From noreply at r-forge.r-project.org Tue Sep 2 20:54:46 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Tue, 2 Sep 2014 20:54:46 +0200 (CEST) Subject: [Returnanalytics-commits] r3521 - in pkg/PerformanceAnalytics: R man Message-ID: <20140902185446.28EF9187688@r-forge.r-project.org> Author: rossbennett34 Date: 2014-09-02 20:54:45 +0200 (Tue, 02 Sep 2014) New Revision: 3521 Modified: pkg/PerformanceAnalytics/R/zerofill.R pkg/PerformanceAnalytics/man/zerofill.Rd Log: Modifying zerofill to avoid loops and use method="xts" in checkData. Minor edits to zerofill man file. Modified: pkg/PerformanceAnalytics/R/zerofill.R =================================================================== --- pkg/PerformanceAnalytics/R/zerofill.R 2014-08-30 14:40:16 UTC (rev 3520) +++ pkg/PerformanceAnalytics/R/zerofill.R 2014-09-02 18:54:45 UTC (rev 3521) @@ -16,23 +16,18 @@ #' zerofill #' -#' Fill NA's with zeros in a time series to allow analysis when the matrix must +#' Fill NA's with zeros in a time series to allow analysis when the data must #' be complete. #' #' Note that this function has risks, use carefully. Complete data is -#' preferred. Barring that, filling a small percentage of results in a the -#' middle of a large set are unlikely to cause problems. Barring that, realize +#' preferred. Barring that, filling a small percentage of results in the +#' middle of a large set is unlikely to cause problems. Barring that, realize #' that this will skew your results. #' #' @param x time series to zero fill #' @export zerofill <- function (x) { - mat<-checkData(x,"matrix") - for(column in 1:ncol(mat)){ - for (row in 1:nrow(mat)){ - if(is.na(mat[row,column])) mat[row,column] <- 0 - } - } - x<-reclass(mat,x) + x <- checkData(x,"xts") + x[is.na(x)] <- 0 return(x) } Modified: pkg/PerformanceAnalytics/man/zerofill.Rd =================================================================== --- pkg/PerformanceAnalytics/man/zerofill.Rd 2014-08-30 14:40:16 UTC (rev 3520) +++ pkg/PerformanceAnalytics/man/zerofill.Rd 2014-09-02 18:54:45 UTC (rev 3521) @@ -9,13 +9,12 @@ } \description{ Fill NA's with zeros in a time series to allow analysis -when the matrix must be complete. +when the data must be complete. } \details{ Note that this function has risks, use carefully. Complete data is preferred. Barring that, filling a small -percentage of results in a the middle of a large set are +percentage of results in the middle of a large set is unlikely to cause problems. Barring that, realize that this will skew your results. } - From noreply at r-forge.r-project.org Tue Sep 2 23:09:56 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Tue, 2 Sep 2014 23:09:56 +0200 (CEST) Subject: [Returnanalytics-commits] r3522 - in pkg/PerformanceAnalytics: . R man tests/Examples Message-ID: <20140902210956.3432C18731C@r-forge.r-project.org> Author: braverock Date: 2014-09-02 23:09:55 +0200 (Tue, 02 Sep 2014) New Revision: 3522 Added: pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NAMESPACE pkg/PerformanceAnalytics/R/CoMoments.R pkg/PerformanceAnalytics/R/ES.R pkg/PerformanceAnalytics/R/MultivariateMoments.R pkg/PerformanceAnalytics/R/table.ProbOutperformance.R pkg/PerformanceAnalytics/R/zzz.R pkg/PerformanceAnalytics/man/ActivePremium.Rd pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd pkg/PerformanceAnalytics/man/AppraisalRatio.Rd pkg/PerformanceAnalytics/man/AverageDrawdown.Rd pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd pkg/PerformanceAnalytics/man/BetaCoMoments.Rd pkg/PerformanceAnalytics/man/BurkeRatio.Rd pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd pkg/PerformanceAnalytics/man/CAPM.alpha.Rd pkg/PerformanceAnalytics/man/CAPM.beta.Rd pkg/PerformanceAnalytics/man/CAPM.dynamic.Rd pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd pkg/PerformanceAnalytics/man/CDD.Rd pkg/PerformanceAnalytics/man/CalmarRatio.Rd pkg/PerformanceAnalytics/man/CoMoments.Rd pkg/PerformanceAnalytics/man/DRatio.Rd pkg/PerformanceAnalytics/man/DownsideDeviation.Rd pkg/PerformanceAnalytics/man/DownsideFrequency.Rd pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd pkg/PerformanceAnalytics/man/DrawdownPeak.Rd pkg/PerformanceAnalytics/man/ES.Rd pkg/PerformanceAnalytics/man/FamaBeta.Rd pkg/PerformanceAnalytics/man/Frequency.Rd pkg/PerformanceAnalytics/man/HurstIndex.Rd pkg/PerformanceAnalytics/man/InformationRatio.Rd pkg/PerformanceAnalytics/man/Kappa.Rd pkg/PerformanceAnalytics/man/KellyRatio.Rd pkg/PerformanceAnalytics/man/M2Sortino.Rd pkg/PerformanceAnalytics/man/MSquared.Rd pkg/PerformanceAnalytics/man/MSquaredExcess.Rd pkg/PerformanceAnalytics/man/MarketTiming.Rd pkg/PerformanceAnalytics/man/MartinRatio.Rd pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd pkg/PerformanceAnalytics/man/Modigliani.Rd pkg/PerformanceAnalytics/man/NetSelectivity.Rd pkg/PerformanceAnalytics/man/Omega.Rd pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd pkg/PerformanceAnalytics/man/PainIndex.Rd pkg/PerformanceAnalytics/man/PainRatio.Rd pkg/PerformanceAnalytics/man/ProspectRatio.Rd pkg/PerformanceAnalytics/man/Return.Geltner.Rd pkg/PerformanceAnalytics/man/Return.annualized.Rd pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd pkg/PerformanceAnalytics/man/Return.calculate.Rd pkg/PerformanceAnalytics/man/Return.clean.Rd pkg/PerformanceAnalytics/man/Return.cumulative.Rd pkg/PerformanceAnalytics/man/Return.excess.Rd pkg/PerformanceAnalytics/man/Return.read.Rd pkg/PerformanceAnalytics/man/Return.relative.Rd pkg/PerformanceAnalytics/man/Selectivity.Rd pkg/PerformanceAnalytics/man/SharpeRatio.Rd pkg/PerformanceAnalytics/man/SharpeRatio.annualized.Rd pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd pkg/PerformanceAnalytics/man/SmoothingIndex.Rd pkg/PerformanceAnalytics/man/SortinoRatio.Rd pkg/PerformanceAnalytics/man/SpecificRisk.Rd pkg/PerformanceAnalytics/man/StdDev.Rd pkg/PerformanceAnalytics/man/StdDev.annualized.Rd pkg/PerformanceAnalytics/man/SystematicRisk.Rd pkg/PerformanceAnalytics/man/TotalRisk.Rd pkg/PerformanceAnalytics/man/TrackingError.Rd pkg/PerformanceAnalytics/man/TreynorRatio.Rd pkg/PerformanceAnalytics/man/UlcerIndex.Rd pkg/PerformanceAnalytics/man/UpDownRatios.Rd pkg/PerformanceAnalytics/man/UpsideFrequency.Rd pkg/PerformanceAnalytics/man/UpsidePotentialRatio.Rd pkg/PerformanceAnalytics/man/UpsideRisk.Rd pkg/PerformanceAnalytics/man/VaR.Rd pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd pkg/PerformanceAnalytics/man/apply.fromstart.Rd pkg/PerformanceAnalytics/man/apply.rolling.Rd pkg/PerformanceAnalytics/man/centeredmoments.Rd pkg/PerformanceAnalytics/man/chart.ACF.Rd pkg/PerformanceAnalytics/man/chart.Bar.Rd pkg/PerformanceAnalytics/man/chart.BarVaR.Rd pkg/PerformanceAnalytics/man/chart.Boxplot.Rd pkg/PerformanceAnalytics/man/chart.CaptureRatios.Rd pkg/PerformanceAnalytics/man/chart.Correlation.Rd pkg/PerformanceAnalytics/man/chart.CumReturns.Rd pkg/PerformanceAnalytics/man/chart.Drawdown.Rd pkg/PerformanceAnalytics/man/chart.ECDF.Rd pkg/PerformanceAnalytics/man/chart.Events.Rd pkg/PerformanceAnalytics/man/chart.Histogram.Rd pkg/PerformanceAnalytics/man/chart.QQPlot.Rd pkg/PerformanceAnalytics/man/chart.Regression.Rd pkg/PerformanceAnalytics/man/chart.RelativePerformance.Rd pkg/PerformanceAnalytics/man/chart.RiskReturnScatter.Rd pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd pkg/PerformanceAnalytics/man/chart.RollingMean.Rd pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd pkg/PerformanceAnalytics/man/chart.RollingRegression.Rd pkg/PerformanceAnalytics/man/chart.Scatter.Rd pkg/PerformanceAnalytics/man/chart.SnailTrail.Rd pkg/PerformanceAnalytics/man/chart.StackedBar.Rd pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd pkg/PerformanceAnalytics/man/charts.PerformanceSummary.Rd pkg/PerformanceAnalytics/man/charts.RollingPerformance.Rd pkg/PerformanceAnalytics/man/checkData.Rd pkg/PerformanceAnalytics/man/clean.boudt.Rd pkg/PerformanceAnalytics/man/findDrawdowns.Rd pkg/PerformanceAnalytics/man/kurtosis.Rd pkg/PerformanceAnalytics/man/legend.Rd pkg/PerformanceAnalytics/man/lpm.Rd pkg/PerformanceAnalytics/man/maxDrawdown.Rd pkg/PerformanceAnalytics/man/mean.geometric.Rd pkg/PerformanceAnalytics/man/skewness.Rd pkg/PerformanceAnalytics/man/sortDrawdowns.Rd pkg/PerformanceAnalytics/man/table.AnnualizedReturns.Rd pkg/PerformanceAnalytics/man/table.Arbitrary.Rd pkg/PerformanceAnalytics/man/table.Autocorrelation.Rd pkg/PerformanceAnalytics/man/table.CAPM.Rd pkg/PerformanceAnalytics/man/table.CalendarReturns.Rd pkg/PerformanceAnalytics/man/table.CaptureRatios.Rd pkg/PerformanceAnalytics/man/table.Correlation.Rd pkg/PerformanceAnalytics/man/table.Distributions.Rd pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd pkg/PerformanceAnalytics/man/table.DownsideRiskRatio.Rd pkg/PerformanceAnalytics/man/table.Drawdowns.Rd pkg/PerformanceAnalytics/man/table.DrawdownsRatio.Rd pkg/PerformanceAnalytics/man/table.HigherMoments.Rd pkg/PerformanceAnalytics/man/table.InformationRatio.Rd pkg/PerformanceAnalytics/man/table.MonthlyReturns.Rd pkg/PerformanceAnalytics/man/table.RollingPeriods.Rd pkg/PerformanceAnalytics/man/table.SpecificRisk.Rd pkg/PerformanceAnalytics/man/table.Variability.Rd pkg/PerformanceAnalytics/man/textplot.Rd pkg/PerformanceAnalytics/man/zerofill.Rd pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save Log: - clean check in R-release ahead of new CRAN version Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.1.6 +Version: 1.1.3522 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson @@ -14,10 +14,10 @@ work with irregular return data as well, and increasing numbers of functions will work with P&L or price data where possible. +Imports: zoo Depends: R (>= 3.0.0), - zoo, - xts (>= 0.8-9) + xts (>= 0.9) Suggests: Hmisc, MASS, Modified: pkg/PerformanceAnalytics/NAMESPACE =================================================================== --- pkg/PerformanceAnalytics/NAMESPACE 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/NAMESPACE 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,5 @@ +# Generated by roxygen2 (4.0.1): do not edit by hand + S3method(textplot,character) S3method(textplot,data.frame) S3method(textplot,default) @@ -29,7 +31,9 @@ export(CalculateReturns) export(CalmarRatio) export(CoKurtosis) +export(CoKurtosisMatrix) export(CoSkewness) +export(CoSkewnessMatrix) export(CoVariance) export(DRatio) export(DownsideDeviation) @@ -46,6 +50,8 @@ export(Kappa) export(KellyRatio) export(M2Sortino) +export(M3.MM) +export(M4.MM) export(MSquared) export(MSquaredExcess) export(MarketTiming) @@ -202,6 +208,7 @@ export(table.DrawdownsRatio) export(table.HigherMoments) export(table.InformationRatio) +export(table.ProbOutPerformance) export(table.SFM) export(table.SpecificRisk) export(table.Stats) @@ -231,7 +238,7 @@ export(tol9qualitative) export(zerofill) import(xts) +import(zoo) importFrom(stats,sd) importFrom(utils,packageDescription) -importFrom(zoo,rollapply) useDynLib(PerformanceAnalytics) Modified: pkg/PerformanceAnalytics/R/CoMoments.R =================================================================== --- pkg/PerformanceAnalytics/R/CoMoments.R 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/R/CoMoments.R 2014-09-02 21:09:55 UTC (rev 3522) @@ -99,6 +99,8 @@ ############################################################################### +#' @rdname CoMoments +#' @export CoSkewnessMatrix <- function (R, ...) { # @author Kris Boudt @@ -107,6 +109,8 @@ ############################################################################### +#' @rdname CoMoments +#' @export CoKurtosisMatrix <- function (R, ...) { # @author Kris Boudt @@ -175,10 +179,13 @@ #' @concept co-moments #' @concept moments #' @aliases CoMoments CoVariance CoSkewness CoKurtosis +#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of +#' asset returns #' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of #' asset returns #' @param Rb an xts, vector, matrix, data frame, timeSeries or zoo object of #' index, benchmark, portfolio, or secondary asset returns to compare against +#' @param \dots any other passthru parameters #' @author Kris Boudt, Peter Carl, Brian Peterson #' @seealso \code{\link{BetaCoSkewness}} \cr \code{\link{BetaCoKurtosis}} \cr #' \code{\link{BetaCoMoments}} Modified: pkg/PerformanceAnalytics/R/ES.R =================================================================== --- pkg/PerformanceAnalytics/R/ES.R 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/R/ES.R 2014-09-02 21:09:55 UTC (rev 3522) @@ -46,7 +46,7 @@ #' judgement on which approach is preferable. #' @section Background: This function provides several estimation methods for #' the Expected Shortfall (ES) (also called Expected Tail Loss (ETL) -#' orConditional Value at Risk (CVaR)) of a return series and the Component ES +#' or Conditional Value at Risk (CVaR)) of a return series and the Component ES #' (ETL/CVaR) of a portfolio. #' #' At a preset probability level denoted \eqn{c}, which typically is between 1 Modified: pkg/PerformanceAnalytics/R/MultivariateMoments.R =================================================================== --- pkg/PerformanceAnalytics/R/MultivariateMoments.R 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/R/MultivariateMoments.R 2014-09-02 21:09:55 UTC (rev 3522) @@ -29,6 +29,8 @@ } #'@useDynLib PerformanceAnalytics +#'@export +#'@rdname CoMoments M3.MM = function(R, ...){ if(!hasArg(mu)) mu = colMeans(R) else mu=list(...)$mu @@ -69,6 +71,8 @@ } #'@useDynLib PerformanceAnalytics +#'@export +#'@rdname CoMoments M4.MM = function(R, ...){ if(!hasArg(mu)) mu = colMeans(R) else mu=list(...)$mu Modified: pkg/PerformanceAnalytics/R/table.ProbOutperformance.R =================================================================== --- pkg/PerformanceAnalytics/R/table.ProbOutperformance.R 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/R/table.ProbOutperformance.R 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,11 +1,11 @@ -#' Performance Reporting Fund vs Benchmark +#' Outperformance Report of Asset vs Benchmark #' -#' Table of Performance Reporting vs Benchmark +#' Table of Outperformance Reporting vs Benchmark #' #' Returns a table that contains the counts and probabilities #' of outperformance relative to benchmark for the various period_lengths #' -#' Tool for Robustness analysis of a strategy, can be used to +#' Tool for robustness analysis of an asset or strategy, can be used to #' give the probability an investor investing at any point in time will #' outperform the benchmark over a given horizon. Calculates Count of #' trailing periods where a fund outperformed its benchmark and calculates @@ -27,6 +27,7 @@ #' #' table.ProbOutPerformance(edhec[,1],edhec[,2]) #' title(main='Table of Convertible Arbitrage vs Benchmark') +#' #' @export table.ProbOutPerformance = function(R,Rb,period_lengths=c(1,3,6,9,12,18,36)){ if(nrow(R)!=nrow(Rb)){ Modified: pkg/PerformanceAnalytics/R/zzz.R =================================================================== --- pkg/PerformanceAnalytics/R/zzz.R 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/R/zzz.R 2014-09-02 21:09:55 UTC (rev 3522) @@ -19,8 +19,8 @@ #' @importFrom utils packageDescription #' @importFrom stats sd -#' @importFrom zoo rollapply #' @import xts +#' @import zoo NULL ############################################################################### Modified: pkg/PerformanceAnalytics/man/ActivePremium.Rd =================================================================== --- pkg/PerformanceAnalytics/man/ActivePremium.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/ActivePremium.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{ActiveReturn} \alias{ActivePremium} \alias{ActiveReturn} @@ -6,20 +7,20 @@ ActiveReturn(Ra, Rb, scale = NA) } \arguments{ - \item{Ra}{return vector of the portfolio} +\item{Ra}{return vector of the portfolio} - \item{Rb}{return vector of the benchmark asset} +\item{Rb}{return vector of the benchmark asset} - \item{scale}{number of periods in a year (daily scale = - 252, monthly scale = 12, quarterly scale = 4)} +\item{scale}{number of periods in a year (daily scale = 252, monthly scale = +12, quarterly scale = 4)} } \description{ -The return on an investment's annualized return minus the -benchmark's annualized return. +The return on an investment's annualized return minus the benchmark's +annualized return. } \details{ -Active Premium = Investment's annualized return - -Benchmark's annualized return +Active Premium = Investment's annualized return - Benchmark's annualized +return Also commonly referred to as 'active return'. } Modified: pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{AdjustedSharpeRatio} \alias{AdjustedSharpeRatio} \title{Adjusted Sharpe ratio of the return distribution} @@ -5,26 +6,22 @@ AdjustedSharpeRatio(R, Rf = 0, ...) } \arguments{ - \item{R}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{Rf}{the risk free rate} +\item{Rf}{the risk free rate} - \item{\dots}{any other passthru parameters} +\item{\dots}{any other passthru parameters} } \description{ -Adjusted Sharpe ratio was introduced by Pezier and White -(2006) to adjusts for skewness and kurtosis by -incorporating a penalty factor for negative skewness and -excess kurtosis. +Adjusted Sharpe ratio was introduced by Pezier and White (2006) to adjusts +for skewness and kurtosis by incorporating a penalty factor for negative skewness +and excess kurtosis. } \details{ -\deqn{Adjusted Sharpe Ratio = SR * [1 + (\frac{S}{6}) * SR -- (\frac{K - 3}{24}) * SR^2]}{Adjusted Sharpe ratio = SR x -[1 + (S/6) x SR - ((K-3) / 24) x SR^2]} +\deqn{Adjusted Sharpe Ratio = SR * [1 + (\frac{S}{6}) * SR - (\frac{K - 3}{24}) * SR^2]}{Adjusted Sharpe ratio = SR x [1 + (S/6) x SR - ((K-3) / 24) x SR^2]} -where \eqn{SR} is the sharpe ratio with data annualized, -\eqn{S} is the skewness and \eqn{K} is the kurtosis +where \eqn{SR} is the sharpe ratio with data annualized, \eqn{S} is the skewness and \eqn{K} is the kurtosis } \examples{ data(portfolio_bacon) @@ -38,8 +35,8 @@ Matthieu Lestel } \references{ -Carl Bacon, \emph{Practical portfolio performance -measurement and attribution}, second edition 2008 p.99 +Carl Bacon, \emph{Practical portfolio performance measurement +and attribution}, second edition 2008 p.99 } \keyword{distribution} \keyword{models} Modified: pkg/PerformanceAnalytics/man/AppraisalRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AppraisalRatio.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/AppraisalRatio.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{AppraisalRatio} \alias{AppraisalRatio} \title{Appraisal ratio of the return distribution} @@ -6,46 +7,36 @@ "alternative"), ...) } \arguments{ - \item{Ra}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{Ra}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{Rb}{return vector of the benchmark asset} +\item{Rb}{return vector of the benchmark asset} - \item{Rf}{risk free rate, in same period as your returns} +\item{Rf}{risk free rate, in same period as your returns} - \item{method}{is one of "appraisal" to calculate - appraisal ratio, "modified" to calculate modified - Jensen's alpha or "alternative" to calculate alternative - Jensen's alpha.} +\item{method}{is one of "appraisal" to calculate appraisal ratio, "modified" to +calculate modified Jensen's alpha or "alternative" to calculate alternative +Jensen's alpha.} - \item{\dots}{any other passthru parameters} +\item{\dots}{any other passthru parameters} } \description{ -Appraisal ratio is the Jensen's alpha adjusted for specific -risk. The numerator is divided by specific risk instead of -total risk. +Appraisal ratio is the Jensen's alpha adjusted for specific risk. The numerator +is divided by specific risk instead of total risk. } \details{ Modified Jensen's alpha is Jensen's alpha divided by beta. -Alternative Jensen's alpha is Jensen's alpha divided by -systematic risk. +Alternative Jensen's alpha is Jensen's alpha divided by systematic risk. -\deqn{Appraisal ratio = -\frac{\alpha}{\sigma_{\epsilon}}}{Appraisal ratio = -Jensen's alpha / specific risk} +\deqn{Appraisal ratio = \frac{\alpha}{\sigma_{\epsilon}}}{Appraisal ratio = Jensen's alpha / specific risk} -\deqn{Modified Jensen's alpha = -\frac{\alpha}{\beta}}{Modified Jensen's alpha = Jensen's -alpha / beta} +\deqn{Modified Jensen's alpha = \frac{\alpha}{\beta}}{Modified Jensen's alpha = Jensen's alpha / beta} -\deqn{Alternative Jensen's alpha = -\frac{\alpha}{\sigma_S}}{Alternative Jensen's alpha = -Jensen's alpha / systematic risk} +\deqn{Alternative Jensen's alpha = \frac{\alpha}{\sigma_S}}{Alternative Jensen's alpha = Jensen's alpha / systematic risk} -where \eqn{alpha} is the Jensen's alpha, -\eqn{\sigma_{epsilon}} is the specific risk, \eqn{\sigma_S} -is the systematic risk. +where \eqn{alpha} is the Jensen's alpha, \eqn{\sigma_{epsilon}} is the specific risk, +\eqn{\sigma_S} is the systematic risk. } \examples{ data(portfolio_bacon) @@ -61,8 +52,8 @@ Matthieu Lestel } \references{ -Carl Bacon, \emph{Practical portfolio performance -measurement and attribution}, second edition 2008 p.77 +Carl Bacon, \emph{Practical portfolio performance measurement +and attribution}, second edition 2008 p.77 } \keyword{distribution} \keyword{models} Modified: pkg/PerformanceAnalytics/man/AverageDrawdown.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AverageDrawdown.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/AverageDrawdown.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{AverageDrawdown} \alias{AverageDrawdown} \alias{AverageRecovery} @@ -8,14 +9,14 @@ AverageRecovery(R, ...) } \arguments{ - \item{R}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{\dots}{any other passthru parameters} +\item{\dots}{any other passthru parameters} } \description{ -ADD = abs(sum[j=1,2,...,d](D_j/d)) where D'_j = jth -drawdown over entire period d = total number of drawdowns -in the entire period +ADD = abs(sum[j=1,2,...,d](D_j/d)) where +D'_j = jth drawdown over entire period +d = total number of drawdowns in the entire period } Modified: pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{BernardoLedoitRatio} \alias{BernardoLedoitRatio} \title{Bernardo and Ledoit ratio of the return distribution} @@ -5,25 +6,20 @@ BernardoLedoitRatio(R, ...) } \arguments{ - \item{R}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{\dots}{any other passthru parameters} +\item{\dots}{any other passthru parameters} } \description{ -To calculate Bernardo and Ledoit ratio we take the sum of -the subset of returns that are above 0 and we divide it by -the opposite of the sum of the subset of returns that are -below 0 +To calculate Bernardo and Ledoit ratio we take the sum of the subset of +returns that are above 0 and we divide it by the opposite of the sum of +the subset of returns that are below 0 } \details{ -\deqn{BernardoLedoitRatio(R) = -\frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}}{BernardoLedoitRatio(R) -= 1/n*sum(t=1..n)(max(R(t),0)) / -1/n*sum(t=1..n)(max(-R(t),0))} +\deqn{BernardoLedoitRatio(R) = \frac{\frac{1}{n}\sum^{n}_{t=1}{max(R_{t},0)}}{\frac{1}{n}\sum^{n}_{t=1}{max(-R_{t},0)}}}{BernardoLedoitRatio(R) = 1/n*sum(t=1..n)(max(R(t),0)) / 1/n*sum(t=1..n)(max(-R(t),0))} -where \eqn{n} is the number of observations of the entire -series +where \eqn{n} is the number of observations of the entire series } \examples{ data(portfolio_bacon) @@ -37,8 +33,8 @@ Matthieu Lestel } \references{ -Carl Bacon, \emph{Practical portfolio performance -measurement and attribution}, second edition 2008 p.95 +Carl Bacon, \emph{Practical portfolio performance measurement +and attribution}, second edition 2008 p.95 } \keyword{distribution} \keyword{models} Modified: pkg/PerformanceAnalytics/man/BetaCoMoments.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BetaCoMoments.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/BetaCoMoments.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{BetaCoMoments} \alias{BetaCoKurtosis} \alias{BetaCoMoments} @@ -12,18 +13,17 @@ BetaCoKurtosis(Ra, Rb) } \arguments{ - \item{Ra}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{Ra}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{Rb}{an xts, vector, matrix, data frame, timeSeries - or zoo object of index, benchmark, or secondary asset - returns to compare against} +\item{Rb}{an xts, vector, matrix, data frame, timeSeries or zoo object of +index, benchmark, or secondary asset returns to compare against} - \item{test}{condition not implemented yet} +\item{test}{condition not implemented yet} } \description{ -calculate higher co-moment betas, or 'systematic' variance, -skewness, and kurtosis +calculate higher co-moment betas, or 'systematic' variance, skewness, and +kurtosis } \examples{ data(managers) @@ -38,15 +38,13 @@ Kris Boudt, Peter Carl, Brian Peterson } \references{ -Boudt, Kris, Brian G. Peterson, and Christophe Croux. 2008. -Estimation and Decomposition of Downside Risk for -Portfolios with Non-Normal Returns. Journal of Risk. -Winter. +Boudt, Kris, Brian G. Peterson, and Christophe Croux. 2008. Estimation and +Decomposition of Downside Risk for Portfolios with Non-Normal Returns. +Journal of Risk. Winter. -Martellini, Lionel, and Volker Ziemann. 2007. Improved -Forecasts of Higher-Order Comoments and Implications for -Portfolio Selection. EDHEC Risk and Asset Management -Research Centre working paper. +Martellini, Lionel, and Volker Ziemann. 