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rportfolio (version 0.0.3)

Portfolio Theory

Description

Collection of tools to calculate portfolio performance metrics. Portfolio performance is a key measure for investors. These metrics are important to analyse how effectively their money has been invested. This package uses portfolio theories to give investor tools to evaluate their portfolio performance. For more information see, Markowitz, H.M. (1952), . Analysis of Investments & Management of Portfolios [2012, ISBN:978-8131518748].

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Version

Install

install.packages('rportfolio')

Monthly Downloads

151

Version

0.0.3

License

GPL-3

Maintainer

Anurag Agrawal

Last Published

June 12th, 2020

Functions in rportfolio (0.0.3)

returns.cal

Annualized Returns
jenson.alpha

Jenson's Alpha
tracking.error

Tracking Error
semi.deviation

Semi Deviation/ Down side Deviation
risk.premium

Risk Premium of a Security
funds

Sample Portfolio Return
ratio.sharpe

Sharpe Ratio
ratio.information

Information Ratio
markowitz.model

Markowitz Mean-Variance Model
premium.active

Active Premium
ratio.sortino

Sortino Ratio
ratio.treynor

Treynor Ratio
alpha.capm

CAPM Alpha
beta.capm

CAPM Beta