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PerformanceAnalytics
R package for portfolio performance and risk analysis
What it is
An R package of econometric tools for performance and risk analysis. It computes common measures such as the Sharpe ratio, maximum drawdown, Value-at-Risk and the Sortino ratio, and produces charts of returns and risk. Quant researchers, portfolio managers and R users analysing investment returns are the target audience. It analyses return series you provide, so it complements rather than replaces a backtesting tool.
At a glance
RecommendedOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Data analysis, Strategy research |
| Markets | Multi-market |
| Stack | R |
| Learning curve | Moderate learning curve |
| Practical value | High practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | No commits in over six months |
GitHub stars, last 30 days
Daily snapshots since 2026-09-28 (up to 30 days): +2 over the period, now 241. Gaps mean no snapshot was taken that day.
Econometric tools for performance and risk analysis.
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