2007. Improved Forecasts of +Higher-Order Comoments and Implications for Portfolio Selection. EDHEC Risk +and Asset Management Research Centre working paper. } \seealso{ \code{\link{CoMoments}} @@ -56,28 +54,24 @@ moments -The co-moments, including covariance, coskewness, and -cokurtosis, do not allow the marginal impact of an asset on -a portfolio to be directly measured. Instead, Martellini -and Zieman (2007) develop a framework that assesses the -potential diversification of an asset relative to a -portfolio. They use higher moment betas to estimate how -much portfolio risk will be impacted by adding an asset, in -terms of symmetric risk (i.e., volatility), in asymmetry -risk (i.e., skewness), and extreme risks (i.e. kurtosis). -That allows them to show that adding an asset to a -portfolio (or benchmark) will reduce the portfolio's -variance to be reduced if the second-order beta of the -asset with respect to the portfolio is less than one. They -develop the same concepts for the third and fourth order -moments. The authors offer these higher moment betas as a -measure of the diversification potential of an asset. +The co-moments, including covariance, coskewness, and cokurtosis, do not +allow the marginal impact of an asset on a portfolio to be directly +measured. Instead, Martellini and Zieman (2007) develop a framework that +assesses the potential diversification of an asset relative to a portfolio. +They use higher moment betas to estimate how much portfolio risk will be +impacted by adding an asset, in terms of symmetric risk (i.e., volatility), +in asymmetry risk (i.e., skewness), and extreme risks (i.e. kurtosis). That +allows them to show that adding an asset to a portfolio (or benchmark) will +reduce the portfolio's variance to be reduced if the second-order beta of +the asset with respect to the portfolio is less than one. They develop the +same concepts for the third and fourth order moments. The authors offer +these higher moment betas as a measure of the diversification potential of +an asset. -Higher moment betas are defined as proportional to the -derivative of the covariance, coskewness and cokurtosis of -the second, third and fourth portfolio moment with respect -to the portfolio weights. The beta co-variance is -calculated as: +Higher moment betas are defined as proportional to the derivative of the +covariance, coskewness and cokurtosis of the second, third and fourth +portfolio moment with respect to the portfolio weights. The beta co-variance +is calculated as: \deqn{ BetaCoV(Ra,Rb) = \beta^{(2)}_{a,b} = \frac{CoV(R_a,R_b)}{\mu^{(2)}(R_b)} }{BetaCoV(Ra,Rb) = @@ -85,59 +79,50 @@ Beta co-skewness is given as: -\deqn{ BetaCoS(Ra,Rb) = \beta^{(3)}_{a,b}= -\frac{CoS(R_a,R_b)}{\mu^{(3)}(R_b)} }{BetaCoS(Ra,Rb) = +\deqn{ BetaCoS(Ra,Rb) = \beta^{(3)}_{a,b}= \frac{CoS(R_a,R_b)}{\mu^{(3)}(R_b)} }{BetaCoS(Ra,Rb) = CoS(Ra,Rb)/centeredmoment(Rb,3)} Beta co-kurtosis is: -\deqn{ BetaCoK(Ra,Rb)=\beta^{(4)}_{a,b} = -\frac{CoK(R_a,R_b)}{\mu^{(4)}(R_b)} }{BetaCoK(Ra,Rb) = +\deqn{ BetaCoK(Ra,Rb)=\beta^{(4)}_{a,b} += \frac{CoK(R_a,R_b)}{\mu^{(4)}(R_b)} }{BetaCoK(Ra,Rb) = CoK(Ra,Rb)/centeredmoment(Rb,4)} -where the \eqn{n}-th centered moment is calculated as +where the \eqn{n}-th centered moment is +calculated as -\deqn{ \mu^{(n)}(R) = E\lbrack(R-E(R))^n\rbrack -}{moment^n(R) = E[R-E(R)^n]} +\deqn{ \mu^{(n)}(R) = E\lbrack(R-E(R))^n\rbrack }{moment^n(R) = E[R-E(R)^n]} -A beta is greater than one indicates that no -diversification benefits should be expected from the -introduction of that asset into the portfolio. Conversely, -a beta that is less than one indicates that adding the new -asset should reduce the resulting portfolio's volatility -and kurtosis, and to an increase in skewness. More -specifically, the lower the beta the higher the -diversification effect on normal risk (i.e. volatility). -Similarly, since extreme risks are generally characterised -by negative skewness and positive kurtosis, the lower the -beta, the higher the diversification effect on extreme -risks (as reflected in Modified Value-at-Risk or ER). +A beta is greater than one indicates that no diversification benefits should +be expected from the introduction of that asset into the portfolio. +Conversely, a beta that is less than one indicates that adding the new asset +should reduce the resulting portfolio's volatility and kurtosis, and to an +increase in skewness. More specifically, the lower the beta the higher the +diversification effect on normal risk (i.e. volatility). Similarly, since +extreme risks are generally characterised by negative skewness and positive +kurtosis, the lower the beta, the higher the diversification effect on +extreme risks (as reflected in Modified Value-at-Risk or ER). -The addition of a small fraction of a new asset to a -portfolio leads to a decrease in the portfolio's second -moment (respectively, an increase in the portfolio's third -moment and a decrease in the portfolio's fourth moment) if -and only if the second moment (respectively, the third -moment and fourth moment) beta is less than one (see -Martellini and Ziemann (2007) for more details). +The addition of a small fraction of a new asset to a portfolio leads to a +decrease in the portfolio's second moment (respectively, an increase in the +portfolio's third moment and a decrease in the portfolio's fourth moment) if +and only if the second moment (respectively, the third moment and fourth +moment) beta is less than one (see Martellini and Ziemann (2007) for more +details). -For skewness, the interpretation is slightly more involved. -If the skewness of the portfolio is negative, we would -expect an increase in portfolio skewness when the third -moment beta is lower than one. When the skewness of the -portfolio is positive, then the condition is that the third -moment beta is greater than, as opposed to lower than, one. +For skewness, the interpretation is slightly more involved. If the skewness +of the portfolio is negative, we would expect an increase in portfolio +skewness when the third moment beta is lower than one. When the skewness of +the portfolio is positive, then the condition is that the third moment beta +is greater than, as opposed to lower than, one. -%Because the interpretation of beta coskewness is made -difficult by the need to condition on it's skewness, we -deviate from the more widely used measure slightly. To -make the interpretation consistent across all three -measures, the beta coskewness function tests the skewness -and multiplies the result by the sign of the skewness. -That allows an analyst to review the metric and interpret -it without needing additional information. To use the more -widely used metric, simply set the parameter \code{test = -FALSE}. +%Because the interpretation of beta coskewness is made difficult by the need +to condition on it's skewness, we deviate from the more widely used measure +slightly. To make the interpretation consistent across all three measures, +the beta coskewness function tests the skewness and multiplies the result by +the sign of the skewness. That allows an analyst to review the metric and +interpret it without needing additional information. To use the more widely +used metric, simply set the parameter \code{test = FALSE}. } \keyword{distribution} \keyword{models} Modified: pkg/PerformanceAnalytics/man/BurkeRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BurkeRatio.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/BurkeRatio.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{BurkeRatio} \alias{BurkeRatio} \title{Burke ratio of the return distribution} @@ -5,36 +6,27 @@ BurkeRatio(R, Rf = 0, modified = FALSE, ...) } \arguments{ - \item{R}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{Rf}{the risk free rate} +\item{Rf}{the risk free rate} - \item{modified}{a boolean to decide which ratio to - calculate between Burke ratio and modified Burke ratio.} +\item{modified}{a boolean to decide which ratio to calculate between Burke ratio and modified Burke ratio.} - \item{\dots}{any other passthru parameters} +\item{\dots}{any other passthru parameters} } \description{ -To calculate Burke ratio we take the difference between the -portfolio return and the risk free rate and we divide it by -the square root of the sum of the square of the drawdowns. -To calculate the modified Burke ratio we just multiply the -Burke ratio by the square root of the number of datas. +To calculate Burke ratio we take the difference between the portfolio +return and the risk free rate and we divide it by the square root of the +sum of the square of the drawdowns. To calculate the modified Burke ratio +we just multiply the Burke ratio by the square root of the number of datas. } \details{ -\deqn{Burke Ratio = \frac{r_P - -r_F}{\sqrt{\sum^{d}_{t=1}{D_t}^2}}}{Burke Ratio = (Rp - Rf) -/ (sqrt(sum(t=1..n)(Dt^2)))} +\deqn{Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}{D_t}^2}}}{Burke Ratio = (Rp - Rf) / (sqrt(sum(t=1..n)(Dt^2)))} -\deqn{Modified Burke Ratio = \frac{r_P - -r_F}{\sqrt{\sum^{d}_{t=1}\frac{{D_t}^2}{n}}}}{Modified -Burke Ratio = (Rp - Rf) / (sqrt(sum(t=1..n)(Dt^2 / n)))} +\deqn{Modified Burke Ratio = \frac{r_P - r_F}{\sqrt{\sum^{d}_{t=1}\frac{{D_t}^2}{n}}}}{Modified Burke Ratio = (Rp - Rf) / (sqrt(sum(t=1..n)(Dt^2 / n)))} -where \eqn{n} is the number of observations of the entire -series, \eqn{d} is number of drawdowns, \eqn{r_P} is the -portfolio return, \eqn{r_F} is the risk free rate and -\eqn{D_t} the \eqn{t^{th}} drawdown. +where \eqn{n} is the number of observations of the entire series, \eqn{d} is number of drawdowns, \eqn{r_P} is the portfolio return, \eqn{r_F} is the risk free rate and \eqn{D_t} the \eqn{t^{th}} drawdown. } \examples{ data(portfolio_bacon) @@ -51,8 +43,8 @@ Matthieu Lestel } \references{ -Carl Bacon, \emph{Practical portfolio performance -measurement and attribution}, second edition 2008 p.90-91 +Carl Bacon, \emph{Practical portfolio performance measurement +and attribution}, second edition 2008 p.90-91 } \keyword{distribution} \keyword{models} Modified: pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd =================================================================== --- pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd 2014-09-02 18:54:45 UTC (rev 3521) +++ pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd 2014-09-02 21:09:55 UTC (rev 3522) @@ -1,3 +1,4 @@ +% Generated by roxygen2 (4.0.1): do not edit by hand \name{CAPM.CML.slope} \alias{CAPM.CML} \alias{CAPM.CML.slope} @@ -20,77 +21,69 @@ CAPM.SML.slope(Rb, Rf = 0) } \arguments{ - \item{Ra}{an xts, vector, matrix, data frame, timeSeries - or zoo object of asset returns} +\item{Ra}{an xts, vector, matrix, data frame, timeSeries or zoo object of +asset returns} - \item{Rb}{return vector of the benchmark asset} +\item{Rb}{return vector of the benchmark asset} - \item{Rf}{risk free rate, in same period as your returns} +\item{Rf}{risk free rate, in same period as your returns} } \description{ The Capital Asset Pricing Model, from which the popular -\code{\link{SharpeRatio}} is derived, is a theory of market -equilibrium. These utility functions provide values for -various measures proposed in the CAPM. +\code{\link{SharpeRatio}} is derived, is a theory of market equilibrium. +These utility functions provide values for various measures proposed in the +CAPM. } \details{ -At it's core, the CAPM is a single factor linear model. In -light of the general ustility and wide use of single factor -model, all functions in the CAPM suite will also be -available with SFM (single factor model) prefixes. +At it's core, the CAPM is a single factor linear model. In light of +the general ustility and wide use of single factor model, all +functions in the CAPM suite will also be available with SFM (single factor model) +prefixes. -The CAPM provides a justification for passive or index -investing by positing that assets that are not on the -efficient frontier will either rise or lower in price until -they are on the efficient frontier of the market portfolio. +The CAPM provides a justification for passive or index investing by positing +that assets that are not on the efficient frontier will either rise or lower +in price until they are on the efficient frontier of the market portfolio. -The CAPM Risk Premium on an investment is the measure of -how much the asset's performance differs from the risk free -rate. Negative Risk Premium generally indicates that the -investment is a bad investment, and the money should be -allocated to the risk free asset or to a different asset -with a higher risk premium. +The CAPM Risk Premium on an investment is the measure of how much the +asset's performance differs from the risk free rate. Negative Risk Premium +generally indicates that the investment is a bad investment, and the money +should be allocated to the risk free asset or to a different asset with a +higher risk premium. -The Capital Market Line relates the excess expected return -on an efficient market portfolio to it's Risk. The slope -of the CML is the Sharpe Ratio for the market portfolio. -The Security Market line is constructed by calculating the -line of Risk Premium over \code{\link{CAPM.beta}}. For the -benchmark asset this will be 1 over the risk premium of the -benchmark asset. The CML also describes the only path -allowed by the CAPM to a portfolio that outperforms the -efficient frontier: it describes the line of reward/risk -that a leveraged portfolio will occupy. So, according to -CAPM, no portfolio constructed of the same assets can lie -above the CML. +The Capital Market Line relates the excess expected return on an efficient +market portfolio to it's Risk. The slope of the CML is the Sharpe Ratio for +the market portfolio. The Security Market line is constructed by calculating +the line of Risk Premium over \code{\link{CAPM.beta}}. For the benchmark +asset this will be 1 over the risk premium of the benchmark asset. The CML +also describes the only path allowed by the CAPM to a portfolio that +outperforms the efficient frontier: it describes the line of reward/risk +that a leveraged portfolio will occupy. So, according to CAPM, no portfolio +constructed of the same assets can lie above the CML. -Probably the most complete criticism of CAPM in actual -practice (as opposed to structural or theory critiques) is -that it posits a market equilibrium, but is most often used -only in a partial equilibrium setting, for example by using -the S\&P 500 as the benchmark asset. A better method of -using and testing the CAPM would be to use a general -equilibrium model that took global assets from all asset [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 3522 From noreply at r-forge.r-project.org Thu Sep 4 12:06:13 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Thu, 4 Sep 2014 12:06:13 +0200 (CEST) Subject: [Returnanalytics-commits] r3523 - in pkg/PerformanceAnalytics: . R man sandbox tests/Examples Message-ID: <20140904100613.21EC3187642@r-forge.r-project.org> Author: braverock Date: 2014-09-04 12:06:12 +0200 (Thu, 04 Sep 2014) New Revision: 3523 Added: pkg/PerformanceAnalytics/sandbox/decomposeMVaR.R pkg/PerformanceAnalytics/sandbox/expectedShortFallFunctions.r pkg/PerformanceAnalytics/sandbox/rCornishFisher.r pkg/PerformanceAnalytics/sandbox/valueAtRiskFunctions.r Removed: pkg/PerformanceAnalytics/R/decomposeMVaR.R pkg/PerformanceAnalytics/R/expectedShortFallFunctions.r pkg/PerformanceAnalytics/R/rCornishFisher.r pkg/PerformanceAnalytics/R/valueAtRiskFunctions.r Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NAMESPACE pkg/PerformanceAnalytics/NEWS pkg/PerformanceAnalytics/R/VaR.R pkg/PerformanceAnalytics/man/ActivePremium.Rd pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd pkg/PerformanceAnalytics/man/AppraisalRatio.Rd pkg/PerformanceAnalytics/man/AverageDrawdown.Rd pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd pkg/PerformanceAnalytics/man/BetaCoMoments.Rd pkg/PerformanceAnalytics/man/BurkeRatio.Rd pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd pkg/PerformanceAnalytics/man/CAPM.alpha.Rd pkg/PerformanceAnalytics/man/CAPM.beta.Rd pkg/PerformanceAnalytics/man/CAPM.dynamic.Rd pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd pkg/PerformanceAnalytics/man/CDD.Rd pkg/PerformanceAnalytics/man/CalmarRatio.Rd pkg/PerformanceAnalytics/man/CoMoments.Rd pkg/PerformanceAnalytics/man/DRatio.Rd pkg/PerformanceAnalytics/man/DownsideDeviation.Rd pkg/PerformanceAnalytics/man/DownsideFrequency.Rd pkg/PerformanceAnalytics/man/DrawdownDeviation.Rd pkg/PerformanceAnalytics/man/DrawdownPeak.Rd pkg/PerformanceAnalytics/man/ES.Rd pkg/PerformanceAnalytics/man/FamaBeta.Rd pkg/PerformanceAnalytics/man/Frequency.Rd pkg/PerformanceAnalytics/man/HurstIndex.Rd pkg/PerformanceAnalytics/man/InformationRatio.Rd pkg/PerformanceAnalytics/man/Kappa.Rd pkg/PerformanceAnalytics/man/KellyRatio.Rd pkg/PerformanceAnalytics/man/M2Sortino.Rd pkg/PerformanceAnalytics/man/MSquared.Rd pkg/PerformanceAnalytics/man/MSquaredExcess.Rd pkg/PerformanceAnalytics/man/MarketTiming.Rd pkg/PerformanceAnalytics/man/MartinRatio.Rd pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd pkg/PerformanceAnalytics/man/Modigliani.Rd pkg/PerformanceAnalytics/man/NetSelectivity.Rd pkg/PerformanceAnalytics/man/Omega.Rd pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd pkg/PerformanceAnalytics/man/PainIndex.Rd pkg/PerformanceAnalytics/man/PainRatio.Rd pkg/PerformanceAnalytics/man/ProspectRatio.Rd pkg/PerformanceAnalytics/man/Return.Geltner.Rd pkg/PerformanceAnalytics/man/Return.annualized.Rd pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd pkg/PerformanceAnalytics/man/Return.calculate.Rd pkg/PerformanceAnalytics/man/Return.clean.Rd pkg/PerformanceAnalytics/man/Return.cumulative.Rd 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pkg/PerformanceAnalytics/man/sortDrawdowns.Rd pkg/PerformanceAnalytics/man/table.AnnualizedReturns.Rd pkg/PerformanceAnalytics/man/table.Arbitrary.Rd pkg/PerformanceAnalytics/man/table.Autocorrelation.Rd pkg/PerformanceAnalytics/man/table.CAPM.Rd pkg/PerformanceAnalytics/man/table.CalendarReturns.Rd pkg/PerformanceAnalytics/man/table.CaptureRatios.Rd pkg/PerformanceAnalytics/man/table.Correlation.Rd pkg/PerformanceAnalytics/man/table.Distributions.Rd pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd pkg/PerformanceAnalytics/man/table.DownsideRiskRatio.Rd pkg/PerformanceAnalytics/man/table.Drawdowns.Rd pkg/PerformanceAnalytics/man/table.DrawdownsRatio.Rd pkg/PerformanceAnalytics/man/table.HigherMoments.Rd pkg/PerformanceAnalytics/man/table.InformationRatio.Rd pkg/PerformanceAnalytics/man/table.MonthlyReturns.Rd pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd pkg/PerformanceAnalytics/man/table.RollingPeriods.Rd pkg/PerformanceAnalytics/man/table.SpecificRisk.Rd pkg/PerformanceAnalytics/man/table.Variability.Rd pkg/PerformanceAnalytics/man/textplot.Rd pkg/PerformanceAnalytics/man/zerofill.Rd pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save Log: - move bootstrap files to sandbox, will clean up for next release - update docs to latest roxygen2 - update NEWS Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-04 10:06:12 UTC (rev 3523) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.1.3522 +Version: 1.4.3523 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson Modified: pkg/PerformanceAnalytics/NAMESPACE =================================================================== --- pkg/PerformanceAnalytics/NAMESPACE 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/NAMESPACE 2014-09-04 10:06:12 UTC (rev 3523) @@ -1,4 +1,4 @@ -# Generated by roxygen2 (4.0.1): do not edit by hand +# Generated by roxygen2 (4.0.2): do not edit by hand S3method(textplot,character) S3method(textplot,data.frame) Modified: pkg/PerformanceAnalytics/NEWS =================================================================== --- pkg/PerformanceAnalytics/NEWS 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/NEWS 2014-09-04 10:06:12 UTC (rev 3523) @@ -1,3 +1,32 @@ +PerformanceAnalytics 1.4 Release Notes + +This release mostly adds some functionality from Bacon, and +makes visible some features that were previously internal to +the package. + +We've also moved to using roxygen2 to generate the NAMESPACE file, +which required touching basically every single generated .Rd file. + + + +Most of the commits leading up to release are the result of continued +tightening and drift in CRAN standards, most should not have user-visible +results. + +... and the usual minor things that get changed and updated in the general +course of maintenance. + +PerformanceAnalytics 1.1 Release Notes + +Another release almost exclusively based on R core changes ahead of R 3.0.0. + +Most of the commits leading up to release are the result of continued +tightening and drift in CRAN standards, most should not have user-visible +results. + +... and the usual minor things that get changed and updated in the general +course of maintenance. + PerformanceAnalytics 1.0.4.3 Release Notes (sent to CRAN 2012-03-29) Modified: pkg/PerformanceAnalytics/R/VaR.R =================================================================== --- pkg/PerformanceAnalytics/R/VaR.R 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/R/VaR.R 2014-09-04 10:06:12 UTC (rev 3523) @@ -104,6 +104,19 @@ #' #' Rockafellar, Terry and Uryasev, Stanislav. Optimization of Conditional VaR. #' The Journal of Risk, 2000, vol. 2, 21-41. +#' +#' Dowd, Kevin. Measuring Market Risk, John Wiley and Sons, 2010. +#' +#' Jorian, Phillippe. Value at Risk, the new benchmark for managing financial risk. +#' 3rd Edition, McGraw Hill, 2006. +#' +#' Hallerback, John. "Decomposing Portfolio Value-at-Risk: A General Analysis", +#' 2003. The Journal of Risk vol 5/2. +#' +#' Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and +#' Value-at-Risk: Their Estimation Error, Decomposition, and Optimization", +#' Bank of Japan. +#' #' @keywords ts multivariate distribution models #' @examples #' Deleted: pkg/PerformanceAnalytics/R/decomposeMVaR.R =================================================================== --- pkg/PerformanceAnalytics/R/decomposeMVaR.R 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/R/decomposeMVaR.R 2014-09-04 10:06:12 UTC (rev 3523) @@ -1,106 +0,0 @@ - - -portm2 = function(w,sigma) -{ - return(t(w)%*%sigma%*%w) -} -portm2 - -portm3 = function(w,M3) -{ - return(t(w)%*%M3%*%(w%x%w)) -} -portm3 - -table.VaR.CornishFisher.portfolio = -function (p, w, mu, sigma, M3, M4 , names) -{ - w = matrix( w , ncol = 1 ) - alpha = .setalphaprob(p) - p = alpha - z = qnorm(alpha) - location = t(w) %*% mu - pm2 = portm2(w, sigma) - dpm2 = as.vector(derportm2(w, sigma)) - pm3 = portm3(w, M3) - dpm3 = as.vector(derportm3(w, M3)) - pm4 = portm4(w, M4) - dpm4 = as.vector(derportm4(w, M4)) - skew = pm3/pm2^(3/2) - exkurt = pm4/pm2^(2) - 3 - derskew = (2 * (pm2^(3/2)) * dpm3 - 3 * pm3 * sqrt(pm2) * - dpm2)/(2 * pm2^3) - derexkurt = ((pm2) * dpm4 - 2 * pm4 * dpm2)/(pm2^3) - h = z + (1/6) * (z^2 - 1) * skew - h = h + (1/24) * (z^3 - 3 * z) * exkurt - (1/36) * (2 * z^3 - - 5 * z) * skew^2 - MVaR = -location - h * sqrt(pm2) - derGausVaR = -as.vector(mu) - qnorm(alpha) * (0.5 * as.vector(dpm2))/sqrt(pm2) - derMVaR_skew = (0.5 * dpm2/sqrt(pm2)) * (-(1/6) * - (z^2 - 1) * skew + (1/36) * (2 * z^3 - 5 * z) * skew^2) - derMVaR_skew = derMVaR_skew + sqrt(pm2) * ( - -(1/6) * (z^2 - 1) * derskew + (1/36) * (2 * z^3 - - 5 * z) * 2 * skew * derskew) - derMVaR_kurt = (0.5 * dpm2/sqrt(pm2)) * ( - (1/24) * (z^3 - 3 * z) * exkurt ) - derMVaR_kurt = derMVaR_kurt + sqrt(pm2) * ( - (1/24) * (z^3 - 3 * z) * derexkurt) - - - # derMVaR = derGausVaR + (0.5 * dpm2/sqrt(pm2)) * (-(1/6) * - # (z^2 - 1) * skew - (1/24) * (z^3 - 3 * z) * exkurt + - # (1/36) * (2 * z^3 - 5 * z) * skew^2) - # derMVaR = derMVaR + sqrt(pm2) * (-(1/6) * (z^2 - 1) * derskew - - # (1/24) * (z^3 - 3 * z) * derexkurt + (1/36) * (2 * z^3 - - # 5 * z) * 2 * skew * derskew) - - derMVaR = derGausVaR + derMVaR_skew + derMVaR_kurt - - contrib = as.vector(w) * as.vector(derMVaR) - contrib_gaus = as.vector(w) * as.vector(derGausVaR) - contrib_skew = as.vector(w) * as.vector(derMVaR_skew) - contrib_kurt = as.vector(w) * as.vector(derMVaR_kurt) - pct_contrib = contrib/MVaR - pct_contrib_gaus = contrib_gaus/MVaR - pct_contrib_skew = contrib_skew/MVaR - pct_contrib_kurt = contrib_kurt/MVaR - - names(contrib_gaus) = names(contrib_skew) = names(contrib_kurt) = names(contrib) <- names(w); - names(pct_contrib_gaus) = names(pct_contrib_skew) = names(pct_contrib_kurt) = names(pct_contrib) <- names(w) - - out = cbind( contrib, contrib_gaus , contrib_skew , contrib_kurt , - pct_contrib , pct_contrib_gaus , pct_contrib_skew , pct_contrib_kurt ) - out = rbind( out , apply( out , 2 , 'sum' ) ) - rownames(out) = c(names,"sum") - colnames(out)= c( "total comp" , "Gaussian comp" , "skew comp" , "kurt comp", - "Perc total" , "Perc. Gaussian comp" , "Perc. skew comp" , "Perc. kurt comp") - print( round(out, 3 ) ) - ret = (list(MVaR, contrib, contrib_gaus , contrib_skew , contrib_kurt , - pct_contrib , pct_contrib_gaus , pct_contrib_skew , pct_contrib_kurt )) - names(ret) = c("MVaR", "contribution", "contribution_gaus" , "contribution_skew" , "contribution_kurt" , - "pct_contrib","pct_contrib_gaus","pct_contrib_skew","pct_contrib_kurt" ) - return(ret) - -} - -#data(edhec) -#N = 4 -#edhec = edhec[,1:N] -#mu = apply( edhec , 2 , 'mean' ) -#sigma = cov(edhec) -#m3 = PerformanceAnalytics:::M3.MM( edhec ) -#m4 = PerformanceAnalytics:::M4.MM( edhec ) -#out = Table.VaR.CornishFisher.portfolio ( p = 0.95 , w = rep(1/N,N) , mu = mu , sigma = sigma , M3 = m3 , M4 = m4 , names = colnames(edhec) ) - - - - -############################################################################### -# R (http://r-project.org/) Econometrics for Performance and Risk Analysis -# -# Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson -# -# This R package is distributed under the terms of the GNU Public License (GPL) -# for full details see the file COPYING -# -# $Id$ -# -############################################################################### Deleted: pkg/PerformanceAnalytics/R/expectedShortFallFunctions.r =================================================================== --- pkg/PerformanceAnalytics/R/expectedShortFallFunctions.r 2014-09-02 21:09:55 UTC (rev 3522) +++ pkg/PerformanceAnalytics/R/expectedShortFallFunctions.r 2014-09-04 10:06:12 UTC (rev 3523) @@ -1,684 +0,0 @@ -## expectedShortFallFunctions.r -## author: Eric Zivot -## created: April 29, 2009 -## update history: -## December 2, 2009 -## Fixed bootstrapIncrementalES to work with one asset portfolio -## -## purpose: functions for computing expected shortfall -## -## Functions: -## normalES -## normalPortfolioES -## normalMarginalES Not done -## normalComponentES Not done -## normalIncrementalES -## normalESreport Not done -## modifiedES Not done -## modifiedPortfolioES Not done -## modifiedMarginalES Not done -## modifiedComponentES Not done -## modifiedIncrementalES Not done -## modifiedESreport Not done -## bootstrapES -## bootstrapPortfolioES -## bootstrapIncrementalES -## bootstrapMarginalES -## bootstrapComponentES -## bootstrapESreport -## -## References: -## 1. Dowd, K. (2002). Measuring Market Risk, John Wiley and Sons -## 2. Boudt, Peterson and Croux (2008), "Estimation and Decomposition of Downside -## Risk for Portfolios with Non-Normal Returns," Journal of Risk. -## 3. Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and -## Value-at-Risk: Their Estimation Error, Decomposition, and Optimization -## Bank of Japan. - -## -## 1. ES functions based on the normal distribution -## - -normalES <- function(mu, sigma, tail.prob = 0.01) { -## compute normal ES for collection of assets given mean and sd vector -## inputs: -## mu n x 1 vector of expected returns -## sigma n x 1 vector of standard deviations -## tail.prob scalar tail probability -## output: -## ES n x 1 vector of left tail average returns reported as a positive number - mu = as.matrix(mu) - sigma = as.matrix(sigma) - if ( nrow(mu) != nrow(sigma) ) - stop("mu and sigma must have same number of elements") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - - - -#' calculates Expected Shortfall(ES) (or Conditional Value-at-Risk(CVaR) for -#' univariate and component, using a variety of analytical methods. -#' -#' Calculates Expected Shortfall(ES) (also known as) Conditional Value at -#' Risk(CVaR) for univariate, component, and marginal cases using a variety of -#' analytical methods. -#' -#' -#' @aliases ES CVaR ETL -#' @param R a vector, matrix, data frame, timeSeries or zoo object of asset -#' returns -#' @param p confidence level for calculation, default p=.95 -#' @param method one of "modified","gaussian","historical", "kernel", see -#' Details. -#' @param clean method for data cleaning through \code{\link{Return.clean}}. -#' Current options are "none", "boudt", or "geltner". -#' @param portfolio_method one of "single","component","marginal" defining -#' whether to do univariate, component, or marginal calc, see Details. -#' @param weights portfolio weighting vector, default NULL, see Details -#' @param mu If univariate, mu is the mean of the series. Otherwise mu is the -#' vector of means of the return series , default NULL, , see Details -#' @param sigma If univariate, sigma is the variance of the series. Otherwise -#' sigma is the covariance matrix of the return series , default NULL, see -#' Details -#' @param m3 If univariate, m3 is the skewness of the series. Otherwise m3 is -#' the coskewness matrix of the returns series, default NULL, see Details -#' @param m4 If univariate, m4 is the excess kurtosis of the series. Otherwise -#' m4 is the cokurtosis matrix of the return series, default NULL, see Details -#' @param invert TRUE/FALSE whether to invert the VaR measure. see Details. -#' @param operational TRUE/FALSE, default TRUE, see Details. -#' @param \dots any other passthru parameters -#' @note The option to \code{invert} the ES measure should appease both -#' academics and practitioners. The mathematical definition of ES as the -#' negative value of extreme losses will (usually) produce a positive number. -#' Practitioners will argue that ES denotes a loss, and should be internally -#' consistent with the quantile (a negative number). For tables and charts, -#' different preferences may apply for clarity and compactness. As such, we -#' provide the option, and set the default to TRUE to keep the return -#' consistent with prior versions of PerformanceAnalytics, but make no value -#' judgement on which approach is preferable. -#' @section Background: This function provides several estimation methods for -#' the Expected Shortfall (ES) (also called Expected Tail Loss (ETL) -#' orConditional Value at Risk (CVaR)) of a return series and the Component ES -#' (ETL/CVaR) of a portfolio. -#' -#' At a preset probability level denoted \eqn{c}, which typically is between 1 -#' and 5 per cent, the ES of a return series is the negative value of the -#' expected value of the return when the return is less than its -#' \eqn{c}-quantile. Unlike value-at-risk, conditional value-at-risk has all -#' the properties a risk measure should have to be coherent and is a convex -#' function of the portfolio weights (Pflug, 2000). With a sufficiently large -#' data set, you may choose to estimate ES with the sample average of all -#' returns that are below the \eqn{c} empirical quantile. More efficient -#' estimates of VaR are obtained if a (correct) assumption is made on the -#' return distribution, such as the normal distribution. If your return series -#' is skewed and/or has excess kurtosis, Cornish-Fisher estimates of ES can be -#' more appropriate. For the ES of a portfolio, it is also of interest to -#' decompose total portfolio ES into the risk contributions of each of the -#' portfolio components. For the above mentioned ES estimators, such a -#' decomposition is possible in a financially meaningful way. -#' @author Brian G. Peterson and Kris Boudt -#' @seealso \code{\link{VaR}} \cr \code{\link{SharpeRatio.modified}} \cr -#' \code{\link{chart.VaRSensitivity}} \cr \code{\link{Return.clean}} -#' @references Boudt, Kris, Peterson, Brian, and Christophe Croux. 2008. -#' Estimation and decomposition of downside risk for portfolios with non-normal -#' returns. 2008. The Journal of Risk, vol. 11, 79-103. -#' -#' Cont, Rama, Deguest, Romain and Giacomo Scandolo. Robustness and sensitivity -#' analysis of risk measurement procedures. Financial Engineering Report No. -#' 2007-06, Columbia University Center for Financial Engineering. -#' -#' Laurent Favre and Jose-Antonio Galeano. Mean-Modified Value-at-Risk -#' Optimization with Hedge Funds. Journal of Alternative Investment, Fall 2002, -#' v 5. -#' -#' Martellini, Lionel, and Volker Ziemann. Improved Forecasts of Higher-Order -#' Comoments and Implications for Portfolio Selection. 2007. EDHEC Risk and -#' Asset Management Research Centre working paper. -#' -#' Pflug, G. Ch. Some remarks on the value-at-risk and the conditional -#' value-at-risk. In S. Uryasev, ed., Probabilistic Constrained Optimization: -#' Methodology and Applications, Dordrecht: Kluwer, 2000, 272-281. -#' -#' Scaillet, Olivier. Nonparametric estimation and sensitivity analysis of -#' expected shortfall. Mathematical Finance, 2002, vol. 14, 74-86. -#' @keywords ts multivariate distribution models -#' @examples -#' -#' data(edhec) -#' -#' # first do normal ES calc -#' ES(edhec, p=.95, method="historical") -#' -#' # now use Gaussian -#' ES(edhec, p=.95, method="gaussian") -#' -#' # now use modified Cornish Fisher calc to take non-normal distribution into account -#' ES(edhec, p=.95, method="modified") -#' -#' # now use p=.99 -#' ES(edhec, p=.99) -#' # or the equivalent alpha=.01 -#' ES(edhec, p=.01) -#' -#' # now with outliers squished -#' ES(edhec, clean="boudt") -#' -#' # add Component ES for the equal weighted portfolio -#' ES(edhec, clean="boudt", portfolio_method="component") -#' - ES = mu - sigma*dnorm(qnorm(tail.prob))/tail.prob - return(-ES) -} - -normalPortfolioES <- function(mu, Sigma, w, tail.prob = 0.01) { -## compute normal portfolio ES given portfolio weights, mean vector and -## covariance matrix -## inputs: -## mu n x 1 vector of expected returns -## Sigma n x n return covariance matrix -## w n x 1 vector of portfolio weights -## tail.prob scalar tail probability -## output: -## pES scalar left tail average return of normal portfolio distn returned -## as a positive number. - mu = as.matrix(mu) - Sigma = as.matrix(Sigma) - w = as.matrix(w) - if ( nrow(mu) != nrow(Sigma) ) - stop("mu and Sigma must have same number of rows") - if ( nrow(mu) != nrow(w) ) - stop("mu and w must have same number of elements") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - pES = crossprod(w, mu) + sqrt( t(w) %*% Sigma %*% w )*dnorm(qnorm(tail.prob))/tail.prob - return(as.numeric(pES)) -} - -normalIncrementalES <- function(mu, Sigma, w, tail.prob = 0.01) { -## compute normal incremental ES given portfolio weights, mean vector and -## covariance matrix -## Incremental ES is defined as the change in portfolio ES that occurs -## when an asset is removed from the portfolio -## inputs: -## mu n x 1 vector of expected returns -## Sigma n x n return covariance matrix -## w n x 1 vector of portfolio weights -## tail.prob scalar tail probability -## output: -## iES n x 1 vector of incremental ES values -## References: -## Jorian, P. (2007). Value at Risk, pg. 168. - mu = as.matrix(mu) - Sigma = as.matrix(Sigma) - w = as.matrix(w) - if ( nrow(mu) != nrow(Sigma) ) - stop("mu and Sigma must have same number of rows") - if ( nrow(mu) != nrow(w) ) - stop("mu and w must have same number of elements") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - - n.w = nrow(mu) - ## portfolio ES with all assets - pES = normalPortfolioES(mu, Sigma, w, tail.prob) - temp.w = w - iES = matrix(0, n.w, 1) - for (i in 1:n.w) { - ## set weight for asset i to zero and renormalize - temp.w[i,1] = 0 - temp.w = temp.w/sum(temp.w) - pES.new = normalPortfolioES(mu, Sigma, temp.w, tail.prob) - iES[i,1] = pES.new - pES - ## reset weight - temp.w = w - } - return(iES) -} - - -## -## 2. ES functions based on simulated (bootstrapped) data -## - -bootstrapES <- function(bootData, tail.prob = 0.01, - method=c("HS", "CornishFisher")) { -## Compute ES given bootstrap data. ES is computed as the sample mean beyond -## VaR where VaR is computed either as the sample quantile or the quantile using -## the Cornish-Fisher expansion -## inputs: -## bootData B x n matrix of B bootstrap returns on n assets in portfolio -## tail.prob scalar tail probability -## method character, method for computing VaR. Valid choices are "HS" for -## historical simulation (empirical quantile); "CornishFisher" for -## modified VaR based on Cornish-Fisher quantile estimate. Cornish-Fisher -## computation is done with the VaR.CornishFisher in the PerformanceAnalytics -## package -## output: -## ES n x 1 matrix of ES values for each asset -## References: - require(ff,quietly=TRUE) - method = method[1] - if (!is.ff(bootData)) - bootData = as.matrix(bootData) - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - n.assets = ncol(bootData) - ES = matrix(0, n.assets, 1) - rownames(ES) = colnames(bootData) - colnames(ES) = "ES" - ## loop over all assets and compute ES - for (i in 1:n.assets) { - if (method == "HS") { - ## use empirical quantile - VaR = quantile(bootData[,i], probs=tail.prob) - } else { - ## use Cornish-Fisher quantile - VaR = -VaR.CornishFisher(bootData[,i], p=(1-tail.prob)) - } - idx = which(bootData[,i] <= VaR) - ES[i,1] = mean(bootData[idx, i]) - } -return(-ES) -} - -bootstrapPortfolioES <- function(bootData, w, tail.prob = 0.01, - method=c("HS", "CornishFisher")) { -## Compute portfolio ES given bootstrap data and portfolio weights. VaR is computed -## either as the sample quantile or as an estimated quantile using the -## Cornish-Fisher expansion -## inputs: -## bootData B x n matrix of bootstrap returns on n assets in portfolio -## w n x 1 vector of portfolio weights -## tail.prob scalar tail probability -## method character, method for computing VaR. Valid choices are "HS" for -## historical simulation (empirical quantile); "CornishFisher" for -## modified VaR based on Cornish-Fisher quantile estimate. Cornish-Fisher -## computation is done with the VaR.CornishFisher in the PerformanceAnalytics -## package -## output: -## pES scalar, portfolio ES value -## References: -## Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and -## Value-at-Risk: Their Estimation Error, Decomposition, and Optimization -## Bank of Japan. - - require(ff, quietly=TRUE) - method = method[1] - if (!is.ff(bootData)) - bootData = as.matrix(bootData) - w = as.matrix(w) - if ( ncol(bootData) != nrow(w) ) - stop("Columns of bootData and rows of w do not match") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - if (is.ff(bootData)) { - ## use on disk ff objects - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - r.p = ffrowapply( bootData[i1:i2, ]%*%w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - ## use in RAM objects - r.p = bootData %*% w - } - if (method == "HS") { - ## use empirical quantile - pVaR = quantile(r.p[], prob=tail.prob) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - } else { - ## use Cornish-Fisher expansion - pVaR = -VaR.CornishFisher(r.p[], p=(1-tail.prob)) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - } -return(pES) -} - - -bootstrapIncrementalES <- function(bootData, w, tail.prob = 0.01, - method=c("HS", "CornishFisher")) { -## Compute incremental ES given bootstrap data and portfolio weights. -## Incremental ES is defined as the change in portfolio ES that occurs -## when an asset is removed from the portfolio and allocation is spread equally -## among remaining assets. VaR used in ES computation is computed either as the -## sample quantile or as an estimated quantile using the Cornish-Fisher expansion -## inputs: -## bootData B x n matrix of B bootstrap returns on n assets in portfolio -## w n x 1 vector of portfolio weights -## tail.prob scalar tail probability -## method character, method for computing VaR. Valid choices are "HS" for -## historical simulation (empirical quantile); "CornishFisher" for -## modified VaR based on Cornish-Fisher quantile estimate. Cornish-Fisher -## computation is done with the VaR.CornishFisher in the PerformanceAnalytics -## package -## output: -## iES n x 1 matrix of incremental VaR values for each asset -## References: -## Jorian, P. (2007). Value-at-Risk, pg. 168. -## - require(PerformanceAnalytics) - require(ff) - method = method[1] - if (!is.ff(bootData)) - bootData = as.matrix(bootData) - w = as.matrix(w) - if ( ncol(bootData) != nrow(w) ) - stop("Columns of bootData and rows of w do not match") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - - if (ncol(bootData) == 1) { - ## EZ: Added 12/2/2009 - ## one asset portfolio so iES = 0 by construction - iES = 0 - } else { - - n.w = nrow(w) - ## portfolio VaR with all assets - if (is.ff(bootData)) { - ## use on disk ff object - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - r.p = ffrowapply( bootData[i1:i2, ]%*%w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - ## use in RAM object - r.p = bootData %*% w - } - if (method == "HS") { - ## use empirical quantile to compute VaR - pVaR = quantile(r.p[], prob=tail.prob) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - temp.w = w - iES = matrix(0, n.w, 1) - rownames(iES) = colnames(bootData) - colnames(iES) = "i.ES" - for (i in 1:n.w) { - ## set weight for asset i to zero and renormalize - temp.w[i,1] = 0 - temp.w = temp.w/sum(temp.w) - if (is.ff(bootData)) { - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - temp.r.p = ffrowapply( bootData[i1:i2, ]%*%temp.w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - temp.r.p = bootData %*% temp.w - } - pVaR.new = quantile(temp.r.p[], prob=tail.prob) - idx = which(temp.r.p[] <= pVaR.new) - pES.new = -mean(temp.r.p[idx]) - iES[i,1] = pES.new - pES - ## reset weight - temp.w = w - } - } else { - ## use Cornish-Fisher VaR - pVaR = -VaR.CornishFisher(r.p[], p=(1-tail.prob)) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - temp.w = w - iES = matrix(0, n.w, 1) - rownames(iES) = colnames(bootData) - colnames(iES) = "i.ES" - for (i in 1:n.w) { - ## set weight for asset i to zero and renormalize - temp.w[i,1] = 0 - temp.w = temp.w/sum(temp.w) - if (is.ff(bootData)) { - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - temp.r.p = ffrowapply( bootData[i1:i2, ]%*%temp.w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - temp.r.p = bootData %*% temp.w - } - pVaR.new = -VaR.CornishFisher(temp.r.p[], p=(1-tail.prob)) - idx = which(temp.r.p[] <= pVaR.new) - pES.new = -mean(temp.r.p[idx]) - iES[i,1] = pES.new - pES - ## reset weight - temp.w = w - } - } - } - return(iES) -} - -bootstrapMarginalES <- function(bootData, w, delta.w = 0.001, tail.prob = 0.01, - method=c("derivative", "average"), - VaR.method=c("HS", "CornishFisher")) { -## Compute marginal ES given bootstrap data and portfolio weights. -## Marginal ES is computed either as the numerical derivative of ES wrt portfolio weight or -## as the expected fund return given portfolio return is less than or equal to portfolio VaR -## VaR is compute either as the sample quantile or as an estimated quantile -## using the Cornish-Fisher expansion -## inputs: -## bootData B x n matrix of B bootstrap returns on assets in portfolio. -## w n x 1 vector of portfolio weights -## delta.w scalar, change in portfolio weight for computing numerical derivative -## tail.prob scalar tail probability -## method character, method for computing marginal ES. Valid choices are -## "derivative" for numerical computation of the derivative of portfolio -## ES wrt fund portfolio weight; "average" for approximating E[Ri | Rp<=VaR] -## VaR.method character, method for computing VaR. Valid choices are "HS" for -## historical simulation (empirical quantile); "CornishFisher" for -## modified VaR based on Cornish-Fisher quantile estimate. Cornish-Fisher -## computation is done with the VaR.CornishFisher in the PerformanceAnalytics -## package -## output: -## mES n x 1 matrix of marginal ES values for each fund -## References: -## 1. Hallerback (2003), "Decomposing Portfolio Value-at-Risk: A General Analysis", -## The Journal of Risk 5/2. -## 2. Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and -## Value-at-Risk: Their Estimation Error, Decomposition, and Optimization -## Bank of Japan. - require(PerformanceAnalytics) - require(ff) - method = method[1] - VaR.method = VaR.method[1] - if (!is.ff(bootData)) - bootData = as.matrix(bootData) - w = as.matrix(w) - if ( ncol(bootData) != nrow(w) ) - stop("Columns of bootData and rows of w do not match") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - - n.w = nrow(w) - - ## portfolio VaR and ES with all assets - if (is.ff(bootData)) { - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - r.p = ffrowapply( bootData[i1:i2, ]%*%w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - r.p = bootData %*% w - } - if (VaR.method == "HS") { - pVaR = quantile(r.p[], prob=tail.prob) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - } else { - pVaR = -VaR.CornishFisher(r.p[], p=(1-tail.prob)) - idx = which(r.p[] <= pVaR) - pES = -mean(r.p[idx]) - } - ## - ## compute marginal ES - ## - if (method=="derivative") { - ## compute marginal ES as derivative wrt portfolio weight - temp.w = w - mES = matrix(0, n.w, 1) - for (i in 1:n.w) { - ## increment weight for asset i by delta.w - temp.w[i,1] = w[i,1] + delta.w - if (is.ff(bootData)) { - dummy<-TRUE; if(!dummy){i1=1;i2=2} #fake assign to make R CMD check happy - temp.r.p = ffrowapply( bootData[i1:i2, ]%*%temp.w, X=bootData, RETURN=TRUE, RETCOL=1) - } else { - temp.r.p = bootData %*% temp.w - } - if (VaR.method == "HS") { - pVaR.new = quantile(temp.r.p[], prob=tail.prob) - idx = which(temp.r.p[] <= pVaR.new) - pES.new = -mean(temp.r.p[idx]) - } else { - pVaR.new = -VaR.CornishFisher(temp.r.p[], p=(1-tail.prob)) - idx = which(temp.r.p[] <= pVaR.new) - pES.new = -mean(temp.r.p[idx]) - } - mES[i,1] = (pES.new - pES)/delta.w - ## reset weight - temp.w = w - } - } else { - ## compute marginal ES as expected value of fund return given portfolio - ## return is less than or equal to portfolio VaR - mES = -as.matrix(colMeans(bootData[idx,,drop=FALSE])) - } -## compute correction factor so that sum of weighted marginal ES adds to portfolio VaR -cf = as.numeric( pES / sum(mES*w) ) -return(cf*mES) -} - -bootstrapComponentES <- function(bootData, w, delta.w = 0.001, tail.prob = 0.01, - method=c("derivative", "average"), - VaR.method=c("HS", "CornishFisher")) { -## Compute component ES given bootstrap data and portfolio weights. -## Marginal ES is computed either as the derivative of ES wrt portfolio weight or -## as the expected fund return given portfolio return is less than or equal to -## portfolio VaR. VaR is compute either as the sample quantile or as an estimated -## quantile using the Cornish-Fisher expansion -## inputs: -## bootData B x n matrix of bootstrap returns on assets in portfolio. -## w n x 1 vector of portfolio weights -## delta.w scalar, change in portfolio weight for computing numerical derivative -## tail.prob scalar tail probability -## method character, method for computing marginal ES. Valid choices are -## "derivative" for numerical computation of the derivative of portfolio -## ES wrt fund portfolio weight; "average" for approximating E[Ri | Rp<=VaR] -## VaR.method character, method for computing VaR. Valid choices are "HS" for -## historical simulation (empirical quantile); "CornishFisher" for -## modified VaR based on Cornish-Fisher quantile estimate. Cornish-Fisher -## computation is done with the VaR.CornishFisher in the PerformanceAnalytics -## package -## output: -## cES n x 1 matrix of component VaR values for each fund -## References: -## 1. Hallerback (2003), "Decomposing Portfolio Value-at-Risk: A General Analysis", -## The Journal of Risk 5/2. -## 2. Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and -## Value-at-Risk: Their Estimation Error, Decomposition, and Optimization -## Bank of Japan. - require(PerformanceAnalytics) - require(ff) - method = method[1] - VaR.method = VaR.method[1] - if (!is.ff(bootData)) - bootData = as.matrix(bootData) - w = as.matrix(w) - - if ( ncol(bootData) != nrow(w) ) - stop("Columns of bootData and rows of w do not match") - if ( tail.prob < 0 || tail.prob > 1) - stop("tail.prob must be between 0 and 1") - - mES = bootstrapMarginalES(bootData, w, delta.w, tail.prob, - method, VaR.method) - cES = mES * w - return(cES) -} - -bootstrapESreport <- function(bootData, w, delta.w = 0.001, tail.prob = 0.01, - method=c("derivative", "average"), - VaR.method=c("HS", "CornishFisher"), - nav, nav.p, fundName, fundStrategy) { -## compute ES report for collection of assets in a portfolio given -## simulated (bootstrapped) return data -## Report format follows that of Excel VaR report -## inputs: -## bootData B x n matrix of B bootstrap returns on assets in portfolio. -## w n x 1 vector of portfolio weights -## delta.w scalar, change in portfolio weight for computing numerical derivative. -## Default value is 0.01. -## tail.prob scalar tail probability -## method character, method for computing marginal ES. Valid choices are -## "derivative" for numerical computation of the derivative of portfolio -## ES wrt fund portfolio weight; "average" for approximating E[Ri | Rp<=VaR] -## VaR.method character, method for computing VaR. Valid choices are "HS" for [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 3523 From noreply at r-forge.r-project.org Thu Sep 4 12:12:29 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Thu, 4 Sep 2014 12:12:29 +0200 (CEST) Subject: [Returnanalytics-commits] r3524 - in pkg/PerformanceAnalytics: . man Message-ID: <20140904101229.2699918656A@r-forge.r-project.org> Author: braverock Date: 2014-09-04 12:12:27 +0200 (Thu, 04 Sep 2014) New Revision: 3524 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/man/VaR.Rd Log: - update docs Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-04 10:06:12 UTC (rev 3523) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-04 10:12:27 UTC (rev 3524) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.4.3523 +Version: 1.3.3524 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson @@ -22,17 +22,15 @@ Hmisc, MASS, quantmod, - quadprog, gamlss, robustbase, quantreg, - gplots, - ff + gplots License: GPL URL: http://r-forge.r-project.org/projects/returnanalytics/ Copyright: (c) 2004-2014 -Contributors: Kris Boudt, Diethelm Wuertz, Eric Zivot, Matthieu Lestel +Contributors: Kris Boudt, Ross Bennett, Josh Ulrich, Eric Zivot, Matthieu Lestel Thanks: A special thanks for additional contributions or patches from Stefan Albrecht, Khahn Nygyen, Jeff Ryan, - Josh Ulrich, Sankalp Upadhyay, Tobias Verbeke, + Sankalp Upadhyay, Tobias Verbeke, Diethelm Wuertz H. Felix Wittmann, Ram Ahluwalia, R. Douglas Martin Modified: pkg/PerformanceAnalytics/man/VaR.Rd =================================================================== --- pkg/PerformanceAnalytics/man/VaR.Rd 2014-09-04 10:06:12 UTC (rev 3523) +++ pkg/PerformanceAnalytics/man/VaR.Rd 2014-09-04 10:12:27 UTC (rev 3524) @@ -144,6 +144,18 @@ Rockafellar, Terry and Uryasev, Stanislav. Optimization of Conditional VaR. The Journal of Risk, 2000, vol. 2, 21-41. + +Dowd, Kevin. Measuring Market Risk, John Wiley and Sons, 2010. + +Jorian, Phillippe. Value at Risk, the new benchmark for managing financial risk. +3rd Edition, McGraw Hill, 2006. + +Hallerback, John. "Decomposing Portfolio Value-at-Risk: A General Analysis", +2003. The Journal of Risk vol 5/2. + +Yamai and Yoshiba (2002). "Comparative Analyses of Expected Shortfall and + Value-at-Risk: Their Estimation Error, Decomposition, and Optimization", + Bank of Japan. } \seealso{ \code{\link{SharpeRatio.modified}} \cr From noreply at r-forge.r-project.org Sat Sep 6 00:17:42 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sat, 6 Sep 2014 00:17:42 +0200 (CEST) Subject: [Returnanalytics-commits] r3525 - pkg/PerformanceAnalytics/R Message-ID: <20140905221742.C257C186513@r-forge.r-project.org> Author: bodanker Date: 2014-09-06 00:17:42 +0200 (Sat, 06 Sep 2014) New Revision: 3525 Modified: pkg/PerformanceAnalytics/R/VaR.R Log: - Fix error in reasonableness check when tmp is not finite Modified: pkg/PerformanceAnalytics/R/VaR.R =================================================================== --- pkg/PerformanceAnalytics/R/VaR.R 2014-09-04 10:12:27 UTC (rev 3524) +++ pkg/PerformanceAnalytics/R/VaR.R 2014-09-05 22:17:42 UTC (rev 3525) @@ -217,6 +217,8 @@ columns<-ncol(rVaR) for(column in 1:columns) { tmp=rVaR[,column] + if (!is.finite(tmp)) # skip reasonableness check if tmp is NA, NaN, +/-Inf, etc + next() if (eval(tmp < 0)) { #eval added previously to get around Sweave bitching message(c("VaR calculation produces unreliable result (inverse risk) for column: ",column," : ",rVaR[,column])) # set VaR to NA, since inverse risk is unreasonable From noreply at r-forge.r-project.org Sun Sep 7 21:30:25 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 7 Sep 2014 21:30:25 +0200 (CEST) Subject: [Returnanalytics-commits] r3526 - in pkg/PerformanceAnalytics: . R Message-ID: <20140907193025.C671B18751C@r-forge.r-project.org> Author: braverock Date: 2014-09-07 21:30:25 +0200 (Sun, 07 Sep 2014) New Revision: 3526 Modified: pkg/PerformanceAnalytics/ChangeLog pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/R/Return.clean.R pkg/PerformanceAnalytics/R/chart.Histogram.R pkg/PerformanceAnalytics/R/chart.QQPlot.R pkg/PerformanceAnalytics/R/chart.RollingQuantileRegression.R Log: - updates to pass R CMD check on r-devel Modified: pkg/PerformanceAnalytics/ChangeLog =================================================================== --- pkg/PerformanceAnalytics/ChangeLog 2014-09-05 22:17:42 UTC (rev 3525) +++ pkg/PerformanceAnalytics/ChangeLog 2014-09-07 19:30:25 UTC (rev 3526) @@ -1,5 +1,3316 @@ +2014-09-05 bodanker + + * R/VaR.R: - Fix error in reasonableness check when tmp is not + finite + +2014-09-04 braverock + + * DESCRIPTION, man/VaR.Rd: - update docs + * DESCRIPTION, NAMESPACE, NEWS, R/VaR.R, R/decomposeMVaR.R[DEL], + R/expectedShortFallFunctions.r[DEL], R/rCornishFisher.r[DEL], + R/valueAtRiskFunctions.r[DEL], man/ActivePremium.Rd, + man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd, + man/AverageDrawdown.Rd, man/BernardoLedoitRatio.Rd, + man/BetaCoMoments.Rd, man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, + man/CAPM.alpha.Rd, man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, + man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, man/CDD.Rd, + man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd, + man/DownsideDeviation.Rd, man/DownsideFrequency.Rd, + man/DrawdownDeviation.Rd, man/DrawdownPeak.Rd, man/ES.Rd, + man/FamaBeta.Rd, man/Frequency.Rd, man/HurstIndex.Rd, + man/InformationRatio.Rd, man/Kappa.Rd, man/KellyRatio.Rd, + man/M2Sortino.Rd, man/MSquared.Rd, man/MSquaredExcess.Rd, + man/MarketTiming.Rd, man/MartinRatio.Rd, + man/MeanAbsoluteDeviation.Rd, man/Modigliani.Rd, + man/NetSelectivity.Rd, man/Omega.Rd, man/OmegaExcessReturn.Rd, + man/OmegaSharpeRatio.Rd, man/PainIndex.Rd, man/PainRatio.Rd, + man/ProspectRatio.Rd, man/Return.Geltner.Rd, + man/Return.annualized.Rd, man/Return.annualized.excess.Rd, + man/Return.calculate.Rd, man/Return.clean.Rd, + man/Return.cumulative.Rd, man/Return.excess.Rd, + man/Return.portfolio.Rd, man/Return.read.Rd, + man/Return.relative.Rd, man/Selectivity.Rd, man/SharpeRatio.Rd, + man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd, + man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd, + man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd, + man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, + man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd, + man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd, + man/VolatilitySkewness.Rd, man/apply.fromstart.Rd, + man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd, + man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, + man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd, + man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, + man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd, + man/chart.QQPlot.Rd, man/chart.Regression.Rd, + man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, + man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, + man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, + man/chart.Scatter.Rd, man/chart.SnailTrail.Rd, + man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd, + man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, + man/charts.RollingPerformance.Rd, man/checkData.Rd, + man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd, + man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd, + man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd, + man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, + man/table.Autocorrelation.Rd, man/table.CAPM.Rd, + man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd, + man/table.Correlation.Rd, man/table.Distributions.Rd, + man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd, + man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd, + man/table.HigherMoments.Rd, man/table.InformationRatio.Rd, + man/table.MonthlyReturns.Rd, man/table.ProbOutPerformance.Rd, + man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd, + man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd, + sandbox/decomposeMVaR.R[CPY], + sandbox/expectedShortFallFunctions.r[CPY], + sandbox/rCornishFisher.r[CPY], + sandbox/valueAtRiskFunctions.r[CPY], + tests/Examples/PerformanceAnalytics-Ex.Rout.save: - move + bootstrap files to sandbox, will clean up for next release + - update docs to latest roxygen2 + - update NEWS + +2014-09-02 braverock + + * DESCRIPTION, NAMESPACE, R/CoMoments.R, R/ES.R, + R/MultivariateMoments.R, R/table.ProbOutperformance.R, R/zzz.R, + man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd, + man/AppraisalRatio.Rd, man/AverageDrawdown.Rd, + man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd, + man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, + man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd, + man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd, + man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd, + man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd, + man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd, + man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd, + man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd, + man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd, + man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd, + man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd, + man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd, + man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd, + man/Return.Geltner.Rd, man/Return.annualized.Rd, + man/Return.annualized.excess.Rd, man/Return.calculate.Rd, + man/Return.clean.Rd, man/Return.cumulative.Rd, + man/Return.excess.Rd, man/Return.read.Rd, man/Return.relative.Rd, + man/Selectivity.Rd, man/SharpeRatio.Rd, + man/SharpeRatio.annualized.Rd, man/SkewnessKurtosisRatio.Rd, + man/SmoothingIndex.Rd, man/SortinoRatio.Rd, man/SpecificRisk.Rd, + man/StdDev.Rd, man/StdDev.annualized.Rd, man/SystematicRisk.Rd, + man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, + man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd, + man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd, + man/VolatilitySkewness.Rd, man/apply.fromstart.Rd, + man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd, + man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, + man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd, + man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, + man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd, + man/chart.QQPlot.Rd, man/chart.Regression.Rd, + man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, + man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, + man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, + man/chart.Scatter.Rd, man/chart.SnailTrail.Rd, + man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd, + man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, + man/charts.RollingPerformance.Rd, man/checkData.Rd, + man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd, + man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd, + man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd, + man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, + man/table.Autocorrelation.Rd, man/table.CAPM.Rd, + man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd, + man/table.Correlation.Rd, man/table.Distributions.Rd, + man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd, + man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd, + man/table.HigherMoments.Rd, man/table.InformationRatio.Rd, + man/table.MonthlyReturns.Rd, + man/table.ProbOutPerformance.Rd[ADD], + man/table.RollingPeriods.Rd, man/table.SpecificRisk.Rd, + man/table.Variability.Rd, man/textplot.Rd, man/zerofill.Rd, + tests/Examples/PerformanceAnalytics-Ex.Rout.save: - clean check + in R-release ahead of new CRAN version + +2014-09-02 rossbennett34 + + * R/zerofill.R, man/zerofill.Rd: Modifying zerofill to avoid loops + and use method="xts" in checkData. Minor edits to zerofill man + file. + +2014-08-30 efmrforge + + * man/table.ProbOutPerformance.Rd[DEL]: Removed failing .Rd file + * R/table.ProbOutperformance.R: Fixed formatting, so this would + build + * R/table.ProbOutperformance.R: Added title and one line + description so it would build + +2014-08-27 kylebalkissoon + + * man/table.ProbOutPerformance.Rd[ADD]: Documentation for + table.ProbOutPerformance.Rd + * R/table.ProbOutperformance.R: Expanded documentation and added + examples + +2014-08-26 rossbennett34 + + * R/Return.portfolio.R, man/Return.portfolio.Rd: fixing bad link + error + +2014-08-24 rossbennett34 + + * R/Return.portfolio.R, man/Return.portfolio.Rd: zerofilling NA's + and fixing examples in Return.portfolio + * vignettes/portfolio_returns.Rnw, + vignettes/portfolio_returns.pdf[ADD]: revisions to portfolio + returns vignette + * man/Return.portfolio.Rd: updated Rd file for Return.portfolio + +2014-08-19 kylebalkissoon + + * R/table.ProbOutperformance.R: Line endings switched to unix + * R/table.ProbOutperformance.R[ADD]: Table to calculate # of + periods fund is outperforming benchmark on a cumulative basis. + User can supply a vector of periods and this will calculate it. + This also returns the proportion of periods the fund outperforms + which is commonly known as the probability of outperformance. + +2014-08-13 kylebalkissoon + + * R/Return.portfolio.R: + +2014-07-27 rossbennett34 + + * src/Makevars.win[ADD]: Adding Makevars.win file to link against + BLAS and LAPACK libraries + +2014-07-09 kecoli + + * sandbox/PAenhance/NAMESPACE, + sandbox/PAenhance/R/table.Performance.R, + sandbox/PAenhance/man/SharpeRatio.Rd, + sandbox/PAenhance/man/UncertaintyMeasure.Rd, + sandbox/PAenhance/man/chart.Boxplot.Rd, + sandbox/PAenhance/man/chart.QQPlot.Rd, + sandbox/PAenhance/man/table.Performance.Rd, + sandbox/PAenhance/man/table.Performance.pool.Rd, + sandbox/PAenhance/man/table.Performance.pool.cran.Rd: add + optional argument exportXLS to table.Performance(), that one can + export the Performance table to an Excel file. + +2014-07-03 rossbennett34 + + * NAMESPACE, R/MultivariateMoments.R, sandbox/testMM.R[ADD], + src[ADD], src/momentF.f90[ADD]: Adding compiled M3 and M4 + functions + +2014-06-22 kecoli + + * sandbox/PAenhance/NAMESPACE, sandbox/PAenhance/R/SharpeRatio.R, + sandbox/PAenhance/R/Uncertainty.R[ADD], + sandbox/PAenhance/man/SharpeRatio.Rd, + sandbox/PAenhance/man/UncertaintyMeasure.Rd[ADD]: change of man + page, + add uncertainty measure of Variance estimator, + add bootstrap sd for SharpRatio, + modify Sharpratio to adapt to table.Performance + * sandbox/PAenhance[ADD], sandbox/PAenhance/DESCRIPTION[ADD], + sandbox/PAenhance/LICENSE[ADD], sandbox/PAenhance/NAMESPACE[ADD], + sandbox/PAenhance/Plan for next release[ADD], + sandbox/PAenhance/R[ADD], + sandbox/PAenhance/R/PAenhance-internal.R[ADD], + sandbox/PAenhance/R/SharpeRatio.R[ADD], + sandbox/PAenhance/R/cbind.na.R[ADD], + sandbox/PAenhance/R/chart.Boxplot.R[ADD], + sandbox/PAenhance/R/chart.QQplot.R[ADD], + sandbox/PAenhance/R/inslib.R[ADD], + sandbox/PAenhance/R/table.Performance.R[ADD], + sandbox/PAenhance/R/table.Performance.pool.R[ADD], + sandbox/PAenhance/R/table.Performance.pool.cran.R[ADD], + sandbox/PAenhance/README.md[ADD], sandbox/PAenhance/man[ADD], + sandbox/PAenhance/man/SharpeRatio.Rd[ADD], + sandbox/PAenhance/man/chart.Boxplot.Rd[ADD], + sandbox/PAenhance/man/chart.QQPlot.Rd[ADD], + sandbox/PAenhance/man/table.Performance.Rd[ADD], + sandbox/PAenhance/man/table.Performance.pool.Rd[ADD], + sandbox/PAenhance/man/table.Performance.pool.cran.Rd[ADD], + sandbox/PAenhance/vignettes[ADD], + sandbox/PAenhance/vignettes/PA-KirkLi.Rnw[ADD], + sandbox/PAenhance/vignettes/PA-KirkLi.pdf[ADD]: merging Kirk's + github work to R-forge + + including Chart.Boxplot, Chart.QQplot, table.performance.R + * sandbox/PAshiny[ADD], sandbox/PAshiny/chooser-binding.js[ADD], + sandbox/PAshiny/chooser.R[ADD], + sandbox/PAshiny/crsp.short.6.Rdata[ADD], + sandbox/PAshiny/crsp.short.6.csv[ADD], + sandbox/PAshiny/crsp.short.Rdata[ADD], + sandbox/PAshiny/run.R[ADD], sandbox/PAshiny/server.R[ADD], + sandbox/PAshiny/server_bk.R[ADD], + sandbox/PAshiny/table.Performance.R[ADD], + sandbox/PAshiny/textArea.js[ADD], sandbox/PAshiny/ui.R[ADD], + sandbox/PAshiny/www[ADD], + sandbox/PAshiny/www/chooser-binding.js[ADD], + sandbox/PAshiny/www/index_1.html[ADD], + sandbox/PAshiny/www/stylesheets[ADD], + sandbox/PAshiny/www/stylesheets/jquery-ui.css[ADD], + sandbox/PAshiny/www/stylesheets/style.css[ADD], + sandbox/PAshiny/www/textarea.js[ADD]: merging Kirk's github work + to R-forge + + Shiny interface for table.Performance.R in PAenhance + * sandbox/PAenhance[DEL]: merging Kirk's github work to R-forge + +2014-06-22 rossbennett34 + + * vignettes/portfolio_returns.Rnw[ADD]: Adding first draft of + portfolio returns vignette + +2014-06-18 rossbennett34 + + * R/Return.portfolio.R: Modifying Return.rebalancing to support + wealth index and contribution args as well as adding separate + functions for arithmetic and geometric returns + +2014-06-11 peter_carl + + * R/Return.excess.R: - fixes error when Rf unlabeled - thanks Dave + Demers + +2014-06-09 braverock + + * DESCRIPTION: - bump version because of new Return.portfolio and + Return.rebalancing + * R/Return.portfolio.R: - add back copyright/license block, lost in + the prototyping + * R/Return.portfolio.R: - fix so the package will build, still need + answers to missing args geometric, wealth_index, and contribution + +2014-06-07 peter_carl + + * R/Return.portfolio.R: - Refactored and replaced the function, + thanks Ross + * sandbox/refactored.Portfolio.rebalancing.R: - added to examples + +2014-06-07 rossbennett34 + + * sandbox/refactored.Portfolio.rebalancing.R, + sandbox/test_Return.rebalancing.R[ADD]: adding refactored + return.rebalancing function with roxygen documentation and a test + script + +2014-04-11 peter_carl + + * sandbox/refactored.Portfolio.rebalancing.R: - works + +2014-04-09 peter_carl + + * sandbox/refactored.Portfolio.rebalancing.R[ADD]: - incomplete + first draft of refactored function + +2014-02-27 braverock + + * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - update + example output to account for Return.portfolio reversion + +2014-02-26 braverock + + * man/chart.Events.Rd: - update roxygen doc for chart.Events + * R/Return.portfolio.R: - revert calculation for geometric=TRUE in + Return.portfolio to r2170, we'll improve this with a broader + refactoring + +2014-02-26 peter_carl + + * R/chart.Boxplot.R: - really a reversion back to rev 2163 with + hardcoded horizontal arg + - anticipating future improvements that will make this work + better + +2014-02-25 peter_carl + + * R/Return.calculate.R, R/chart.RollingPerformance.R, + R/chart.TimeSeries.R, R/decomposeMVaR.R: - removed ':::' to + internal functions and exported xts functions + * R/chart.Events.R: - fixed example to pass check + +2014-02-25 kecoli + + * sandbox/PAenhance/R/lpm.Rd[DEL], + sandbox/PAenhance/man/lpm.R[DEL]: delete misplaced file in + sandbox/PAenhance + * sandbox/PAenhance[ADD], sandbox/PAenhance/R[ADD], + sandbox/PAenhance/R/chart.Boxplot.R[ADD], + sandbox/PAenhance/R/chart.QQplot.R[ADD], + sandbox/PAenhance/R/lpm.Rd[ADD], sandbox/PAenhance/inst[ADD], + sandbox/PAenhance/inst/PA-KirkLi.Rnw[ADD], + sandbox/PAenhance/inst/PA-KirkLi.pdf[ADD], + sandbox/PAenhance/man[ADD], + sandbox/PAenhance/man/chart.Boxplot.Rd[ADD], + sandbox/PAenhance/man/chart.QQPlot.Rd[ADD], + sandbox/PAenhance/man/lpm.R[ADD]: commit to sandbox/PAenhance, + major changes on chart.Boxplot.R and chart.QQplot.R per comments + made by Douglass Martin. Plan to merge to trunk version soon. + For details see sandbox/PAenhance/inst/PA-KirkLi.pdf + +2014-02-23 braverock + + * tests/Examples/PerformanceAnalytics-Ex.Rout.save: - commit + updated example output + * .Rbuildignore, DESCRIPTION, NAMESPACE, R/CAPM.dynamic.R, + R/MSquaredExcess.R, R/MarketTiming.R, R/StdDev.annualized.R, + R/TreynorRatio.R, R/chart.TimeSeries.R, + R/charts.RollingPerformance.R, R/lpm.R, + R/table.AnnualizedReturns.R, R/table.Arbitrary.R, + R/table.Autocorrelation.R, R/table.CAPM.R, + R/table.CalendarReturns.R, R/table.CaptureRatios.R, + R/table.Correlation.R, R/table.DownsideRisk.R, + R/table.Drawdowns.R, R/table.HigherMoments.R, + R/table.MonthlyReturns.R, R/table.RollingPeriods.R, R/textplot.R, + R/zzz.R, man/CAPM.dynamic.Rd, man/MSquaredExcess.Rd, + man/MarketTiming.Rd, man/TreynorRatio.Rd, + man/chart.TimeSeries.Rd, man/charts.RollingPerformance.Rd, + man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, + man/table.Autocorrelation.Rd, man/table.CAPM.Rd, + man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd, + man/table.Correlation.Rd, man/table.DownsideRisk.Rd, + man/table.Drawdowns.Rd, man/table.HigherMoments.Rd, + man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd, + man/textplot.Rd, vignettes/PA-Bacon.Rnw, vignettes/PA-charts.Rnw, + vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw, + vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw, + vignettes/textplotPresentation-CRUG-2011.Rnw: - more fixes for R + CMD check prior to CRAN release + * DESCRIPTION, NAMESPACE, R/DownsideDeviation.R, + R/Return.calculate.R, R/StdDev.annualized.R, R/chart.Events.R, + R/table.CaptureRatios.R, R/table.UpDownRatios.R, + man/ActivePremium.Rd, man/AdjustedSharpeRatio.Rd, + man/AppraisalRatio.Rd, man/AverageDrawdown.Rd, + man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd, + man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, + man/CAPM.beta.Rd, man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd, + man/CAPM.jensenAlpha.Rd, man/CDD.Rd, man/CalmarRatio.Rd, + man/CoMoments.Rd, man/DRatio.Rd, man/DownsideDeviation.Rd, + man/DownsideFrequency.Rd, man/DrawdownDeviation.Rd, + man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd, + man/Frequency.Rd, man/HurstIndex.Rd, man/InformationRatio.Rd, + man/Kappa.Rd, man/KellyRatio.Rd, man/M2Sortino.Rd, + man/MSquared.Rd, man/MSquaredExcess.Rd, man/MarketTiming.Rd, + man/MartinRatio.Rd, man/MeanAbsoluteDeviation.Rd, + man/Modigliani.Rd, man/NetSelectivity.Rd, man/Omega.Rd, + man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd, + man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd, + man/Return.Geltner.Rd, man/Return.annualized.Rd, + man/Return.annualized.excess.Rd, man/Return.calculate.Rd, + man/Return.clean.Rd, man/Return.cumulative.Rd, + man/Return.excess.Rd, man/Return.portfolio.Rd, + man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd, + man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, + man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd, + man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd, + man/StdDev.annualized.Rd, man/SystematicRisk.Rd, + man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, + man/UlcerIndex.Rd, man/UpDownRatios.Rd, man/UpsideFrequency.Rd, + man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd, + man/VolatilitySkewness.Rd, man/apply.fromstart.Rd, + man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd, + man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, + man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd, + man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, + man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd, + man/chart.QQPlot.Rd, man/chart.Regression.Rd, + man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, + man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, + man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, + man/chart.Scatter.Rd, man/chart.SnailTrail.Rd, + man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd, + man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, + man/charts.RollingPerformance.Rd, man/checkData.Rd, + man/clean.boudt.Rd, man/findDrawdowns.Rd, man/kurtosis.Rd, + man/legend.Rd, man/lpm.Rd, man/maxDrawdown.Rd, + man/mean.geometric.Rd, man/skewness.Rd, man/sortDrawdowns.Rd, + man/table.AnnualizedReturns.Rd, man/table.Arbitrary.Rd, + man/table.Autocorrelation.Rd, man/table.CAPM.Rd, + man/table.CalendarReturns.Rd, man/table.CaptureRatios.Rd, + man/table.Correlation.Rd, man/table.Distributions.Rd, + man/table.DownsideRisk.Rd, man/table.DownsideRiskRatio.Rd, + man/table.Drawdowns.Rd, man/table.DrawdownsRatio.Rd, + man/table.HigherMoments.Rd, man/table.InformationRatio.Rd, + man/table.MonthlyReturns.Rd, man/table.RollingPeriods.Rd, + man/table.SpecificRisk.Rd, man/table.Variability.Rd, + man/textplot.Rd, man/zerofill.Rd: - updates ahead of CRAN release + +2014-02-21 peter_carl + + * R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R: - added + alias for SFM nomenclature + * R/CAPM.beta.R: - added alias for SFM.beta + * R/CAPM.alpha.R: - added alias for SFM.alpha + * ., R/legend.R, sandbox/Shubhankit: - added alias tags for tol + colors + +2014-02-20 braverock + + * NAMESPACE, R/ActivePremium.R, R/HurstIndex.R, + R/Return.index.R[DEL], R/Return.wealthindex.R[DEL], + R/mean.utils.R, R/zerofill.R, man/HurstIndex.Rd[ADD], + sandbox/Return.wealthindex.R[CPY]: - export more functions prior + to CRAN release + - move Return.index/wealthindex to sandbox + * DESCRIPTION, NAMESPACE, R/CAPM.alpha.R, R/CAPM.beta.R, + R/CAPM.dynamic.R, R/CAPM.epsilon.R, R/CAPM.jensenAlpha.R, + R/CAPM.utils.R, R/checkData.R, R/lpm.R, inst[DEL], + man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, man/CAPM.beta.Rd, + man/CAPM.dynamic.Rd, man/CAPM.epsilon.Rd, + man/CAPM.jensenAlpha.Rd, man/checkData.Rd, man/lpm.Rd: - add SFM + aliases for all CAPM functions, and export them + - minor doc edits + - bump version as we prepare for new CRAN release + * inst/doc[DEL], vignettes[CPY]: - move inst/doc to vignettes + +2014-02-14 peter_carl + + * R/legend.R: - added exports for tol color schemes + +2014-02-13 braverock + + * NAMESPACE, R/ES.R, R/table.CAPM.R: - more roxygen NAMESPACE + changes + * .Rbuildignore, NAMESPACE, R/legend.R, R/textplot.R, R/zzz.R, + codeblock.txt[ADD], generatechangelog.sh, + man/DownsideDeviation.Rd, man/MSquared.Rd, man/lpm.Rd[ADD]: - + update roxygen docs + - update exports to create roxygen-generated NAMESPACE file + +2014-02-13 peter_carl + + * DESCRIPTION: - switched dependency from 'sn' to 'gamlss' + * R/chart.Histogram.R: - replaced 'sn' dependency with 'gamlss' for + skew-t fit + +2014-01-28 peter_carl + + * R/Omega.R: - fixed Hmisc reference for CRAN note + +2014-01-18 braverock + + * DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R, + R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R, + R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R, + R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R, + R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R, + R/DownsideFrequency.R, R/DrawdownPeak.R, R/Drawdowns.R, R/ES.R, + R/FamaBeta.R, R/Frequency.R, R/HerfindahlIndex.R, R/HurstIndex.R, + R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R, R/M2Sortino.R, + R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R, + R/MeanAbsoluteDeviation.R, R/MultivariateMoments.R, + R/NetSelectivity.R, R/Omega.R, R/OmegaExcessReturn.R, + R/OmegaSharpeRatio.R, R/PainIndex.R, R/PainRatio.R, + R/PortfolioRisk.R, R/ProspectRatio.R, R/Return.Geltner.R, + R/Return.annualized.R, R/Return.calculate.R, R/Return.clean.R, + R/Return.cumulative.R, R/Return.excess.R, R/Return.index.R, + R/Return.portfolio.R, R/Return.read.R, R/Return.relative.R, + R/Return.wealthindex.R, R/Selectivity.R, R/SemiDeviation.R, + R/SharpeRatio.R, R/SharpeRatio.annualized.R, + R/SkewnessKurtosisRatio.R, R/SmoothingIndex.R, R/SortinoRatio.R, + R/SpecificRisk.R, R/StdDev.R, R/StdDev.annualized.R, + R/SystematicRisk.R, R/TotalRisk.R, R/TrackingError.R, + R/TreynorRatio.R, R/UlcerIndex.R, R/UpDownRatios.R, + R/UpsideFrequency.R, R/UpsidePotentialRatio.R, R/UpsideRisk.R, + R/VaR.Marginal.R, R/VaR.R, R/VolatilitySkewness.R, + R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, + R/chart.ACFplus.R, R/chart.Bar.R, R/chart.BarVaR.R, + R/chart.Boxplot.R, R/chart.CaptureRatios.R, + R/chart.Correlation.R, R/chart.CumReturns.R, R/chart.Drawdown.R, + R/chart.ECDF.R, R/chart.Events.R, R/chart.Histogram.R, + R/chart.QQPlot.R, R/chart.Regression.R, + R/chart.RelativePerformance.R, R/chart.RiskReturnScatter.R, + R/chart.RollingCorrelation.R, R/chart.RollingMean.R, + R/chart.RollingPerformance.R, + R/chart.RollingQuantileRegression.R, R/chart.RollingRegression.R, + R/chart.Scatter.R, R/chart.SnailTrail.R, R/chart.StackedBar.R, + R/chart.TimeSeries.R, R/chart.VaRSensitivity.R, R/charts.Bar.R, + R/charts.BarVaR.R, R/charts.PerformanceSummary.R, + R/charts.RollingPerformance.R, R/charts.RollingRegression.R, + R/charts.TimeSeries.R, R/checkData.R, R/decomposeMVaR.R, + R/findDrawdowns.R, R/kurtosis.R, R/legend.R, R/lpm.R[ADD], + R/maxDrawdown.R, R/mean.utils.R, R/na.skip.R, R/rCornishFisher.r, + R/replaceTabs.R, R/skewness.R, R/sortDrawdowns.R, + R/table.AnnualizedReturns.R, R/table.Arbitrary.R, + R/table.Autocorrelation.R, R/table.CAPM.R, + R/table.CalendarReturns.R, R/table.CaptureRatios.R, + R/table.Correlation.R, R/table.Distributions.R, + R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R, + R/table.Drawdowns.R, R/table.DrawdownsRatio.R, + R/table.HigherMoments.R, R/table.InformationRatio.R, + R/table.MonthlyReturns.R, R/table.RollingPeriods.R, + R/table.SpecificRisk.R, R/table.UpDownRatios.R, + R/table.Variability.R, R/textplot.R, R/valueAtRiskFunctions.r, + R/zerofill.R, R/zzz.R, + sandbox/Shubhankit/noniid.sm/R/CDrawdown.R, + sandbox/Shubhankit/noniid.sm/R/GLMSmoothIndex.R, + sandbox/Shubhankit/noniid.sm/R/Return.GLM.R, + sandbox/Shubhankit/noniid.sm/R/Return.Okunev.R, + sandbox/Shubhankit/noniid.sm/R/chart.AcarSim.R, + sandbox/Shubhankit/noniid.sm/R/chart.Autocorrelation.R, + sandbox/Shubhankit/noniid.sm/R/na.skip.R, + sandbox/Shubhankit/noniid.sm/R/table.EMaxDDGBM.R, + sandbox/pulkit/R/EDDCOPS.R, sandbox/pulkit/R/Edd.R, + sandbox/pulkit/R/MinTRL.R, sandbox/pulkit/R/ProbSharpeRatio.R, + sandbox/pulkit/R/REDDCOPS.R, sandbox/pulkit/R/REM.R, + sandbox/pulkit/R/na.skip.R, sandbox/pulkit/R/redd.R: - update + copyright to 2014 + +2014-01-06 peter_carl + + * R/chart.Correlation.R: - now passing method into cor.test + +2014-01-03 matthieu_lestel + + * R/MSquared.R: correction of a bug in the computation of MSquared + +2013-11-26 peter_carl + + * NAMESPACE: - added AverageRecovery to namespace + +2013-11-26 matthieu_lestel + + * R/DownsideDeviation.R: example with MAR at 0.5% instead of 50% + * R/MSquaredExcess.R: correction of a bug when risk free rate is + not null in MSquaredExcess computation + +2013-11-14 peter_carl + + * DESCRIPTION: - bumped version to 1.1.2 + * man/CAPM.epsilon.Rd, man/CDD.Rd, man/Return.annualized.excess.Rd, + man/SkewnessKurtosisRatio.Rd, man/StdDev.annualized.Rd, + man/centeredmoments.Rd, man/chart.ACF.Rd, + man/chart.TimeSeries.Rd, man/chart.VaRSensitivity.Rd, + man/legend.Rd, man/mean.geometric.Rd: - re-roxygenized help files + * R/Return.annualized.excess.R: - fixed typo + * R/Return.annualized.excess.R: - fixed example to use managers + dataset + * NAMESPACE: - added Return.annualized.excess + * NAMESPACE, sandbox/Shubhankit/noniid.sm/man/AcarSim.Rd[CPY]: - + added Modigliani function + * NAMESPACE: - added MarketTiming function + * NAMESPACE: - added CAPM.dynamic + +2013-10-30 peter_carl + + * R/chart.TimeSeries.R: - repairs a bug in passing cex.lab and + cex.main into dots within title + +2013-10-19 peter_carl + + * R/Return.portfolio.R: - fixed a bug in the calc of first period + of Return.portfolio + +2013-10-12 shubhanm + + * sandbox/Shubhankit/Shubhankit.zip[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw, + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf, + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw, + sandbox/Shubhankit/noniid.sm_0.1.tar.gz[DEL]: R CMD Clean Build, + removing one path script which lead to previous non-build fatal + error, deletion of 21 MB file zipped file [ deemed unnecessary] + +2013-10-08 shubhanm + + * sandbox/Shubhankit/Shubhankit.zip[ADD]: Adding zipped version of + work done till present as submitted to Google Inc. Apologies for + prev message + * sandbox/Shubhankit/sandbox/vignettes/Managers.pdf[ADD]: Adding + zipped version of work done till present as submitted to Google + Inc. + +2013-10-03 peter_carl + + * R/chart.RiskReturnScatter.R: - added no.readonly=TRUE to par + * R/chart.TimeSeries.R: - added correct las handling for axis + labels + +2013-09-26 peter_carl + + * R/chart.VaRSensitivity.R: - added ylim to documentation + * R/chart.VaRSensitivity.R: - added ylim so that axis can be + adjusted + +2013-09-22 shubhanm + + * sandbox/Shubhankit/noniid.sm_0.1.tar.gz[ADD], + sandbox/Shubhankit/noniid.sm_0.1.zip[ADD]: Binary and Source + Package + * sandbox/Shubhankit/noniid.sm/R/glmi.R, + sandbox/Shubhankit/noniid.sm/R/lmi.R, + sandbox/Shubhankit/noniid.sm/man/glmi.Rd, + sandbox/Shubhankit/noniid.sm/man/lmi.Rd, + sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - + EmaxDDGBM.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - + LoSharpeRatio.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid - UnSmooth Return + Analysis.pdf[DEL], sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -ACFSTDEV.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid -Commodity Index + Fund Analysis.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -ConditionalDrawdown.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -GLMReturn.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -GLMSmoothIndex.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -NormCalmar-Sterling.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -OkunevWhite.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid + -ShaneAcarMaxLoss.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ACFSTDEV.rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ConditionalDrawdown.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-EmaxDDGBM.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMReturn.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-GLMSmoothIndex.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-LoSharpeRatio.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-Managers.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-NormCalmar-Sterling.rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OWReturn.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-OkunevWhite.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-ShaneAcarMaxLoss.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Non-iid-UnSmoothReturnAnalysis.pdf[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/NormCalmar.rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/OWReturn.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/OkunevWhite.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/ShaneAcarMaxLoss.Rnw[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/UnSmoothReturnAnalysis.Rnw[DEL]: + final touches - + * sandbox/Shubhankit/noniid.sm/vignettes/ACFSTDEV.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/Commodity.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/CommodityReport.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/ConditionalDrawdown.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/GLMReturn.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/GLMSmoothIndex.pdf[DEL], + sandbox/Shubhankit/noniid.sm/vignettes/LoSharpeRatio.Rnw[ADD], + sandbox/Shubhankit/noniid.sm/vignettes/Managers.pdf[DEL], [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 3526 From noreply at r-forge.r-project.org Mon Sep 8 22:38:57 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Mon, 8 Sep 2014 22:38:57 +0200 (CEST) Subject: [Returnanalytics-commits] r3527 - pkg/PerformanceAnalytics Message-ID: <20140908203857.DC4161874B9@r-forge.r-project.org> Author: peter_carl Date: 2014-09-08 22:38:57 +0200 (Mon, 08 Sep 2014) New Revision: 3527 Modified: pkg/PerformanceAnalytics/NEWS Log: - added comments on version number method Modified: pkg/PerformanceAnalytics/NEWS =================================================================== --- pkg/PerformanceAnalytics/NEWS 2014-09-07 19:30:25 UTC (rev 3526) +++ pkg/PerformanceAnalytics/NEWS 2014-09-08 20:38:57 UTC (rev 3527) @@ -2,13 +2,19 @@ This release mostly adds some functionality from Bacon, and makes visible some features that were previously internal to -the package. +the package. We've also completely re-written Return.portfolio. We've also moved to using roxygen2 to generate the NAMESPACE file, which required touching basically every single generated .Rd file. +We're also altering out version numbering system. We'll be using a +"major.cran-release.r-forge-rev" form to make it easier for us to track +where reported issues may have been introduced. Major releases will continue +to indicate that significant changes to the interfaces of the functions +were made. This is our 4th CRAN release after 1.0, so the minor number +moves to 4. The trailing number will reflect the revision number from +R-Forge's svn associated with the tagged CRAN (or subsequent) release. - Most of the commits leading up to release are the result of continued tightening and drift in CRAN standards, most should not have user-visible results. From noreply at r-forge.r-project.org Thu Sep 11 14:43:18 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Thu, 11 Sep 2014 14:43:18 +0200 (CEST) Subject: [Returnanalytics-commits] r3528 - in pkg/PerformanceAnalytics: . R man tests/Examples Message-ID: <20140911124318.44C9C186AB1@r-forge.r-project.org> Author: braverock Date: 2014-09-11 14:43:17 +0200 (Thu, 11 Sep 2014) New Revision: 3528 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/R/ActivePremium.R pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R pkg/PerformanceAnalytics/R/AppraisalRatio.R pkg/PerformanceAnalytics/R/BernadoLedoitratio.R pkg/PerformanceAnalytics/R/BurkeRatio.R pkg/PerformanceAnalytics/R/CAPM.alpha.R pkg/PerformanceAnalytics/R/CAPM.beta.R pkg/PerformanceAnalytics/R/CAPM.epsilon.R pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R pkg/PerformanceAnalytics/R/CAPM.utils.R pkg/PerformanceAnalytics/R/CalmarRatio.R pkg/PerformanceAnalytics/R/CoMoments.R pkg/PerformanceAnalytics/R/DRatio.R pkg/PerformanceAnalytics/R/DownsideDeviation.R pkg/PerformanceAnalytics/R/DownsideFrequency.R pkg/PerformanceAnalytics/R/DrawdownPeak.R pkg/PerformanceAnalytics/R/ES.R pkg/PerformanceAnalytics/R/FamaBeta.R pkg/PerformanceAnalytics/R/Frequency.R pkg/PerformanceAnalytics/R/InformationRatio.R pkg/PerformanceAnalytics/R/Kappa.R pkg/PerformanceAnalytics/R/KellyRatio.R pkg/PerformanceAnalytics/R/M2Sortino.R pkg/PerformanceAnalytics/R/MSquared.R pkg/PerformanceAnalytics/R/MSquaredExcess.R pkg/PerformanceAnalytics/R/MartinRatio.R pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R pkg/PerformanceAnalytics/R/NetSelectivity.R pkg/PerformanceAnalytics/R/Omega.R pkg/PerformanceAnalytics/R/OmegaExcessReturn.R pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R pkg/PerformanceAnalytics/R/PainIndex.R pkg/PerformanceAnalytics/R/PainRatio.R pkg/PerformanceAnalytics/R/ProspectRatio.R pkg/PerformanceAnalytics/R/Return.Geltner.R pkg/PerformanceAnalytics/R/Return.annualized.R pkg/PerformanceAnalytics/R/Return.annualized.excess.R pkg/PerformanceAnalytics/R/Return.calculate.R pkg/PerformanceAnalytics/R/Return.clean.R pkg/PerformanceAnalytics/R/Return.cumulative.R pkg/PerformanceAnalytics/R/Return.excess.R pkg/PerformanceAnalytics/R/Return.portfolio.R pkg/PerformanceAnalytics/R/Return.read.R pkg/PerformanceAnalytics/R/Return.relative.R pkg/PerformanceAnalytics/R/Selectivity.R pkg/PerformanceAnalytics/R/SharpeRatio.R pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R pkg/PerformanceAnalytics/R/SmoothingIndex.R pkg/PerformanceAnalytics/R/SortinoRatio.R pkg/PerformanceAnalytics/R/SpecificRisk.R pkg/PerformanceAnalytics/R/StdDev.R pkg/PerformanceAnalytics/R/StdDev.annualized.R pkg/PerformanceAnalytics/R/SystematicRisk.R pkg/PerformanceAnalytics/R/TotalRisk.R pkg/PerformanceAnalytics/R/TrackingError.R pkg/PerformanceAnalytics/R/TreynorRatio.R pkg/PerformanceAnalytics/R/UpDownRatios.R pkg/PerformanceAnalytics/R/UpsideFrequency.R pkg/PerformanceAnalytics/R/UpsidePotentialRatio.R pkg/PerformanceAnalytics/R/UpsideRisk.R pkg/PerformanceAnalytics/R/VaR.R pkg/PerformanceAnalytics/R/VolatilitySkewness.R pkg/PerformanceAnalytics/R/apply.fromstart.R pkg/PerformanceAnalytics/R/apply.rolling.R pkg/PerformanceAnalytics/R/chart.ACF.R pkg/PerformanceAnalytics/R/chart.Bar.R pkg/PerformanceAnalytics/R/chart.BarVaR.R pkg/PerformanceAnalytics/R/chart.Boxplot.R pkg/PerformanceAnalytics/R/chart.CaptureRatios.R pkg/PerformanceAnalytics/R/chart.Correlation.R pkg/PerformanceAnalytics/R/chart.CumReturns.R pkg/PerformanceAnalytics/R/chart.Drawdown.R pkg/PerformanceAnalytics/R/chart.ECDF.R pkg/PerformanceAnalytics/R/chart.Events.R pkg/PerformanceAnalytics/R/chart.Histogram.R pkg/PerformanceAnalytics/R/chart.QQPlot.R pkg/PerformanceAnalytics/R/chart.Regression.R pkg/PerformanceAnalytics/R/chart.RelativePerformance.R pkg/PerformanceAnalytics/R/chart.RiskReturnScatter.R pkg/PerformanceAnalytics/R/chart.RollingCorrelation.R pkg/PerformanceAnalytics/R/chart.RollingMean.R pkg/PerformanceAnalytics/R/chart.RollingPerformance.R pkg/PerformanceAnalytics/R/chart.RollingRegression.R pkg/PerformanceAnalytics/R/chart.Scatter.R pkg/PerformanceAnalytics/R/chart.SnailTrail.R pkg/PerformanceAnalytics/R/chart.StackedBar.R pkg/PerformanceAnalytics/R/chart.TimeSeries.R pkg/PerformanceAnalytics/R/chart.VaRSensitivity.R pkg/PerformanceAnalytics/R/charts.PerformanceSummary.R pkg/PerformanceAnalytics/R/charts.RollingPerformance.R pkg/PerformanceAnalytics/R/checkData.R pkg/PerformanceAnalytics/R/findDrawdowns.R pkg/PerformanceAnalytics/R/kurtosis.R pkg/PerformanceAnalytics/R/maxDrawdown.R pkg/PerformanceAnalytics/R/mean.utils.R pkg/PerformanceAnalytics/R/skewness.R pkg/PerformanceAnalytics/R/sortDrawdowns.R pkg/PerformanceAnalytics/R/table.AnnualizedReturns.R pkg/PerformanceAnalytics/R/table.Arbitrary.R pkg/PerformanceAnalytics/R/table.Autocorrelation.R pkg/PerformanceAnalytics/R/table.CAPM.R pkg/PerformanceAnalytics/R/table.CalendarReturns.R pkg/PerformanceAnalytics/R/table.CaptureRatios.R pkg/PerformanceAnalytics/R/table.Correlation.R pkg/PerformanceAnalytics/R/table.Distributions.R pkg/PerformanceAnalytics/R/table.DownsideRisk.R pkg/PerformanceAnalytics/R/table.DownsideRiskRatio.R pkg/PerformanceAnalytics/R/table.Drawdowns.R pkg/PerformanceAnalytics/R/table.DrawdownsRatio.R pkg/PerformanceAnalytics/R/table.HigherMoments.R pkg/PerformanceAnalytics/R/table.InformationRatio.R pkg/PerformanceAnalytics/R/table.MonthlyReturns.R pkg/PerformanceAnalytics/R/table.ProbOutperformance.R pkg/PerformanceAnalytics/R/table.RollingPeriods.R pkg/PerformanceAnalytics/R/table.SpecificRisk.R pkg/PerformanceAnalytics/R/table.Variability.R pkg/PerformanceAnalytics/R/textplot.R pkg/PerformanceAnalytics/man/ActivePremium.Rd pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd pkg/PerformanceAnalytics/man/AppraisalRatio.Rd pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd pkg/PerformanceAnalytics/man/BetaCoMoments.Rd pkg/PerformanceAnalytics/man/BurkeRatio.Rd pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd pkg/PerformanceAnalytics/man/CAPM.alpha.Rd pkg/PerformanceAnalytics/man/CAPM.beta.Rd pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd pkg/PerformanceAnalytics/man/CDD.Rd pkg/PerformanceAnalytics/man/CalmarRatio.Rd pkg/PerformanceAnalytics/man/CoMoments.Rd pkg/PerformanceAnalytics/man/DRatio.Rd pkg/PerformanceAnalytics/man/DownsideDeviation.Rd pkg/PerformanceAnalytics/man/DownsideFrequency.Rd pkg/PerformanceAnalytics/man/DrawdownPeak.Rd pkg/PerformanceAnalytics/man/ES.Rd pkg/PerformanceAnalytics/man/FamaBeta.Rd pkg/PerformanceAnalytics/man/Frequency.Rd pkg/PerformanceAnalytics/man/InformationRatio.Rd pkg/PerformanceAnalytics/man/Kappa.Rd pkg/PerformanceAnalytics/man/KellyRatio.Rd pkg/PerformanceAnalytics/man/M2Sortino.Rd pkg/PerformanceAnalytics/man/MSquared.Rd pkg/PerformanceAnalytics/man/MSquaredExcess.Rd pkg/PerformanceAnalytics/man/MartinRatio.Rd pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd pkg/PerformanceAnalytics/man/NetSelectivity.Rd pkg/PerformanceAnalytics/man/Omega.Rd pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd pkg/PerformanceAnalytics/man/PainIndex.Rd pkg/PerformanceAnalytics/man/PainRatio.Rd pkg/PerformanceAnalytics/man/ProspectRatio.Rd pkg/PerformanceAnalytics/man/Return.Geltner.Rd pkg/PerformanceAnalytics/man/Return.annualized.Rd pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd pkg/PerformanceAnalytics/man/Return.calculate.Rd pkg/PerformanceAnalytics/man/Return.clean.Rd pkg/PerformanceAnalytics/man/Return.cumulative.Rd pkg/PerformanceAnalytics/man/Return.excess.Rd pkg/PerformanceAnalytics/man/Return.portfolio.Rd pkg/PerformanceAnalytics/man/Return.read.Rd pkg/PerformanceAnalytics/man/Return.relative.Rd pkg/PerformanceAnalytics/man/Selectivity.Rd pkg/PerformanceAnalytics/man/SharpeRatio.Rd pkg/PerformanceAnalytics/man/SharpeRatio.annualized.Rd pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd pkg/PerformanceAnalytics/man/SmoothingIndex.Rd pkg/PerformanceAnalytics/man/SortinoRatio.Rd pkg/PerformanceAnalytics/man/SpecificRisk.Rd pkg/PerformanceAnalytics/man/StdDev.Rd pkg/PerformanceAnalytics/man/StdDev.annualized.Rd pkg/PerformanceAnalytics/man/SystematicRisk.Rd pkg/PerformanceAnalytics/man/TotalRisk.Rd pkg/PerformanceAnalytics/man/TrackingError.Rd pkg/PerformanceAnalytics/man/TreynorRatio.Rd pkg/PerformanceAnalytics/man/UpDownRatios.Rd pkg/PerformanceAnalytics/man/UpsideFrequency.Rd pkg/PerformanceAnalytics/man/UpsidePotentialRatio.Rd pkg/PerformanceAnalytics/man/UpsideRisk.Rd pkg/PerformanceAnalytics/man/VaR.Rd pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd pkg/PerformanceAnalytics/man/apply.fromstart.Rd pkg/PerformanceAnalytics/man/apply.rolling.Rd pkg/PerformanceAnalytics/man/centeredmoments.Rd pkg/PerformanceAnalytics/man/chart.ACF.Rd pkg/PerformanceAnalytics/man/chart.Bar.Rd pkg/PerformanceAnalytics/man/chart.BarVaR.Rd pkg/PerformanceAnalytics/man/chart.Boxplot.Rd pkg/PerformanceAnalytics/man/chart.CaptureRatios.Rd pkg/PerformanceAnalytics/man/chart.Correlation.Rd pkg/PerformanceAnalytics/man/chart.CumReturns.Rd pkg/PerformanceAnalytics/man/chart.Drawdown.Rd pkg/PerformanceAnalytics/man/chart.ECDF.Rd pkg/PerformanceAnalytics/man/chart.Events.Rd pkg/PerformanceAnalytics/man/chart.Histogram.Rd pkg/PerformanceAnalytics/man/chart.QQPlot.Rd pkg/PerformanceAnalytics/man/chart.Regression.Rd pkg/PerformanceAnalytics/man/chart.RelativePerformance.Rd pkg/PerformanceAnalytics/man/chart.RiskReturnScatter.Rd pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd pkg/PerformanceAnalytics/man/chart.RollingMean.Rd pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd pkg/PerformanceAnalytics/man/chart.RollingRegression.Rd pkg/PerformanceAnalytics/man/chart.Scatter.Rd pkg/PerformanceAnalytics/man/chart.SnailTrail.Rd pkg/PerformanceAnalytics/man/chart.StackedBar.Rd pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd pkg/PerformanceAnalytics/man/charts.PerformanceSummary.Rd pkg/PerformanceAnalytics/man/charts.RollingPerformance.Rd pkg/PerformanceAnalytics/man/checkData.Rd pkg/PerformanceAnalytics/man/clean.boudt.Rd pkg/PerformanceAnalytics/man/edhec.Rd pkg/PerformanceAnalytics/man/findDrawdowns.Rd pkg/PerformanceAnalytics/man/kurtosis.Rd pkg/PerformanceAnalytics/man/maxDrawdown.Rd pkg/PerformanceAnalytics/man/mean.geometric.Rd pkg/PerformanceAnalytics/man/portfolio_bacon.Rd pkg/PerformanceAnalytics/man/prices.Rd pkg/PerformanceAnalytics/man/skewness.Rd pkg/PerformanceAnalytics/man/sortDrawdowns.Rd pkg/PerformanceAnalytics/man/table.AnnualizedReturns.Rd pkg/PerformanceAnalytics/man/table.Arbitrary.Rd pkg/PerformanceAnalytics/man/table.Autocorrelation.Rd pkg/PerformanceAnalytics/man/table.CAPM.Rd pkg/PerformanceAnalytics/man/table.CalendarReturns.Rd pkg/PerformanceAnalytics/man/table.CaptureRatios.Rd pkg/PerformanceAnalytics/man/table.Correlation.Rd pkg/PerformanceAnalytics/man/table.Distributions.Rd pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd pkg/PerformanceAnalytics/man/table.DownsideRiskRatio.Rd pkg/PerformanceAnalytics/man/table.Drawdowns.Rd pkg/PerformanceAnalytics/man/table.DrawdownsRatio.Rd pkg/PerformanceAnalytics/man/table.HigherMoments.Rd pkg/PerformanceAnalytics/man/table.InformationRatio.Rd pkg/PerformanceAnalytics/man/table.MonthlyReturns.Rd pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd pkg/PerformanceAnalytics/man/table.RollingPeriods.Rd pkg/PerformanceAnalytics/man/table.SpecificRisk.Rd pkg/PerformanceAnalytics/man/table.Variability.Rd pkg/PerformanceAnalytics/man/textplot.Rd pkg/PerformanceAnalytics/man/weights.Rd pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save Log: - updates to pass R CMD check --as-cran Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-11 12:43:17 UTC (rev 3528) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.3.3526 +Version: 1.3.3528 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson @@ -32,6 +32,6 @@ Copyright: (c) 2004-2014 Contributors: Kris Boudt, Ross Bennett, Josh Ulrich, Eric Zivot, Matthieu Lestel Thanks: A special thanks for additional contributions or patches from - Stefan Albrecht, Khahn Nygyen, Jeff Ryan, - Sankalp Upadhyay, Tobias Verbeke, Diethelm Wuertz - H. Felix Wittmann, Ram Ahluwalia, R. Douglas Martin + Ram Ahluwalia, Stefan Albrecht, Andrii Babii, + Khahn Nygyen, R. Douglas Martin, Jeff Ryan, Sankalp Upadhyay, + Tobias Verbeke, H. Felix Wittmann, Diethelm Wuertz Modified: pkg/PerformanceAnalytics/R/ActivePremium.R =================================================================== --- pkg/PerformanceAnalytics/R/ActivePremium.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/ActivePremium.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -17,7 +17,7 @@ #' \code{\link{Return.annualized}} #' @references Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio #' Management},Fall 1994, 49-58. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/AdjustedSharpeRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -17,7 +17,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.99 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(AdjustedSharpeRatio(portfolio_bacon[,1])) #expected 0.81 Modified: pkg/PerformanceAnalytics/R/AppraisalRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/AppraisalRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/AppraisalRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -29,7 +29,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.77 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/BernadoLedoitratio.R =================================================================== --- pkg/PerformanceAnalytics/R/BernadoLedoitratio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/BernadoLedoitratio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -16,7 +16,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.95 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(BernardoLedoitRatio(portfolio_bacon[,1])) #expected 1.78 Modified: pkg/PerformanceAnalytics/R/BurkeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/BurkeRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/BurkeRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -21,7 +21,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.90-91 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(BurkeRatio(portfolio_bacon[,1])) #expected 0.74 Modified: pkg/PerformanceAnalytics/R/CAPM.alpha.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.alpha.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CAPM.alpha.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -21,7 +21,7 @@ #' equilibrium under conditions of risk. \emph{Journal of finance}, vol 19, #' 1964, 425-442. \cr Ruppert, David. \emph{Statistics and Finance, an #' Introduction}. Springer. 2004. \cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' # First we load the data Modified: pkg/PerformanceAnalytics/R/CAPM.beta.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.beta.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CAPM.beta.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -44,7 +44,7 @@ #' 1964, 425-442. \cr Ruppert, David. \emph{Statistics and Finance, an #' Introduction}. Springer. 2004. \cr Bacon, Carl. \emph{Practical portfolio #' performance measurement and attribution}. Wiley. 2004. \cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/CAPM.epsilon.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.epsilon.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CAPM.epsilon.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -18,7 +18,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.71 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CAPM.jensenAlpha.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -18,7 +18,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.72 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/CAPM.utils.R =================================================================== --- pkg/PerformanceAnalytics/R/CAPM.utils.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CAPM.utils.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -121,7 +121,7 @@ #' theory of market equilibrium under conditions of risk. \emph{Journal of #' finance}, vol 19, 1964, 425-442. \cr Ruppert, David. \emph{Statistics and #' Finance, an Introduction}. Springer. 2004. \cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/CalmarRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/CalmarRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CalmarRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -36,7 +36,7 @@ #' \code{\link{UpsidePotentialRatio}} #' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement #' and Attribution}. Wiley. 2004. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/CoMoments.R =================================================================== --- pkg/PerformanceAnalytics/R/CoMoments.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/CoMoments.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -1,7 +1,5 @@ # Compute co-moment matrices - - #' calculate centered Returns #' #' the \eqn{n}-th centered moment is calculated as \deqn{ }{moment^n(R) = @@ -48,7 +46,7 @@ #' Scott, Robert C., and Philip A. Horvath. 1980. On the Direction of #' Preference for Moments of Higher Order than the Variance. Journal of Finance #' 35(4):915-919. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' @@ -100,6 +98,10 @@ ############################################################################### #' @rdname CoMoments +#' @name CoMoments +NULL + +#' @rdname CoMoments #' @export CoSkewnessMatrix <- function (R, ...) @@ -203,7 +205,7 @@ #' Scott, Robert C., and Philip A. Horvath. 1980. On the Direction of #' Preference for Moments of Higher Order than the Variance. Journal of Finance #' 35(4):915-919. