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

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: 2014-02-27 11:39:11+01 | Rev.: 3344
  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: 2014-02-22 04:32:41+01 | Rev.: 3331
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  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)


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: 1.1.3522 | Last change: 2014-09-02 23:09:55+02 | Rev.: 3522
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current | Stable Release: Get PerformanceAnalytics 1.1.0 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: 0.9.0 | Last change: 2014-08-12 03:43:13+02 | Rev.: 3507
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  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)


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

  An R package for the estimation and risk analysis of linear factor models for asset returns and portfolios. It contains model fitting methods for the three major types of factor models: time series (or, macroeconomic) factor model, fundamental factor model and statistical factor model. They allow for different types of distributions to be specified for modeling the fat-tailed behavior of financial returns, including Edgeworth expansions. Risk analysis measures such as VaR and ES, as well as performance attribution for factor models (factor-contributed vs idiosyncratic returns) are included.
  Version: 2.0.0.99 | Last change: 2014-08-11 09:50:40+02 | Rev.: 3506
  Download: linux(.tar.gz) | windows(.zip) | Build status: Current
  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)

 

Build status codes

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