[R-sig-finance] Portfolio performance metrics/ratios

Sankalp Upadhyay sankalp.upadhyay at gmail.com
Tue Sep 27 13:23:20 CEST 2005


I am looking for a package that can calculate portfolio performance
metrics and ratios from a time series of returns or asset values. Is
there such a package? one that can give comparison ratios with
benchmarks also?
The closest seems to be tseries that has maxdrawdown, sharpe and
sterling ratios. I have started writing own code based on that but
there are a lot of ratios and performance analysis metrics.
Am I missing some package that can help?



More information about the R-sig-finance mailing list