Additional performance measures and attribution functionality to PerformanceAnalytics

by Matthieu for R project for statistical computing

PerformanceAnalytics is an R package that provides a collection of econometric functions for performance and risk analysis. It applies current research on return-based analysis of strategy or fund returns for risk, autocorrelation and illiquidity, persistence, style analysis and drift, clustering, quantile regression, and other topics. PerformanceAnalytics has long enjoyed contributions from users who would like to see specific functionality included. In particular, Diethelm Wuertz of ETHZ (and the well-known R/Metrics packages) has very generously contributed a very large set of functions based on Bacon (2008). It is a great starting point, but many of these functions need to be finished and converted such that the functions and interfaces are consistent with other PerformanceAnalytics functions, and are appropriately documented. In addition the functionality proposed in Bacon is incomplete in the contributed functions. That will require writing or re-writing the function with reference to Bacon (2008) and other underlying references Lastly all the functions must be well documentet thanks to the roxygen2 package