[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.

Package: PerformanceAnalytics
Type: Package
Title: Econometric tools for performance and risk analysis.
Version: 0.9.6
Date: 2007-12-29
License: GPL
URL: http://braverock.com/R/

New Functions:
         Creates an empirical cumulative distribution function (ECDF)
         overlaid with a cumulative distribution function (CDF)
         Inspired by:
         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.

Deprecated Functions:
         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.

New Vignettes:
     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.


     - Brian

More information about the R-packages mailing list