This, question, is, asked, over, and, over, and, over, on the R-sig-finance mailing list, but I do not think it has been asked on stackoverflow.
It goes like this:<
If (and only if) you have the appropriate toolchain for your OS, then this may succeed:
# First download source file to your working directory
# As an example use browser to download pkg:partykit from:
# http://download.r-forge.r-project.org/src/contrib/partykit_1.1-2.tar.gz
# Move to working directory
# Or in the case of returnanalytics (which is a bundle of packages):
# http://r-forge.r-project.org/R/?group_id=579 and download the tar.gz (source)
# Then in R:
install.packages( "partykit_1.1-2.tar.gz", repo=NULL, type="source")
# for the first of the ReturnAnalytics packages:
install.packages( "Dowd_0.11.tar.gz", repo=NULL, type="source")
These direction should be "cross-platform". I'm not sure the directions in the accepted answer are applicable to Macs (OSX). (I later confirmed that they do "work" on a Mac but found the process more involved that what I suggested above. They do result in a directory that do contain the packages in a form that should succeed with R --vanilla CMD INSTALL --build pathToEachPackageSeparately
)