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) @@ -337,7 +339,7 @@ #' Martellini, Lionel, and Volker Ziemann. 2007. Improved Forecasts of #' Higher-Order Comoments and Implications for Portfolio Selection. EDHEC Risk #' and Asset Management Research Centre working paper. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/DRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/DRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/DRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -24,7 +24,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.95 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(DRatio(portfolio_bacon[,1])) #expected 0.401 Modified: pkg/PerformanceAnalytics/R/DownsideDeviation.R =================================================================== --- pkg/PerformanceAnalytics/R/DownsideDeviation.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/DownsideDeviation.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -77,7 +77,7 @@ #' \url{http://www.sortino.com/htm/performance.htm} see especially end note 10 #' #' \url{http://en.wikipedia.org/wiki/Semivariance} -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' #with data used in Bacon 2008 Modified: pkg/PerformanceAnalytics/R/DownsideFrequency.R =================================================================== --- pkg/PerformanceAnalytics/R/DownsideFrequency.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/DownsideFrequency.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -20,7 +20,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.94 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' MAR = 0.005 Modified: pkg/PerformanceAnalytics/R/DrawdownPeak.R =================================================================== --- pkg/PerformanceAnalytics/R/DrawdownPeak.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/DrawdownPeak.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -8,7 +8,7 @@ #' @param \dots any other passthru parameters #' @author Matthieu Lestel #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @export DrawdownPeak <- function (R, ...) Modified: pkg/PerformanceAnalytics/R/ES.R =================================================================== --- pkg/PerformanceAnalytics/R/ES.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/ES.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -90,7 +90,7 @@ #' #' Scaillet, Olivier. Nonparametric estimation and sensitivity analysis of #' expected shortfall. Mathematical Finance, 2002, vol. 14, 74-86. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(edhec) Modified: pkg/PerformanceAnalytics/R/FamaBeta.R =================================================================== --- pkg/PerformanceAnalytics/R/FamaBeta.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/FamaBeta.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -17,7 +17,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.78 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/Frequency.R =================================================================== --- pkg/PerformanceAnalytics/R/Frequency.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Frequency.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -8,7 +8,7 @@ #' @param \dots any other passthru parameters #' @author Matthieu Lestel #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(Frequency(portfolio_bacon[,1])) #expected 12 Modified: pkg/PerformanceAnalytics/R/InformationRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/InformationRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/InformationRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -20,7 +20,7 @@ #' \code{\link{SharpeRatio}} #' @references Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio #' Management},Fall 1994, 49-58. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Kappa.R =================================================================== --- pkg/PerformanceAnalytics/R/Kappa.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Kappa.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -33,7 +33,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.96 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' #' @examples #' l = 2 Modified: pkg/PerformanceAnalytics/R/KellyRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/KellyRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/KellyRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -27,7 +27,7 @@ #' Blackjack, Sports Betting, and the Stock Market. #' \url{http://www.bjmath.com/bjmath/thorp/paper.htm} \cr #' \url{http://en.wikipedia.org/wiki/Kelly_criterion} -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/M2Sortino.R =================================================================== --- pkg/PerformanceAnalytics/R/M2Sortino.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/M2Sortino.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -18,7 +18,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.102-103 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/MSquared.R =================================================================== --- pkg/PerformanceAnalytics/R/MSquared.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/MSquared.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -19,7 +19,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.67-68 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/MSquaredExcess.R =================================================================== --- pkg/PerformanceAnalytics/R/MSquaredExcess.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/MSquaredExcess.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -19,7 +19,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.68 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/MartinRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/MartinRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/MartinRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -18,7 +18,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.91 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(MartinRatio(portfolio_bacon[,1])) #expected 1.70 Modified: pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R =================================================================== --- pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/MeanAbsoluteDeviation.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -15,7 +15,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.62 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(MeanAbsoluteDeviation(portfolio_bacon[,1])) #expected 0.0310 Modified: pkg/PerformanceAnalytics/R/NetSelectivity.R =================================================================== --- pkg/PerformanceAnalytics/R/NetSelectivity.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/NetSelectivity.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -20,7 +20,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.78 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/Omega.R =================================================================== --- pkg/PerformanceAnalytics/R/Omega.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Omega.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -58,7 +58,7 @@ #' @references Keating, J. and Shadwick, W.F. The Omega Function. working #' paper. Finance Development Center, London. 2002. Kazemi, Schneeweis, and #' Gupta. Omega as a Performance Measure. 2003. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(edhec) Modified: pkg/PerformanceAnalytics/R/OmegaExcessReturn.R =================================================================== --- pkg/PerformanceAnalytics/R/OmegaExcessReturn.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/OmegaExcessReturn.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -19,7 +19,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.103 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/OmegaSharpeRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -21,7 +21,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008, p.95 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/PainIndex.R =================================================================== --- pkg/PerformanceAnalytics/R/PainIndex.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/PainIndex.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -23,7 +23,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.89, Becker, Thomas (2006) Zephyr Associates #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(PainIndex(portfolio_bacon[,1])) #expected 0.04 Modified: pkg/PerformanceAnalytics/R/PainRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/PainRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/PainRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -18,7 +18,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.91 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' print(PainRatio(portfolio_bacon[,1])) #expected 2.66 Modified: pkg/PerformanceAnalytics/R/ProspectRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/ProspectRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/ProspectRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -16,7 +16,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.100 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(portfolio_bacon) #' MAR = 0.05 Modified: pkg/PerformanceAnalytics/R/Return.Geltner.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.Geltner.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.Geltner.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -33,7 +33,7 @@ #' Geltner, David, 1993, Estimating Market Values from Appraised Values without #' Assuming an Efficient Market, Journal of Real Estate Research, Vol.8, #' p.325-345. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Return.annualized.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.annualized.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.annualized.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -27,7 +27,7 @@ #' @seealso \code{\link{Return.cumulative}}, #' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement #' and Attribution}. Wiley. 2004. p. 6 -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Return.annualized.excess.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.annualized.excess.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.annualized.excess.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -34,7 +34,7 @@ #' @seealso \code{\link{Return.annualized}}, #' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement #' and Attribution}. Wiley. 2004. p. 206-207 -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' data(managers) #' Return.annualized.excess(Rp = managers[,1], Rb = managers[,8]) Modified: pkg/PerformanceAnalytics/R/Return.calculate.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.calculate.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.calculate.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -37,7 +37,7 @@ #' @seealso \code{\link{Return.cumulative}} #' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and #' Attribution}. Wiley. 2004. Chapter 2 \cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' \dontrun{ Modified: pkg/PerformanceAnalytics/R/Return.clean.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.clean.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.clean.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -30,7 +30,7 @@ #' function #' @author Peter Carl #' @seealso \code{\link{clean.boudt}} \cr \code{\link{Return.Geltner}} \cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) @@ -159,7 +159,7 @@ #' } #' #' Note that the primary value of data cleaning lies in creating a more robust -#' and stable estimation of the distribution generating the large majority of +#' and stable estimation of the distribution describing the large majority of #' the return data. The increased robustness and stability of the estimated #' moments utilizing cleaned data should be used for portfolio construction. If #' a portfolio manager wishes to have a more conservative risk estimate, @@ -195,7 +195,7 @@ #' Rousseeuw, P. J. (1985). Multivariate estimation with high breakdown point. #' In W. Grossmann, G. Pflug, I. Vincze, and W. Wertz (Eds.), Mathematical #' Statistics and Its Applications, Volume B, pp. 283?297. Dordrecht-Reidel. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @export clean.boudt <- function(R, alpha=.01 , trim=1e-3) Modified: pkg/PerformanceAnalytics/R/Return.cumulative.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.cumulative.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.cumulative.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -15,7 +15,7 @@ #' @seealso \code{\link{Return.annualized}} #' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement #' and Attribution}. Wiley. 2004. p. 6 -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Return.excess.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.excess.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.excess.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -29,7 +29,7 @@ #' @author Peter Carl #' @references Bacon, Carl. \emph{Practical Portfolio Performance Measurement #' and Attribution}. Wiley. 2004. p. 47-52 -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.portfolio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.portfolio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -108,7 +108,7 @@ #' @seealso \code{\link{Return.calculate}} \code{\link[xts]{endpoints}} \cr #' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and #' Attribution}. Wiley. 2004. Chapter 2\cr -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(edhec) Modified: pkg/PerformanceAnalytics/R/Return.read.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.read.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.read.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -33,7 +33,7 @@ #' \code{\link[zoo]{read.zoo}} #' @author Peter Carl #' @seealso \code{\link[zoo]{read.zoo}}, \code{\link[utils]{read.table}} -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' \dontrun{ Modified: pkg/PerformanceAnalytics/R/Return.relative.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.relative.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Return.relative.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -11,7 +11,7 @@ #' @return xts or other time series of relative return #' @author Peter Carl #' @seealso \code{\link{chart.RelativePerformance}} -#' @keywords ts +###keywords ts #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/Selectivity.R =================================================================== --- pkg/PerformanceAnalytics/R/Selectivity.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/Selectivity.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -17,7 +17,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.78 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/SharpeRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/SharpeRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SharpeRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -52,7 +52,7 @@ #' Laurent Favre and Jose-Antonio Galeano. Mean-Modified Value-at-Risk #' Optimization with Hedge Funds. Journal of Alternative Investment, Fall 2002, #' v 5. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R =================================================================== --- pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SharpeRatio.annualized.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -32,7 +32,7 @@ #' \code{\link{SortinoRatio}} #' @references Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio #' Management},Fall 1994, 49-58. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SkewnessKurtosisRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -17,7 +17,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.100 #' -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(portfolio_bacon) Modified: pkg/PerformanceAnalytics/R/SmoothingIndex.R =================================================================== --- pkg/PerformanceAnalytics/R/SmoothingIndex.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SmoothingIndex.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -83,7 +83,7 @@ #' Getmansky, Mila, Andrew W. Lo, and Igor Makarov. 2004. An Econometric Model #' of Serial Correlation and Illiquidity in Hedge Fund Returns. Journal of #' Financial Economics (74): 529-609. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/SortinoRatio.R =================================================================== --- pkg/PerformanceAnalytics/R/SortinoRatio.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SortinoRatio.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -34,7 +34,7 @@ #' \code{\link{InformationRatio}} #' @references Sortino, F. and Price, L. Performance Measurement in a Downside #' Risk Framework. \emph{Journal of Investing}. Fall 1994, 59-65. -#' @keywords ts multivariate distribution models +###keywords ts multivariate distribution models #' @examples #' #' data(managers) Modified: pkg/PerformanceAnalytics/R/SpecificRisk.R =================================================================== --- pkg/PerformanceAnalytics/R/SpecificRisk.R 2014-09-08 20:38:57 UTC (rev 3527) +++ pkg/PerformanceAnalytics/R/SpecificRisk.R 2014-09-11 12:43:17 UTC (rev 3528) @@ -13,7 +13,7 @@ #' @references Carl Bacon, \emph{Practical portfolio performance measurement #' and attribution}, second edition 2008 p.75 #' [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 3528 From noreply at r-forge.r-project.org Thu Sep 11 16:33:03 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Thu, 11 Sep 2014 16:33:03 +0200 (CEST) Subject: [Returnanalytics-commits] r3529 - in pkg/PerformanceAnalytics: R man Message-ID: <20140911143303.6CE861874D8@r-forge.r-project.org> Author: braverock Date: 2014-09-11 16:33:02 +0200 (Thu, 11 Sep 2014) New Revision: 3529 Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R pkg/PerformanceAnalytics/man/Return.portfolio.Rd Log: - update docs for Return.portfolio Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R =================================================================== --- pkg/PerformanceAnalytics/R/Return.portfolio.R 2014-09-11 12:43:17 UTC (rev 3528) +++ pkg/PerformanceAnalytics/R/Return.portfolio.R 2014-09-11 14:33:02 UTC (rev 3529) @@ -33,7 +33,7 @@ #' and no further rebalancing will take place. If a rebalancing period is specified, #' the portfolio will be rebalanced to the starting weights at the interval specified. #' -#' Return.rebalancing will work only on daily or lower frequencies. If you are +#' \code{Return.portfolio} will work only on daily or lower frequencies. If you are #' rebalancing intraday, you should be using a trades/prices framework like #' the \code{blotter} package, not a weights/returns framework. #' @@ -86,6 +86,11 @@ #' Across assets, those will sum to equal the geometric chained returns of the #' portfolio for that same time period. The function does not do this directly, however. #' +#' @note +#' This function was previously two functions: \code{Return.portfolio} and +#' \code{Return.rebalancing}. Both function names are still exported, +#' but the code is now common, and \code{Return.portfolio} is probably to be preferred. +#' #' @aliases Return.portfolio Return.rebalancing #' @param R An xts, vector, matrix, data frame, timeSeries or zoo object of #' asset returns @@ -112,12 +117,12 @@ #' @examples #' #' data(edhec) -#' Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters") # returns time series -#' Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list +#' Return.portfolio(edhec["1997",1:5], rebalance_on="quarters") # returns time series +#' Return.portfolio(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list #' # with a weights object #' data(weights) # rebalance at the beginning of the year to various weights through time #' chart.StackedBar(weights) -#' x <- Return.rebalancing(edhec["2000::",1:11], weights=weights,verbose=TRUE) +#' x <- Return.portfolio(edhec["2000::",1:11], weights=weights,verbose=TRUE) #' chart.CumReturns(x$returns) #' chart.StackedBar(x$BOP.Weight) #' chart.StackedBar(x$BOP.Value) Modified: pkg/PerformanceAnalytics/man/Return.portfolio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Return.portfolio.Rd 2014-09-11 12:43:17 UTC (rev 3528) +++ pkg/PerformanceAnalytics/man/Return.portfolio.Rd 2014-09-11 14:33:02 UTC (rev 3529) @@ -72,7 +72,7 @@ and no further rebalancing will take place. If a rebalancing period is specified, the portfolio will be rebalanced to the starting weights at the interval specified. -Return.rebalancing will work only on daily or lower frequencies. If you are +\code{Return.portfolio} will work only on daily or lower frequencies. If you are rebalancing intraday, you should be using a trades/prices framework like the \code{blotter} package, not a weights/returns framework. @@ -125,14 +125,19 @@ Across assets, those will sum to equal the geometric chained returns of the portfolio for that same time period. The function does not do this directly, however. } +\note{ +This function was previously two functions: \code{Return.portfolio} and +\code{Return.rebalancing}. Both function names are still exported, +but the code is now common, and \code{Return.portfolio} is probably to be preferred. +} \examples{ data(edhec) -Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters") # returns time series -Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list +Return.portfolio(edhec["1997",1:5], rebalance_on="quarters") # returns time series +Return.portfolio(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list # with a weights object data(weights) # rebalance at the beginning of the year to various weights through time chart.StackedBar(weights) -x <- Return.rebalancing(edhec["2000::",1:11], weights=weights,verbose=TRUE) +x <- Return.portfolio(edhec["2000::",1:11], weights=weights,verbose=TRUE) chart.CumReturns(x$returns) chart.StackedBar(x$BOP.Weight) chart.StackedBar(x$BOP.Value) From noreply at r-forge.r-project.org Fri Sep 12 00:16:11 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 12 Sep 2014 00:16:11 +0200 (CEST) Subject: [Returnanalytics-commits] r3530 - pkg/PerformanceAnalytics/man Message-ID: <20140911221611.6F093186E58@r-forge.r-project.org> Author: peter_carl Date: 2014-09-12 00:16:10 +0200 (Fri, 12 Sep 2014) New Revision: 3530 Modified: pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd Log: - minor changes to reflect changes in release Modified: pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd =================================================================== --- pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-11 14:33:02 UTC (rev 3529) +++ pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-11 22:16:10 UTC (rev 3530) @@ -39,7 +39,7 @@ Performance measurement starts with returns. Traders may object, complaining that \dQuote{You can't eat returns,} and will prefer to look for numbers with currency signs. To some extent, they have a point - the normalization inherent in calculating returns can be deceiving. Most of the recent work in performance analysis, however, is focused on returns rather than prices and sometimes called "returns-based analysis" or RBA. This \dQuote{price per unit of investment} standardization is important for two reasons - first, it helps the decision maker to compare opportunities, and second, it has some useful statistical qualities. As a result, the \kbd{PerformanceAnalytics} package focuses on returns. See \code{\link{Return.calculate}} for converting net asset values or prices into returns, either discrete or continuous. Many papers and theories refer to \dQuote{excess returns}: we implement a simple function for aligning time series and calculating excess returns in \code{\link{Return.excess}}. -We provide two functions to calculate weighted returns for a portfolio of assets. If you have a single weighting vector, or want the equal weighted portfolio, use \code{\link{Return.portfolio}}. If you have a portfolio that is periodically rebalanced, and multiple time periods with different weights, use \code{\link{Return.rebalancing}}. Both functions will subset the return series to only include returns for assets for which \code{\link{weights}} are provided. +\code{\link{Return.portfolio}} can be used to calculate weighted returns for a portfolio of assets. The function was recently changed to support several use-cases: a single weighting vector, an equal weighted portfolio, periodic rebalancing, or irregular rebalancing. That replaces functionality that had been split between that function and \code{\link{Return.rebalancing}}. The function will subset the return series to only include returns for assets for which \code{\link{weights}} are provided. Returns and risk may be annualized as a way to simplify comparison over longer time periods. Although it requires a bit of estimating, such aggregation is popular because it offers a reference point for easy comparison. Examples are in \code{\link{Return.annualized}}, \code{\link{sd.annualized}}, and \code{\link{SharpeRatio.annualized}}. @@ -81,7 +81,7 @@ \section{Style Analysis}{ Style analysis is one way to help determine a fund's exposures to the changes in returns of major asset classes or other factors. \kbd{PerformanceAnalytics} previously had a few functions that calculate style weights using an asset class style model as described in detail in Sharpe (1992). -These functions have been moved to \kbd{R-Forge} in package \kbd{FactorAnalytics} as part of a new collaboration with Eric Zivot at the University of Washington. The functions combine to calculate effective style weights and display the results in a bar chart. \code{chart.Style} calculates and displays style weights calculated over a single period. \code{chart.RollingStyle} calculates and displays those weights in rolling windows through time. \code{style.fit} manages the calculation of the weights by method, and \code{style.QPfit} calculates the specific