[R-pkgs] PerformanceAnalytics version 0.9.6 released to CRAN
Brian G. Peterson
brian at braverock.com
Tue Jan 1 01:55:07 CET 2008
We are pleased to announce the availability on CRAN of
PerformanceAnalytics version 0.9.6.
This is a feature and bugfix release.
PerformanceAnalytics is a library of econometric functions for
performance and risk analysis. This library aims to aid practitioners
and researchers in utilizing the latest research in analysis of
non-normal return streams.
Title: Econometric tools for performance and risk analysis.
Creates an empirical cumulative distribution function (ECDF)
overlaid with a cumulative distribution function (CDF)
Ruppert, David. 2004.
Statistics and Finance, an Introduction.
Ch. 2 Fig. 2.5
Inspired by (and partially ported from) the website:
"here's an R function that will plot the ACF and PACF of a time
series at the same time on the SAME SCALE, and it leaves out
the zero lag in the ACF [and uses the number of observations
as the default]"
That description made a lot of sense, so it's implemented here
for both the ACF alone and the ACF with the PACF.
Uses a scatterplot to display the relationship of returns
to a market benchmark. Fits a linear model and overlays the
resulting model. Also overlays a Loess line for comparison.
Wrapper of 'read.zoo' with some defaults for different
date formats and frequencies.
Calculate Geltner liquidity-risk-adjusted return series.
David Geltner developed a method to remove estimating/liquidity
bias in real estate index returns. It has since been applied
to other return series that show autocorrelation or
illiquidity effects. The theory is that by correcting for
autocorrelation, you are uncovering a "true" return from series
of observed returns that contain illiquidity or manual pricing
Proposed by Getmansky et al to provide a normalized measure of
liquidity risk. The index will produces a number from zero to
one. A low number indicates low liquidity risk. A number
trending towards one indicates a higher liquidity risk.
Produces data table of autocorrelation coefficients rho and
corresponding Q(6)-statistic for each column in return series.
Returns a table of returns formatted with years in rows, months
in columns, and a total column in the last column.
For additional columns, annual returns will be appended.
Significantly Changed Functions:
Added the ability to more completely control the visual display.
Added the ability to render a Tufte-style compact boxplot.
Improved visual display for print-quality graphics
Added fits for extra distributions (stable,cauchy,skew-T)
Added more control over risk lines
Added event lines
Replaced most internals with port of John Fox's
qq.plot from 'car'
Now fits arbitrary distributions
Allows use of error bands
We have made changes throughout the package to allow the
risk-free rate to contain a vector of changing rates corresponding
with the return series being examined.
In addition, we have made more extensive use of the features of the
'zoo' package in this release of PerformanceAnalytics, and removed
a few external dependencies where those dependencies were minor and
easily replicated or ported to this package. We expect both of
these trends to continue in later releases. Hopefully, we have
properly credited the original authors and functions both in our
code and in the manual pages.
These functions have been replaced in our code by the use of
zoo's 'rollapply' function, and are no longer needed as
separate custom functions.
We have added as vignettes the presentations we gave on
PerformanceAnalytics at the R/RMetrics Conference in Mielesalp
in July 2007 and at UseR! 2007 in Ames, Iowa.
This version of PerformanceAnalytics contains many, many minor
improvements and changes. We added aver 1500 lines of code
and comments, and over 1000 lines of documentation.
We have benefited greatly from feedback and comments from the users of
PerformanceAnalytics and from R-SIG-Finance. Please continue to send
your questions, comments, and complaints.
Full details available in the ChangeLog or in the CVS logs in all .R
files in the source package.
More information about the R-packages