Portfolio Analytics in Julia - comparison

[femtotrader]

Hello,

Here is a list of Julia libraries which can perform portfolio analytics

• PortfolioAnalytics.jl https://doganmehmet.github.io/PortfolioAnalytics.jl from @doganmehmet
• RiskPerf.jl https://rbeeli.github.io/RiskPerf.jl/ from @rbeeli
• OnlinePortfolioAnalytics.jl https://femtotrader.github.io/OnlinePortfolioAnalytics.jl/ from @femtotrader

I'm wondering if we couldn't merge our forces to build a very good portfolio analytics library in Julia.

Feel free to also add some other libraries here.

Some Python packages

• qstrader https://github.com/mhallsmoore/qstrader/blob/master/qstrader/statistics/performance.py
• empyrical http://quantopian.github.io/empyrical/_modules/empyrical/stats.html
• quantstats https://github.com/ranaroussi/quantstats
• blankly-finance
  • https://github.com/blankly-finance/blankly/blob/main/blankly/metrics/portfolio.py
  • https://github.com/blankly-finance/blankly/blob/main/tests/metrics/test_portfolio_metrics.py

Maybe we could consider doing an analysis about Strengths, Weaknesses, Opportunities, Threats (SWOT) of each project

Kind regards