version: 0.1 | Last change: 2012-08-09 01:52:10+02 | Rev.: 2224
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build
  R install command: install.packages("MPO", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Meucci

Collection of functionality ported from the MATLAB code of Attilio Meucci.

  Attilio Meucci is a thought leader in advanced risk and portfolio management. His innovations include Entropy Pooling (technique for fully flexible portfolio construction), Factors on Demand (on-the-fly factor model for optimal hedging), Effective Number of Bets (entropy-eigenvalue statistic for diversification management), Fully Flexible Probabilities (technique for on-the-fly stress-test and estimation without re-pricing), and Copula-Marginal Algorithm (algorithm to generate panic copulas). Attilio is somewhat rare in the world of financial research in that he regularly posts code along with his working papers. Unfortunately for those of us using R, he prefers to code in Matlab. Some of that code requires Matlabs additional Optimization Toolkit. This package is the result of a Google Summer of Code project in 2012 and 2013 that seeks to convert a subset of his Matlab code to R to make it more widely accessible to R users. All of Meuccis original MATLAB source is available on www.symmys.com. That code should be considered the reference code that this package seeks to port to R. This package remains under development (and likely will as long as Attilio keeps publishing code), and any and all feedback is appreciated.
  Version: 0.3 | Last change: 2015-08-20 17:52:02+02 | Rev.: 3984
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build
  R install command: install.packages("Meucci", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


PApages

Views on Performance and Risk of Financial Portfolios

  Creates formatted views of performance and risk information using PerformanceAnalytics and other packages. This is considered EXPERIMENTAL CODE and WILL NOT BE SUPPORTED. Collaboration towards creating a supportable code base would be welcome, however.
  Version: 0.2 | Last change: 2015-05-22 03:54:35+02 | Rev.: 3646
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build
  R install command: install.packages("PApages", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Old Version: 0.2 | Last change: 2014-02-22 08:05:12
Old Version Download: linux(.tar.gz) | windows(.zip)

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: 1.4.3662 | Last change: 2015-06-07 02:59:53+02 | Rev.: 3662
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get PerformanceAnalytics 1.4.3541 from CRAN
  R install command: install.packages("PerformanceAnalytics", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


PortfolioAnalytics

Portfolio Analysis, Including Numerical Methods for Optimization of Portfolios

  Portfolio optimization and analysis routines and graphics.
  Version: 1.0.3636 | Last change: 2015-05-04 12:18:53+02 | Rev.: 3644
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build | Stable Release: Get PortfolioAnalytics 1.0.3636 from CRAN
  R install command: install.packages("PortfolioAnalytics", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Old Version: 0.9.3598 | Last change: 2015-02-08 01:15:05
Old Version Download: linux(.tar.gz) | windows(.zip)

PortfolioAttribution

Performance attribution tools used for identifying sources of portfolio return and risk.

  This package provides functions for the ex-post portfolio attribution methods described in Christopherson, Carino and Ferson (2009), Bacon (2008), and several other sources. The package was initially created as a part of the Google Summer of Code (GSoC) 2012 project.
  Version: 0.3 | Last change: 2014-08-15 21:49:34+02 | Rev.: 3509
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build
  R install command: install.packages("PortfolioAttribution", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


factorAnalytics

Factor Analytics

  Linear factor model fitting for asset returns (three major types- time series, fundamental and statistical factor models); related risk (volatility, VaR and ES) and performance attribution (factor-contributed vs idiosyncratic returns); tabular displays of risk and performance reports; factor model Monte Carlo, single and multiple imputation methods for simulating returns and backfilling unequal histories.
  Version: 2.0.24 | Last change: 2015-08-08 20:42:15+02 | Rev.: 3928
  Download: linux(.tar.gz) | windows(.zip) | Build status: Failed to build
  R install command: install.packages("factorAnalytics", repos="http://R-Forge.R-project.org")
 
Logs:  
Package build: Source package (Linux x86_64) Windows binary (x86_64/i386)
Package check: Linux x86_64 (patched) | Linux x86_64 (devel) Windows (patched) | Windows (devel)


Old Version: 1.0 | Last change: 2014-04-10 21:28:33
Old Version Download: linux(.tar.gz) | windows(.zip)

 

Build status codes

0 - Current: the package is available for download. The corresponding package passed checks on the Linux and Windows platform without ERRORs.
1 - Scheduled for build: the package has been recognized by the build system and provided in the staging area.
2 - Building: the package has been sent to the build machines. It will be built and checked using the latest patched version of R. Note that it is included in a batch of several packages. Thus, this process will take some time to finish.
3 - Failed to build: the package failed to build or did not pass the checks on the Linux and/or Windows platform. It is not made available since it does not meet the policies.
4 - Conflicts: two or more packages of the same name exist. None of them will be built. Maintainers are asked to negotiate further actions.
5 - Offline: the package is not available. The build system may be offline or the package maintainer did not trigger a rebuild (done e.g., via committing to the package repository).

If your package is not shown on this page or not building, then check the build system status report.

Thanks to:
Vienna University of Economics and Business University of Wisconsin - Madison Powered By FusionForge