# Incremental portfolio analytics (OnlinePortfolioAnalytics.jl)

**URL:** <https://discourse.julialang.org/t/incremental-portfolio-analytics-onlineportfolioanalytics-jl/113590>\
**Category:** Finance and Economics\
**Created:** [April 28, 2024, 3:49pm UTC](https://discourse.julialang.org/t/incremental-portfolio-analytics-onlineportfolioanalytics-jl/113590 "2024-04-28T15:49:00Z")\
**Posts on this page:** 2\
**Page:** 1

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**Author:** ![FemtoTrader](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/femtotrader/32/309_2.png) [@FemtoTrader](https://discourse.julialang.org/u/FemtoTrader)\
**Post date:** [April 28, 2024, 3:49pm UTC](https://discourse.julialang.org/t/incremental-portfolio-analytics-onlineportfolioanalytics-jl/113590/1 "2024-04-28T15:49:00Z")

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Hi,

Sharing OnlinePortfolioAnalytics [https://femtotrader.github.io/OnlinePortfolioAnalytics.jl/](https://femtotrader.github.io/OnlinePortfolioAnalytics.jl/)

This project aims to provide users with functionality for performing quantitative portfolio analytics via [online algorithms](https://en.wikipedia.org/wiki/Online_algorithm).

It depends especially on [OnlineStatsBase.jl](https://joshday.github.io/OnlineStats.jl/) and [Tables.jl](https://tables.juliadata.org/)

Check it out and let me know your thoughts!

Best regards

PS : for your information

Some other packages tackling similar problem (but not using online algorithm) are:

- PortfolioAnalytics [Announcing PortfolioAnalytics.jl: Tool for Quantitative Portfolio Analytics](https://discourse.julialang.org/t/announcing-portfolioanalytics-jl-tool-for-quantitative-portfolio-analytics/95236)
- RiskPerf [GitHub - rbeeli/RiskPerf.jl: Quantitative risk and performance analysis package for financial time series powered by the Julia language.](https://github.com/rbeeli/RiskPerf.jl)

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<div class="post-metadata">

**Author:** ![FemtoTrader](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/femtotrader/32/309_2.png) [@FemtoTrader](https://discourse.julialang.org/u/FemtoTrader)\
**Post date:** [January 5, 2026, 4:36pm UTC](https://discourse.julialang.org/t/incremental-portfolio-analytics-onlineportfolioanalytics-jl/113590/2 "2026-01-05T16:36:07Z")

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Hi everyone,

Since my initial announcement back in April 2024, I’ve made significant progress on [GitHub - femtotrader/OnlinePortfolioAnalytics.jl: A Julia quantitative portfolio analytics (risk / performance) via online algorithms](https://github.com/femtotrader/OnlinePortfolioAnalytics.jl). Here’s a summary of what’s new:

New Metrics (30+ streaming statistics)

The package now includes a comprehensive set of portfolio analytics:

- Risk metrics: VaR, Expected Shortfall (CVaR), MaxDrawDown, UlcerIndex, Downside/Upside Deviation

- Risk-adjusted returns: Sharpe Ratio, Treynor Ratio, Sortino Ratio, Calmar Ratio, Omega Ratio, Modigliani (M²)

- Benchmark-relative: Beta, Jensen’s Alpha, Information Ratio, Tracking Error, Market Capture ratios

- Core statistics: Annualized Return, Volatility, RMS, Prod, LogProd

Key Features

- Rolling window framework for time-windowed analytics

- TSFrames.jl integration for seamless time series support (and more globally Tables.jl interface)

- Validated against R’s PerformanceAnalytics package for accuracy

- 530+ passing tests

Installation

```
using Pkg
Pkg.add("OnlinePortfolioAnalytics")

```

Feedback and contributions are welcome! Check out the [GitHub - femtotrader/OnlinePortfolioAnalytics.jl: A Julia quantitative portfolio analytics (risk / performance) via online algorithms](https://github.com/femtotrader/OnlinePortfolioAnalytics.jl) and let me know your thoughts.

There is still room for improvements / code cleanup!