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

Spencer Graves spencer.graves at pdf.com
Sun Oct 9 23:26:03 CEST 2005

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would still like more help from this list, I suggest you review the 
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submit a more specific question, preferably with some code that 
illustrates what you are trying to do and helps describe where you would 
like further assistance.

	  spencer graves

Sankalp Upadhyay wrote:
> Hi,
> 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?
> Thanks,
> Sankalp
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Spencer Graves, PhD
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