constraint case that requires quadratic programming. +These functions have been moved to \kbd{R-Forge} in package \kbd{FactorAnalytics} as part of a collaboration with Eric Zivot at the University of Washington. The functions combine to calculate effective style weights and display the results in a bar chart. \code{chart.Style} calculates and displays style weights calculated over a single period. \code{chart.RollingStyle} calculates and displays those weights in rolling windows through time. \code{style.fit} manages the calculation of the weights by method, and \code{style.QPfit} calculates the specific constraint case that requires quadratic programming. [note: these functions do not currently appear in the development codebase, but should reappear as a supported method at some point] There is a significant amount of academic literature on identifying and attributing sources of risk or returns. Much of it falls into the field of \dQuote{factor analysis} where \dQuote{risk factors} are used to retrospectively explain sources of risk, and through regression and other analytical methods \emph{predict} future period returns and risk based on factor drivers. These are well covered in chapters on factor analysis in \cite{Zivot and Wang(2006)} and also in the \R functions \code{\link{factanal}} for basic factor analysis and \code{\link{princomp}} for Principal Component Analysis. The authors feel that financial engineers and analysts would benefit from some wrapping of this functionality focused on finance, but the capabilities already available from the base functions are quite powerful. We are hopeful that our new collaboration with Prof. Zivot will provide additional functionality in the near future. } @@ -264,10 +264,12 @@ Jeff Ryan and Josh Ulrich are active participants in the R finance community and created \code{\link[xts]{xts}}, upon which much of PerformanceAnalytics depends. -Prototypes of the drawdowns functionality were provided by Sankalp Upadhyay, and modified with permission. Stephan Albrecht provided detailed feedback on the Getmansky/Lo Smoothing Index. Diethelm Wuertz provided prototypes of modified VaR and skewness and kurtosis functions (and is of course the maintainer of the RMetrics suite of pricing and optimization functions). Any errors are, of course, our own. +Prototypes of the drawdowns functionality were provided by Sankalp Upadhyay, and modified with permission. Stephan Albrecht provided detailed feedback on the Getmansky/Lo Smoothing Index. Diethelm Wuertz provided prototypes of modified VaR and skewness and kurtosis functions (and is of course the maintainer of the RMetrics suite of pricing and optimization functions). He also contributed prototypes for many other functions from Bacon's book that were incorporated into PerformanceAnalytics by Matthieu Lestel. Any errors are, of course, our own. Thanks to Joe Wayne Byers and Dirk Eddelbuettel for comments on early versions of these functions, and to Khanh Nguyen and Ryan Sheftel for careful testing and detailed problem reports. +Thanks also to our Google Summer of Code students through the years for their contributions. Significant contributions from GSOC students to this package have come from Matthieu Lestel and Andrii Babii so far. We expect to eventually incorporate contributions from Pulkit Mehrotra and Shubhankit Mohan, who worked with us during the summer of 2013. + Thanks to the R-SIG-Finance community without whom this package would not be possible. We are indebted to the R-SIG-Finance community for many helpful suggestions, bugfixes, and requests. } From noreply at r-forge.r-project.org Fri Sep 12 00:16:59 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 12 Sep 2014 00:16:59 +0200 (CEST) Subject: [Returnanalytics-commits] r3531 - in pkg/PerformanceAnalytics: R sandbox Message-ID: <20140911221659.50FF0187537@r-forge.r-project.org> Author: peter_carl Date: 2014-09-12 00:16:59 +0200 (Fri, 12 Sep 2014) New Revision: 3531 Modified: pkg/PerformanceAnalytics/R/maxDrawdown.R pkg/PerformanceAnalytics/sandbox/refactored.Portfolio.rebalancing.R Log: - added AverageLength function - added documentation for additional drawdown functions Modified: pkg/PerformanceAnalytics/R/maxDrawdown.R =================================================================== --- pkg/PerformanceAnalytics/R/maxDrawdown.R 2014-09-11 22:16:10 UTC (rev 3530) +++ pkg/PerformanceAnalytics/R/maxDrawdown.R 2014-09-11 22:16:59 UTC (rev 3531) @@ -44,15 +44,6 @@ maxDrawdown <- function (R, weights=NULL, geometric = TRUE, invert=TRUE, ...) { # @author Peter Carl - # DESCRIPTION: - # To find the maximum drawdown in a return series, we need to first - # calculate the cumulative returns and the maximum cumulative return to - # that point. Any time the cumulative returns dips below the maximum - # cumulative returns, it's a drawdown. Drawdowns are measured as a - # percentage of that maximum cumulative return, in effect, measured from - # peak equity. - - # FUNCTION: if (is.vector(R) || ncol(R)==1 ) { R = na.omit(R) drawdown = Drawdowns(R, geometric = geometric) @@ -156,13 +147,6 @@ DrawdownDeviation <- function (R, ...) { - # Calculates a standard deviation-type statistic using individual drawdowns. - # - # DD = sqrt(sum[j=1,2,...,d](D_j^2/n)) where - # D_j = jth drawdown over the entire period - # d = total number of drawdowns in entire period - # n = number of observations - R = checkData(R) dd <- function(R) { @@ -180,7 +164,7 @@ return (result) } -#' Calculates the average of the observed drawdowns. +#' Calculates the average depth of the observed drawdowns. #' #' ADD = abs(sum[j=1,2,...,d](D_j/d)) where #' D'_j = jth drawdown over entire period @@ -189,6 +173,7 @@ #' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of #' asset returns #' @param \dots any other passthru parameters +#' @author Peter Carl #' @export AverageDrawdown <- function (R, ...) { @@ -216,17 +201,17 @@ return (result) } -#' @rdname AverageDrawdown +#' Calculates the average length (in periods) of the observed recovery period. +#' +#' Similar to \code{\link{AverageDrawdown}}, which calculates the average depth of drawdown, this function calculates the average length of the recovery period of the drawdowns observed. +#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of +#' asset returns +#' @param \dots any other passthru parameters +#' @author Peter Carl #' @export AverageRecovery <- function (R, ...) { - # Calculates the average length (in months) of the observed recovery period. - # - # ADD = abs(sum[j=1,2,...,d](D_j/d)) where - # D'_j = jth drawdown over entire period - # d = total number of drawdowns in the entire period - R = checkData(R) ar <- function(R) { @@ -244,8 +229,35 @@ rownames(result) = "Average Recovery" return (result) } +#' Calculates the average length (in periods) of the observed drawdowns. +#' +#' Similar to \code{\link{AverageDrawdown}}, which calculates the average depth of drawdown, this function calculates the average length of the drawdowns observed. +#' @param R an xts, vector, matrix, data frame, timeSeries or zoo object of +#' asset returns +#' @param \dots any other passthru parameters +#' @author Peter Carl +#' @export +AverageLength <- +function (R, ...) { + R = checkData(R) + ar <- function(R) { + R = na.omit(R) + Dj = findDrawdowns(as.matrix(R))$return + Dr = findDrawdowns(as.matrix(R))$length + d = length(Dr[Dj<0]) + result = abs(sum(Dr[Dj<0]/d)) + return(result) + } + + result = apply(R, MARGIN = 2, ar) + dim(result) = c(1,NCOL(R)) + colnames(result) = colnames(R) + rownames(result) = "Average Recovery" + return (result) +} + ############################################################################### # R (http://r-project.org/) Econometrics for Performance and Risk Analysis # Modified: pkg/PerformanceAnalytics/sandbox/refactored.Portfolio.rebalancing.R =================================================================== --- pkg/PerformanceAnalytics/sandbox/refactored.Portfolio.rebalancing.R 2014-09-11 22:16:10 UTC (rev 3530) +++ pkg/PerformanceAnalytics/sandbox/refactored.Portfolio.rebalancing.R 2014-09-11 22:16:59 UTC (rev 3531) @@ -72,9 +72,9 @@ weights = rep(1/NCOL(R), NCOL(R)) } if(is.vector(weights)) { # weights are a vector - if(is.na(endpoints)) { # and endpoints are not specified + if(is.na(on)) { # and endpoints are not specified # then use the weights only at the beginning of the returns series, without rebalancing - weights = xts(weights, order.by=as.Date(start_date)) + weights = xts(matrix(weights, nrow=1), order.by=as.Date(start_date)) } else { # and endpoints are specified # generate a time series of the given weights at the endpoints @@ -111,10 +111,16 @@ # loop over rebalance periods start_date=index(weights)[1] - for(i in 1:(NROW(weights)-1)) { - # identify rebalance from and to dates (weights[i,], weights[i+1]) - from = as.Date(index(weights[i,]))+1 - to = as.Date(index(weights[i+1,])) + if(NROW(weights)>1) + for(i in 1:(NROW(weights)-1)) { + # identify rebalance from and to dates (weights[i,], weights[i+1]) + from = as.Date(index(weights[i,]))+1 + to = as.Date(index(weights[i+1,])) + } + else{ + from = as.Date(index(weights[1,]))+1 + to=NULL + } returns = R[paste0(from,"::",to)] #print(returns) From noreply at r-forge.r-project.org Fri Sep 12 00:22:21 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 12 Sep 2014 00:22:21 +0200 (CEST) Subject: [Returnanalytics-commits] r3532 - pkg/PerformanceAnalytics/R Message-ID: <20140911222221.97889187551@r-forge.r-project.org> Author: peter_carl Date: 2014-09-12 00:22:21 +0200 (Fri, 12 Sep 2014) New Revision: 3532 Modified: pkg/PerformanceAnalytics/R/maxDrawdown.R Log: - changed row label to fit function name Modified: pkg/PerformanceAnalytics/R/maxDrawdown.R =================================================================== --- pkg/PerformanceAnalytics/R/maxDrawdown.R 2014-09-11 22:16:59 UTC (rev 3531) +++ pkg/PerformanceAnalytics/R/maxDrawdown.R 2014-09-11 22:22:21 UTC (rev 3532) @@ -254,7 +254,7 @@ result = apply(R, MARGIN = 2, ar) dim(result) = c(1,NCOL(R)) colnames(result) = colnames(R) - rownames(result) = "Average Recovery" + rownames(result) = "Average Length" return (result) } From noreply at r-forge.r-project.org Fri Sep 12 18:07:58 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 12 Sep 2014 18:07:58 +0200 (CEST) Subject: [Returnanalytics-commits] r3533 - in pkg/PerformanceAnalytics: . man Message-ID: <20140912160758.A61F91876C8@r-forge.r-project.org> Author: braverock Date: 2014-09-12 18:07:58 +0200 (Fri, 12 Sep 2014) New Revision: 3533 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NAMESPACE pkg/PerformanceAnalytics/man/AverageDrawdown.Rd Log: - minor updates prior to CRAN release Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-11 22:22:21 UTC (rev 3532) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 16:07:58 UTC (rev 3533) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.3.3528 +Version: 1.3.3533 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson Modified: pkg/PerformanceAnalytics/NAMESPACE =================================================================== --- pkg/PerformanceAnalytics/NAMESPACE 2014-09-11 22:22:21 UTC (rev 3532) +++ pkg/PerformanceAnalytics/NAMESPACE 2014-09-12 16:07:58 UTC (rev 3533) @@ -9,6 +9,7 @@ export(AdjustedSharpeRatio) export(AppraisalRatio) export(AverageDrawdown) +export(AverageLength) export(AverageRecovery) export(BernardoLedoitRatio) export(BetaCoKurtosis) Modified: pkg/PerformanceAnalytics/man/AverageDrawdown.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AverageDrawdown.Rd 2014-09-11 22:22:21 UTC (rev 3532) +++ pkg/PerformanceAnalytics/man/AverageDrawdown.Rd 2014-09-12 16:07:58 UTC (rev 3533) @@ -1,12 +1,9 @@ % Generated by roxygen2 (4.0.2): do not edit by hand \name{AverageDrawdown} \alias{AverageDrawdown} -\alias{AverageRecovery} -\title{Calculates the average of the observed drawdowns.} +\title{Calculates the average depth of the observed drawdowns.} \usage{ AverageDrawdown(R, ...) - -AverageRecovery(R, ...) } \arguments{ \item{R}{an xts, vector, matrix, data frame, timeSeries or zoo object of @@ -19,4 +16,7 @@ D'_j = jth drawdown over entire period d = total number of drawdowns in the entire period } +\author{ +Peter Carl +} From noreply at r-forge.r-project.org Sat Sep 13 00:12:21 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sat, 13 Sep 2014 00:12:21 +0200 (CEST) Subject: [Returnanalytics-commits] r3534 - in pkg/PerformanceAnalytics: . tests/Examples Message-ID: <20140912221221.4D9241801A5@r-forge.r-project.org> Author: braverock Date: 2014-09-13 00:12:20 +0200 (Sat, 13 Sep 2014) New Revision: 3534 Modified: pkg/PerformanceAnalytics/.Rbuildignore pkg/PerformanceAnalytics/ChangeLog pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/NEWS pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save Log: - minor updates prior to CRAN submit - bump version to 1.4.3534 Modified: pkg/PerformanceAnalytics/.Rbuildignore =================================================================== --- pkg/PerformanceAnalytics/.Rbuildignore 2014-09-12 16:07:58 UTC (rev 3533) +++ pkg/PerformanceAnalytics/.Rbuildignore 2014-09-12 22:12:20 UTC (rev 3534) @@ -1,6 +1,7 @@ sandbox generatechangelog.sh ChangeLog.1.0.0 +ChangeLog ^.*\.Rproj$ ^\.Rproj\.user$ codeblock.txt Modified: pkg/PerformanceAnalytics/ChangeLog =================================================================== --- pkg/PerformanceAnalytics/ChangeLog 2014-09-12 16:07:58 UTC (rev 3533) +++ pkg/PerformanceAnalytics/ChangeLog 2014-09-12 22:12:20 UTC (rev 3534) @@ -1,3 +1,131 @@ +2014-09-12 braverock + + * DESCRIPTION, NAMESPACE, man/AverageDrawdown.Rd: - minor updates + prior to CRAN release + +2014-09-11 peter_carl + + * R/maxDrawdown.R: - changed row label to fit function name + * R/maxDrawdown.R, sandbox/refactored.Portfolio.rebalancing.R: - + added AverageLength function + - added documentation for additional drawdown functions + * man/PerformanceAnalytics-package.Rd: - minor changes to reflect + changes in release + +2014-09-11 braverock + + * R/Return.portfolio.R, man/Return.portfolio.Rd: - update docs for + Return.portfolio + * DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R, + R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R, + R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R, + R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R, + R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R, + R/DownsideFrequency.R, R/DrawdownPeak.R, R/ES.R, R/FamaBeta.R, + R/Frequency.R, R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R, + R/M2Sortino.R, R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R, + R/MeanAbsoluteDeviation.R, R/NetSelectivity.R, R/Omega.R, + R/OmegaExcessReturn.R, R/OmegaSharpeRatio.R, R/PainIndex.R, + R/PainRatio.R, R/ProspectRatio.R, R/Return.Geltner.R, + R/Return.annualized.R, R/Return.annualized.excess.R, + R/Return.calculate.R, R/Return.clean.R, R/Return.cumulative.R, + R/Return.excess.R, R/Return.portfolio.R, R/Return.read.R, + R/Return.relative.R, R/Selectivity.R, R/SharpeRatio.R, + R/SharpeRatio.annualized.R, R/SkewnessKurtosisRatio.R, + R/SmoothingIndex.R, R/SortinoRatio.R, R/SpecificRisk.R, + R/StdDev.R, R/StdDev.annualized.R, R/SystematicRisk.R, + R/TotalRisk.R, R/TrackingError.R, R/TreynorRatio.R, + R/UpDownRatios.R, R/UpsideFrequency.R, R/UpsidePotentialRatio.R, + R/UpsideRisk.R, R/VaR.R, R/VolatilitySkewness.R, + R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R, + R/chart.Bar.R, R/chart.BarVaR.R, R/chart.Boxplot.R, + R/chart.CaptureRatios.R, R/chart.Correlation.R, + R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R, + R/chart.Events.R, R/chart.Histogram.R, R/chart.QQPlot.R, + R/chart.Regression.R, R/chart.RelativePerformance.R, + R/chart.RiskReturnScatter.R, R/chart.RollingCorrelation.R, + R/chart.RollingMean.R, R/chart.RollingPerformance.R, + R/chart.RollingRegression.R, R/chart.Scatter.R, + R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R, + R/chart.VaRSensitivity.R, R/charts.PerformanceSummary.R, + R/charts.RollingPerformance.R, R/checkData.R, R/findDrawdowns.R, + R/kurtosis.R, R/maxDrawdown.R, R/mean.utils.R, R/skewness.R, + R/sortDrawdowns.R, R/table.AnnualizedReturns.R, + R/table.Arbitrary.R, R/table.Autocorrelation.R, R/table.CAPM.R, + R/table.CalendarReturns.R, R/table.CaptureRatios.R, + R/table.Correlation.R, R/table.Distributions.R, + R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R, + R/table.Drawdowns.R, R/table.DrawdownsRatio.R, + R/table.HigherMoments.R, R/table.InformationRatio.R, + R/table.MonthlyReturns.R, R/table.ProbOutperformance.R, + R/table.RollingPeriods.R, R/table.SpecificRisk.R, + R/table.Variability.R, R/textplot.R, man/ActivePremium.Rd, + man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd, + man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd, + man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd, + man/CAPM.beta.Rd, man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd, + man/CDD.Rd, man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd, + man/DownsideDeviation.Rd, man/DownsideFrequency.Rd, + man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd, + man/Frequency.Rd, man/InformationRatio.Rd, man/Kappa.Rd, + man/KellyRatio.Rd, man/M2Sortino.Rd, man/MSquared.Rd, + man/MSquaredExcess.Rd, man/MartinRatio.Rd, + man/MeanAbsoluteDeviation.Rd, man/NetSelectivity.Rd, + man/Omega.Rd, man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd, + man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd, + man/Return.Geltner.Rd, man/Return.annualized.Rd, + man/Return.annualized.excess.Rd, man/Return.calculate.Rd, + man/Return.clean.Rd, man/Return.cumulative.Rd, + man/Return.excess.Rd, man/Return.portfolio.Rd, + man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd, + man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd, + man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd, + man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd, + man/StdDev.annualized.Rd, man/SystematicRisk.Rd, + man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd, + man/UpDownRatios.Rd, man/UpsideFrequency.Rd, + man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd, + man/VolatilitySkewness.Rd, man/apply.fromstart.Rd, + man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd, + man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd, + man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd, + man/chart.CumReturns.Rd, man/chart.Drawdown.Rd, + man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd, + man/chart.QQPlot.Rd, man/chart.Regression.Rd, + man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd, + man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd, + man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd, + man/chart.Scatter.Rd, man/chart.SnailTrail.Rd, + man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd, + man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd, + man/charts.RollingPerformance.Rd, man/checkData.Rd, + man/clean.boudt.Rd, man/edhec.Rd, man/findDrawdowns.Rd, + man/kurtosis.Rd, man/maxDrawdown.Rd, man/mean.geometric.Rd, + man/portfolio_bacon.Rd, man/prices.Rd, man/skewness.Rd, + man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd, + man/table.Arbitrary.Rd, man/table.Autocorrelation.Rd, + man/table.CAPM.Rd, man/table.CalendarReturns.Rd, + man/table.CaptureRatios.Rd, man/table.Correlation.Rd, + man/table.Distributions.Rd, man/table.DownsideRisk.Rd, + man/table.DownsideRiskRatio.Rd, man/table.Drawdowns.Rd, + man/table.DrawdownsRatio.Rd, man/table.HigherMoments.Rd, + man/table.InformationRatio.Rd, man/table.MonthlyReturns.Rd, + man/table.ProbOutPerformance.Rd, man/table.RollingPeriods.Rd, + man/table.SpecificRisk.Rd, man/table.Variability.Rd, + man/textplot.Rd, man/weights.Rd, + tests/Examples/PerformanceAnalytics-Ex.Rout.save: - updates to + pass R CMD check --as-cran + +2014-09-08 peter_carl + + * NEWS: - added comments on version number method + +2014-09-07 braverock + + * ChangeLog, DESCRIPTION, R/Return.clean.R, R/chart.Histogram.R, + R/chart.QQPlot.R, R/chart.RollingQuantileRegression.R: - updates + to pass R CMD check on r-devel + 2014-09-05 bodanker * R/VaR.R: - Fix error in reasonableness check when tmp is not Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 16:07:58 UTC (rev 3533) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 22:12:20 UTC (rev 3534) @@ -1,7 +1,7 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.3.3533 +Version: 1.4.3534 Date: $Date$ Author: Peter Carl, Brian G. Peterson Maintainer: Brian G. Peterson Modified: pkg/PerformanceAnalytics/NEWS =================================================================== --- pkg/PerformanceAnalytics/NEWS 2014-09-12 16:07:58 UTC (rev 3533) +++ pkg/PerformanceAnalytics/NEWS 2014-09-12 22:12:20 UTC (rev 3534) @@ -1,13 +1,19 @@ PerformanceAnalytics 1.4 Release Notes -This release mostly adds some functionality from Bacon, and -makes visible some features that were previously internal to -the package. We've also completely re-written Return.portfolio. +We've completely re-written Return.portfolio to make more of the +internals available for those who have the need to disassemble the +various components of the portfolio return. Return.portfolio and +Return.rebalancing are now the same function, with Return.portfolio +being preferred for new code. -We've also moved to using roxygen2 to generate the NAMESPACE file, +This release also adds some functionality from Bacon, and +makes visible some functions that were previously internal to +the package. + +We've moved to using roxygen2 to generate the NAMESPACE file, which required touching basically every single generated .Rd file. -We're also altering out version numbering system. We'll be using a +We're also altering our version numbering system. We'll be using a "major.cran-release.r-forge-rev" form to make it easier for us to track where reported issues may have been introduced. Major releases will continue to indicate that significant changes to the interfaces of the functions Modified: pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save =================================================================== --- pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-12 16:07:58 UTC (rev 3533) +++ pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-12 22:12:20 UTC (rev 3534) @@ -3804,7 +3804,7 @@ > ### ** Examples > > data(edhec) -> Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters") # returns time series +> Return.portfolio(edhec["1997",1:5], rebalance_on="quarters") # returns time series portfolio.returns 1997-01-31 0.033400000 1997-02-28 0.023762011 @@ -3818,7 +3818,7 @@ 1997-10-31 -0.010780000 1997-11-30 -0.002621013 1997-12-31 0.012985944 -> Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list +> Return.portfolio(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list $returns portfolio.returns 1997-01-31 0.033400000 @@ -3977,7 +3977,7 @@ > # with a weights object > data(weights) # rebalance at the beginning of the year to various weights through time > chart.StackedBar(weights) -> x <- Return.rebalancing(edhec["2000::",1:11], weights=weights,verbose=TRUE) +> x <- Return.portfolio(edhec["2000::",1:11], weights=weights,verbose=TRUE) > chart.CumReturns(x$returns) > chart.StackedBar(x$BOP.Weight) > chart.StackedBar(x$BOP.Value) @@ -8176,7 +8176,7 @@ > ### > options(digits = 7L) > base::cat("Time elapsed: ", proc.time() - base::get("ptime", pos = 'CheckExEnv'),"\n") -Time elapsed: 63.363 1.601 84.903 0 0 +Time elapsed: 62.721 1.582 85.601 0 0 > grDevices::dev.off() pdf 2 From noreply at r-forge.r-project.org Sun Sep 14 02:53:00 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 02:53:00 +0200 (CEST) Subject: [Returnanalytics-commits] r3535 - pkg/PerformanceAnalytics Message-ID: <20140914005300.8F9F81873F4@r-forge.r-project.org> Author: braverock Date: 2014-09-14 02:53:00 +0200 (Sun, 14 Sep 2014) New Revision: 3535 Modified: pkg/PerformanceAnalytics/DESCRIPTION Log: - change Authors and Contributors fields to Authors at R to address yet another suggestion that is actually a requirement from CRAN Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 22:12:20 UTC (rev 3534) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 00:53:00 UTC (rev 3535) @@ -1,10 +1,17 @@ Package: PerformanceAnalytics Type: Package Title: Econometric tools for performance and risk analysis. -Version: 1.4.3534 +Authors at R: c( + person(given=c("Brian","G."),family="Peterson",role=c("cre","aut","cph"), email="brian at braverock.com") + , person(given="Peter",family="Carl",role=c("aut","cph"), email="peter at braverock.com") + , person(given="Kris",family="Boudt",role="ctb") + , person(given="Ross",family="Bennett",role="ctb") + , person(given="Joshua",family="Ulrich",role="ctb") + , person(given="Eric",family="Zivot",role="ctb") + , person(given="Matthieu",family="Lestel",role="ctb") + ) +Version: 1.4.3535 Date: $Date$ -Author: Peter Carl, Brian G. Peterson -Maintainer: Brian G. Peterson Description: Collection of econometric functions for performance and risk analysis. This package aims to aid practitioners and researchers in utilizing the latest @@ -27,11 +34,10 @@ robustbase, quantreg, gplots -License: GPL +License: GPL-2 | GPL-3 URL: http://r-forge.r-project.org/projects/returnanalytics/ Copyright: (c) 2004-2014 -Contributors: Kris Boudt, Ross Bennett, Josh Ulrich, Eric Zivot, Matthieu Lestel -Thanks: A special thanks for additional contributions or patches from +Thanks: A special thanks for additional testing, suggestions, or patches from Ram Ahluwalia, Stefan Albrecht, Andrii Babii, Khahn Nygyen, R. Douglas Martin, Jeff Ryan, Sankalp Upadhyay, Tobias Verbeke, H. Felix Wittmann, Diethelm Wuertz From noreply at r-forge.r-project.org Sun Sep 14 03:40:57 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 03:40:57 +0200 (CEST) Subject: [Returnanalytics-commits] r3536 - in pkg/PerformanceAnalytics: . man Message-ID: <20140914014057.C8CE4186C8C@r-forge.r-project.org> Author: braverock Date: 2014-09-14 03:40:56 +0200 (Sun, 14 Sep 2014) New Revision: 3536 Modified: pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd Log: - move all Thanks to the documentation, it is now against CRAN policies to thank people in the DESCRIPTION file. Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 00:53:00 UTC (rev 3535) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 01:40:56 UTC (rev 3536) @@ -10,7 +10,7 @@ , person(given="Eric",family="Zivot",role="ctb") , person(given="Matthieu",family="Lestel",role="ctb") ) -Version: 1.4.3535 +Version: 1.4.3536 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid @@ -37,7 +37,3 @@ License: GPL-2 | GPL-3 URL: http://r-forge.r-project.org/projects/returnanalytics/ Copyright: (c) 2004-2014 -Thanks: A special thanks for additional testing, suggestions, or patches from - Ram Ahluwalia, Stefan Albrecht, Andrii Babii, - Khahn Nygyen, R. Douglas Martin, Jeff Ryan, Sankalp Upadhyay, - Tobias Verbeke, H. Felix Wittmann, Diethelm Wuertz Modified: pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd =================================================================== --- pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-14 00:53:00 UTC (rev 3535) +++ pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-14 01:40:56 UTC (rev 3536) @@ -266,7 +266,7 @@ Prototypes of the drawdowns functionality were provided by Sankalp Upadhyay, and modified with permission. Stephan Albrecht provided detailed feedback on the Getmansky/Lo Smoothing Index. Diethelm Wuertz provided prototypes of modified VaR and skewness and kurtosis functions (and is of course the maintainer of the RMetrics suite of pricing and optimization functions). He also contributed prototypes for many other functions from Bacon's book that were incorporated into PerformanceAnalytics by Matthieu Lestel. Any errors are, of course, our own. -Thanks to Joe Wayne Byers and Dirk Eddelbuettel for comments on early versions of these functions, and to Khanh Nguyen and Ryan Sheftel for careful testing and detailed problem reports. +Thanks to Joe Wayne Byers and Dirk Eddelbuettel for comments on early versions of these functions, and to Khanh Nguyen Tobias Verbeke, H. Felix Wittmann, and Ryan Sheftel for careful testing and detailed problem reports. Thanks also to our Google Summer of Code students through the years for their contributions. Significant contributions from GSOC students to this package have come from Matthieu Lestel and Andrii Babii so far. We expect to eventually incorporate contributions from Pulkit Mehrotra and Shubhankit Mohan, who worked with us during the summer of 2013. From noreply at r-forge.r-project.org Sun Sep 14 03:51:48 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 03:51:48 +0200 (CEST) Subject: [Returnanalytics-commits] r3537 - pkg/PerformanceAnalytics/man Message-ID: <20140914015149.171C71872E2@r-forge.r-project.org> Author: braverock Date: 2014-09-14 03:51:47 +0200 (Sun, 14 Sep 2014) New Revision: 3537 Modified: pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd Log: - add missing comma Modified: pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd =================================================================== --- pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-14 01:40:56 UTC (rev 3536) +++ pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd 2014-09-14 01:51:47 UTC (rev 3537) @@ -266,7 +266,7 @@ Prototypes of the drawdowns functionality were provided by Sankalp Upadhyay, and modified with permission. Stephan Albrecht provided detailed feedback on the Getmansky/Lo Smoothing Index. Diethelm Wuertz provided prototypes of modified VaR and skewness and kurtosis functions (and is of course the maintainer of the RMetrics suite of pricing and optimization functions). He also contributed prototypes for many other functions from Bacon's book that were incorporated into PerformanceAnalytics by Matthieu Lestel. Any errors are, of course, our own. -Thanks to Joe Wayne Byers and Dirk Eddelbuettel for comments on early versions of these functions, and to Khanh Nguyen Tobias Verbeke, H. Felix Wittmann, and Ryan Sheftel for careful testing and detailed problem reports. +Thanks to Joe Wayne Byers and Dirk Eddelbuettel for comments on early versions of these functions, and to Khanh Nguyen, Tobias Verbeke, H. Felix Wittmann, and Ryan Sheftel for careful testing and detailed problem reports. Thanks also to our Google Summer of Code students through the years for their contributions. Significant contributions from GSOC students to this package have come from Matthieu Lestel and Andrii Babii so far. We expect to eventually incorporate contributions from Pulkit Mehrotra and Shubhankit Mohan, who worked with us during the summer of 2013. From noreply at r-forge.r-project.org Sun Sep 14 14:10:41 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 14:10:41 +0200 (CEST) Subject: [Returnanalytics-commits] r3538 - pkg/PerformanceAnalytics Message-ID: <20140914121041.A88EE185F8D@r-forge.r-project.org> Author: braverock Date: 2014-09-14 14:10:41 +0200 (Sun, 14 Sep 2014) New Revision: 3538 Modified: pkg/PerformanceAnalytics/DESCRIPTION Log: - add Kris to 'cph' designation, per Kurt Hornick for CRAN team Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 01:51:47 UTC (rev 3537) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 12:10:41 UTC (rev 3538) @@ -4,13 +4,14 @@ Authors at R: c( person(given=c("Brian","G."),family="Peterson",role=c("cre","aut","cph"), email="brian at braverock.com") , person(given="Peter",family="Carl",role=c("aut","cph"), email="peter at braverock.com") - , person(given="Kris",family="Boudt",role="ctb") + , person(given="Kris",family="Boudt",role=c("ctb","cph")) , person(given="Ross",family="Bennett",role="ctb") , person(given="Joshua",family="Ulrich",role="ctb") , person(given="Eric",family="Zivot",role="ctb") , person(given="Matthieu",family="Lestel",role="ctb") + , person(given="Kyle",family="Balkissoon",role="ctb") ) -Version: 1.4.3536 +Version: 1.4.3538 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid From noreply at r-forge.r-project.org Sun Sep 14 14:28:48 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 14:28:48 +0200 (CEST) Subject: [Returnanalytics-commits] r3539 - pkg/PerformanceAnalytics/R Message-ID: <20140914122848.8B2771876F9@r-forge.r-project.org> Author: braverock Date: 2014-09-14 14:28:48 +0200 (Sun, 14 Sep 2014) New Revision: 3539 Modified: pkg/PerformanceAnalytics/R/zerofill.R Log: - remove Kris from copyright banner for zerofill, Ross (and Brian) wrote this Modified: pkg/PerformanceAnalytics/R/zerofill.R =================================================================== --- pkg/PerformanceAnalytics/R/zerofill.R 2014-09-14 12:10:41 UTC (rev 3538) +++ pkg/PerformanceAnalytics/R/zerofill.R 2014-09-14 12:28:48 UTC (rev 3539) @@ -1,7 +1,7 @@ ############################################################################### # R (http://r-project.org/) Numeric Methods for Optimization of Portfolios # -# Copyright (c) 2004-2014 Kris Boudt, Peter Carl and Brian G. Peterson +# Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson # # This R package is distributed under the terms of the GNU Public License (GPL) # for full details see the file COPYING @@ -10,10 +10,6 @@ # ############################################################################### - - - - #' zerofill #' #' Fill NA's with zeros in a time series to allow analysis when the data must From noreply at r-forge.r-project.org Sun Sep 14 15:22:20 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Sun, 14 Sep 2014 15:22:20 +0200 (CEST) Subject: [Returnanalytics-commits] r3540 - pkg/PerformanceAnalytics Message-ID: <20140914132220.54F1A1876E1@r-forge.r-project.org> Author: braverock Date: 2014-09-14 15:22:19 +0200 (Sun, 14 Sep 2014) New Revision: 3540 Modified: pkg/PerformanceAnalytics/DESCRIPTION Log: - add Diethelm to 'ctb' designation Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 12:28:48 UTC (rev 3539) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 13:22:19 UTC (rev 3540) @@ -10,8 +10,9 @@ , person(given="Eric",family="Zivot",role="ctb") , person(given="Matthieu",family="Lestel",role="ctb") , person(given="Kyle",family="Balkissoon",role="ctb") + , person(given="Diethelm",family="Wuertz",role="ctb") ) -Version: 1.4.3538 +Version: 1.4.3540 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid From noreply at r-forge.r-project.org Mon Sep 15 11:39:58 2014 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Mon, 15 Sep 2014 11:39:58 +0200 (CEST) Subject: [Returnanalytics-commits] r3541 - in pkg/PerformanceAnalytics: . R man tests/Examples vignettes Message-ID: <20140915093958.A7C081833BB@r-forge.r-project.org> Author: braverock Date: 2014-09-15 11:39:58 +0200 (Mon, 15 Sep 2014) New Revision: 3541 Modified: pkg/PerformanceAnalytics/ChangeLog pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/R/chart.BarVaR.R pkg/PerformanceAnalytics/R/zzz.R pkg/PerformanceAnalytics/man/chart.BarVaR.Rd pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw Log: - updates to pass R CMD check for CRAN, per Kurt Hornik Modified: pkg/PerformanceAnalytics/ChangeLog =================================================================== --- pkg/PerformanceAnalytics/ChangeLog 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/ChangeLog 2014-09-15 09:39:58 UTC (rev 3541) @@ -1,5 +1,24 @@ +2014-09-14 braverock + + * DESCRIPTION: - add Diethelm to 'ctb' designation + * R/zerofill.R: - remove Kris from copyright banner for zerofill, + Ross (and Brian) wrote this + * DESCRIPTION: - add Kris to 'cph' designation, per Kurt Hornick + for CRAN team + * man/PerformanceAnalytics-package.Rd: - add missing comma + * DESCRIPTION, man/PerformanceAnalytics-package.Rd: - move all + Thanks to the documentation, it is now against CRAN policies to + thank people in the DESCRIPTION file. + * DESCRIPTION: - change Authors and Contributors fields to + Authors at R to address yet another suggestion that is actually a + requirement from CRAN + 2014-09-12 braverock + * .Rbuildignore, ChangeLog, DESCRIPTION, NEWS, + tests/Examples/PerformanceAnalytics-Ex.Rout.save: - minor updates + prior to CRAN submit + - bump version to 1.4.3534 * DESCRIPTION, NAMESPACE, man/AverageDrawdown.Rd: - minor updates prior to CRAN release Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-15 09:39:58 UTC (rev 3541) @@ -1,6 +1,6 @@ Package: PerformanceAnalytics Type: Package -Title: Econometric tools for performance and risk analysis. +Title: Econometric tools for performance and risk analysis Authors at R: c( person(given=c("Brian","G."),family="Peterson",role=c("cre","aut","cph"), email="brian at braverock.com") , person(given="Peter",family="Carl",role=c("aut","cph"), email="peter at braverock.com") @@ -12,7 +12,7 @@ , person(given="Kyle",family="Balkissoon",role="ctb") , person(given="Diethelm",family="Wuertz",role="ctb") ) -Version: 1.4.3540 +Version: 1.4.3541 Date: $Date$ Description: Collection of econometric functions for performance and risk analysis. This package aims to aid Modified: pkg/PerformanceAnalytics/R/chart.BarVaR.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.BarVaR.R 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/R/chart.BarVaR.R 2014-09-15 09:39:58 UTC (rev 3541) @@ -83,12 +83,16 @@ #' main="... with Empirical VaR from Inception") #' #' # with lines for all managers in the sample +#' #' chart.BarVaR(managers[,1:6], #' methods="GaussianVaR", #' all=TRUE, lty=1, lwd=2, #' colorset= c("red", rep("gray", 5)), #' main="... with Gaussian VaR and Estimates for Peers") #' +#' \dontrun{ +#' # not run on CRAN because of example time +#' #' # with multiple methods #' chart.BarVaR(managers[,1,drop=FALSE], #' methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), @@ -113,6 +117,7 @@ #' lwd=2, ypad=.01, clean="boudt", #' show.horizontal=TRUE, lty=2, #' main="... with Robust ModVaR and Line for Identifying Exceptions") +#' } #' #' @rdname chart.BarVaR #' @export Modified: pkg/PerformanceAnalytics/R/zzz.R =================================================================== --- pkg/PerformanceAnalytics/R/zzz.R 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/R/zzz.R 2014-09-15 09:39:58 UTC (rev 3541) @@ -6,7 +6,9 @@ if(interactive() || getOption("verbose")) { # not in test scripts MSG(paste("\nPackage ", pkg, " (",dsc$Version,") loaded.\n", - dsc$Title, "\n", dsc$Copyright, " ", dsc$Author, ". License: ", dsc$License, "\n", dsc$URL, + # dsc$Title, "\n", + "Copyright (c) 2004-2014 Peter Carl and Brian G. Peterson, ", + dsc$License, "\n", dsc$URL, "\n", sep="")) } } Modified: pkg/PerformanceAnalytics/man/chart.BarVaR.Rd =================================================================== --- pkg/PerformanceAnalytics/man/chart.BarVaR.Rd 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/man/chart.BarVaR.Rd 2014-09-15 09:39:58 UTC (rev 3541) @@ -120,12 +120,16 @@ main="... with Empirical VaR from Inception") # with lines for all managers in the sample + chart.BarVaR(managers[,1:6], methods="GaussianVaR", all=TRUE, lty=1, lwd=2, colorset= c("red", rep("gray", 5)), main="... with Gaussian VaR and Estimates for Peers") +\dontrun{ +# not run on CRAN because of example time + # with multiple methods chart.BarVaR(managers[,1,drop=FALSE], methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), @@ -151,6 +155,7 @@ show.horizontal=TRUE, lty=2, main="... with Robust ModVaR and Line for Identifying Exceptions") } +} \author{ Peter Carl } Modified: pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save =================================================================== --- pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-15 09:39:58 UTC (rev 3541) @@ -5248,43 +5248,45 @@ + main="... with Empirical VaR from Inception") > > # with lines for all managers in the sample +> > chart.BarVaR(managers[,1:6], + methods="GaussianVaR", + all=TRUE, lty=1, lwd=2, + colorset= c("red", rep("gray", 5)), + main="... with Gaussian VaR and Estimates for Peers") > -> # with multiple methods -> chart.BarVaR(managers[,1,drop=FALSE], -+ methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), -+ main="... with Multiple Methods") +> ## Not run: +> ##D # not run on CRAN because of example time +> ##D +> ##D # with multiple methods +> ##D chart.BarVaR(managers[,1,drop=FALSE], +> ##D methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), +> ##D main="... with Multiple Methods") +> ##D +> ##D # cleaned up a bit +> ##D chart.BarVaR(managers[,1,drop=FALSE], +> ##D methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), +> ##D lwd=2, ypad=.01, +> ##D main="... with Padding for Bottom Legend") +> ##D +> ##D # with 'cleaned' data for VaR estimates +> ##D chart.BarVaR(managers[,1,drop=FALSE], +> ##D methods=c("HistoricalVaR", "ModifiedVaR"), +> ##D lwd=2, ypad=.01, clean="boudt", +> ##D main="... with Robust ModVaR Estimate") +> ##D +> ##D # Cornish Fisher VaR estimated with cleaned data, +> ##D # with horizontal line to show exceptions +> ##D chart.BarVaR(managers[,1,drop=FALSE], +> ##D methods="ModifiedVaR", +> ##D lwd=2, ypad=.01, clean="boudt", +> ##D show.horizontal=TRUE, lty=2, +> ##D main="... with Robust ModVaR and Line for Identifying Exceptions") +> ## End(Not run) > -> # cleaned up a bit -> chart.BarVaR(managers[,1,drop=FALSE], -+ methods=c("HistoricalVaR", "ModifiedVaR", "GaussianVaR"), -+ lwd=2, ypad=.01, -+ main="... with Padding for Bottom Legend") > -> # with 'cleaned' data for VaR estimates -> chart.BarVaR(managers[,1,drop=FALSE], -+ methods=c("HistoricalVaR", "ModifiedVaR"), -+ lwd=2, ypad=.01, clean="boudt", -+ main="... with Robust ModVaR Estimate") > -> # Cornish Fisher VaR estimated with cleaned data, -> # with horizontal line to show exceptions -> chart.BarVaR(managers[,1,drop=FALSE], -+ methods="ModifiedVaR", -+ lwd=2, ypad=.01, clean="boudt", -+ show.horizontal=TRUE, lty=2, -+ main="... with Robust ModVaR and Line for Identifying Exceptions") -> -> -> > cleanEx() - -detaching ?package:robustbase? - > nameEx("chart.Boxplot") > ### * chart.Boxplot > @@ -6955,21 +6957,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -6989,7 +6984,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.Arbitrary") > ### * table.Arbitrary @@ -7135,21 +7130,14 @@ > # prettify with format.df in hmisc package > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7170,7 +7158,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.CaptureRatios") > ### * table.CaptureRatios @@ -7252,21 +7240,14 @@ > rownames(result)=colnames(managers[,1:6]) > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7285,7 +7266,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.Distributions") > ### * table.Distributions @@ -7317,21 +7298,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7349,7 +7323,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.DownsideRisk") > ### * table.DownsideRisk @@ -7440,21 +7414,14 @@ > result=t(table.DownsideRisk(edhec, Rf=.04/12, MAR =.05/12, p=.95)) > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7470,7 +7437,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.DownsideRiskRatio") > ### * table.DownsideRiskRatio @@ -7506,21 +7473,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7538,7 +7498,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.Drawdowns") > ### * table.Drawdowns @@ -7612,21 +7572,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7644,7 +7597,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.HigherMoments") > ### * table.HigherMoments @@ -7669,21 +7622,14 @@ > rownames(result)=colnames(managers[,1:6]) > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7699,7 +7645,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.InformationRatio") > ### * table.InformationRatio @@ -7725,21 +7671,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7757,7 +7696,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.MonthlyReturns") > ### * table.MonthlyReturns @@ -7850,21 +7789,14 @@ > result=t(table.Stats(edhec)) > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7879,7 +7811,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.ProbOutPerformance") > ### * table.ProbOutPerformance @@ -7948,21 +7880,14 @@ > result=table.TrailingPeriods(edhec[,10:13], periods=c(12,24,36)) > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -7978,7 +7903,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.SpecificRisk") > ### * table.SpecificRisk @@ -8000,21 +7925,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -8032,7 +7950,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("table.Variability") > ### * table.Variability @@ -8058,21 +7976,14 @@ > > require("Hmisc") Loading required package: Hmisc +Loading required package: grid +Loading required package: lattice Loading required package: survival Loading required package: splines Loading required package: Formula -Hmisc library by Frank E Harrell Jr -Type library(help='Hmisc'), ?Overview, or ?Hmisc.Overview') -to see overall documentation. - - Attaching package: ?Hmisc? -The following objects are masked from ?package:survival?: - - survfitKM, untangle.specials - The following objects are masked from ?package:base?: format.pval, round.POSIXt, trunc.POSIXt, units @@ -8090,7 +8001,7 @@ > cleanEx() detaching ?package:Hmisc?, ?package:Formula?, ?package:survival?, - ?package:splines? + ?package:splines?, ?package:lattice?, ?package:grid? > nameEx("textplot") > ### * textplot @@ -8176,7 +8087,7 @@ > ### > options(digits = 7L) > base::cat("Time elapsed: ", proc.time() - base::get("ptime", pos = 'CheckExEnv'),"\n") -Time elapsed: 62.721 1.582 85.601 0 0 +Time elapsed: 45.537 1.744 47.545 0 0 > grDevices::dev.off() pdf 2 Modified: pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw =================================================================== --- pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsChartsPresentation-Meielisalp-2007.Rnw 2014-09-15 09:39:58 UTC (rev 3541) @@ -12,10 +12,6 @@ %\VignetteKeywords{returns, performance, risk, benchmark, portfolio} %\VignettePackage{PerformanceAnalytics} -% - Talk at a conference/colloquium. -% - Talk length is about 60min. - -% Beamer Presentation Template Copyright 2004 by Till Tantau . % Contents Copyright 2007 Peter Carl and Brian G. Peterson % % This file can be redistributed and/or modified under @@ -23,43 +19,29 @@ \mode { -% \usetheme{CambridgeUS} - % or ... - -% \setbeamercovered{transparent} - % or whatever (possibly just delete it) +% \usetheme{whatever} } \makeatletter -%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Textclass specific LaTeX commands. -%%\usepackage{noweb} +%%% \usepackage{subfigure} -%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% User specified LaTeX commands. \usepackage[english]{babel} \makeatother \usepackage[latin1]{inputenc} -% or whatever \usepackage{times} \usepackage[T1]{fontenc} -% Or whatever. Note that the encoding and the font should match. If T1 -% does not look nice, try deleting the line with the fontenc. \title[PerformanceAnalytics] % (optional, use only with long paper titles) {Overview of PerformanceAnalytics' \\ Charts and Tables} - % \subtitle -% {Include Only If Paper Has a Subtitle} -\author[Brian Peterson] % (optional, use only with lots of authors) +\author[Brian Peterson] {Brian~G.~Peterson} -% - Give the names in the same order as the appear in the paper. -% - Use the \inst{?} command only if the authors have different -% affiliation. \institute[Diamond] % (optional, but mostly needed) { @@ -70,27 +52,9 @@ \date[July 2007] % (optional, should be abbreviation of conference name) {R/Rmetrics User and Developer Workshop, 2007} -% - Either use conference name or its abbreviation. -% - Not really informative to the audience, more for people (including -% yourself) who are reading the slides online \subject{Overview of PerformanceAnalytics' Charts and Tables} -% This is only inserted into the PDF information catalog. Can be left -% out. - - -% If you have a file called "university-logo-filename.xxx", where xxx -% is a graphic format that can be processed by latex or pdflatex, -% resp., then you can add a logo as follows: - -% \pgfdeclareimage[height=0.5cm]{university-logo}{university-logo-filename} -% \logo{\pgfuseimage{university-logo}} - - - -% Delete this, if you do not want the table of contents to pop up at -% the beginning of each subsection: \AtBeginSubsection[] { \begin{frame} @@ -100,12 +64,7 @@ } -% If you wish to uncover everything in a step-wise fashion, uncomment -% the following command: - -%\beamerdefaultoverlayspecification{<+->} \begin{document} -%\right] \right\rbrace \right\rangle \right( \begin{document} % this has to be after \begin{document} to work \setkeys{Gin}{width=2.5in} \begin{frame} Modified: pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw =================================================================== --- pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw 2014-09-14 13:22:19 UTC (rev 3540) +++ pkg/PerformanceAnalytics/vignettes/PerformanceAnalyticsPresentation-UseR-2007.Rnw 2014-09-15 09:39:58 UTC (rev 3541) @@ -12,10 +12,6 @@ %\VignetteKeywords{returns, performance, risk, benchmark, portfolio} %\VignettePackage{PerformanceAnalytics} -% - Talk at a conference/colloquium. -% - Talk length is about 60min. - -% Beamer Presentation Template Copyright 2004 by Till Tantau . % Contents Copyright 2007 Peter Carl and Brian G. Peterson % % This file can be redistributed and/or modified under @@ -24,44 +20,29 @@ \mode { \usetheme{default} - % or ... - -% \setbeamercovered{transparent} - % or whatever (possibly just delete it) } \makeatletter -%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% Textclass specific LaTeX commands. -%%\usepackage{noweb} +%%% \usepackage{subfigure} -%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% User specified LaTeX commands. - \usepackage[english]{babel} \makeatother \usepackage[latin1]{inputenc} -% or whatever \usepackage{times} \usepackage[T1]{fontenc} -% Or whatever. Note that the encoding and the font should match. If T1 -% does not look nice, try deleting the line with the fontenc. - \title[PerformanceAnalytics] % (optional, use only with long paper titles) {Exploratory Data Analysis in Finance Using PerformanceAnalytics} % \subtitle -% {Include Only If Paper Has a Subtitle} -\author[Brian Peterson \& Peter Carl] % (optional, use only with lots of authors) +\author[Brian Peterson \& Peter Carl] {Brian~G.~Peterson \& Peter~Carl} -% - Give the names in the same order as the appear in the paper. -% - Use the \inst{?} command only if the authors have different -% affiliation. -\institute[Braverock] % (optional, but mostly needed) +\institute[Braverock] { \inst{1} Diamond Management \& Technology Consultants \\ @@ -72,46 +53,15 @@ Guidance Capital\\ Chicago, IL\\ peter at braverock.com -} %the formatting of our companies is likely to be all screwed up +} -\date[July 2007] % (optional, should be abbreviation of conference name) +\date[July 2007] {UseR! International User and Developer Conference, Ames, Iowa, 8-10 Aug 2007} -% - Either use conference name or its abbreviation. -% - Not really informative to the audience, more for people (including -% yourself) who are reading the slides online \subject{Data Mining using PerformanceAnalytics} -% This is only inserted into the PDF information catalog. Can be left -% out. - - -% If you have a file called "university-logo-filename.xxx", where xxx -% is a graphic format that can be processed by latex or pdflatex, -% resp., then you can add a logo as follows: - -% \pgfdeclareimage[height=0.5cm]{university-logo}{university-logo-filename} -% \logo{\pgfuseimage{university-logo}} - - - -% Delete this, if you do not want the table of contents to pop up at -% the beginning of each subsection: -% \AtBeginSubsection[] -% { -% \begin{frame} -% \frametitle{Outline} -% \tableofcontents[currentsection,currentsubsection] -% \end{frame} -% } - - -% If you wish to uncover everything in a step-wise fashion, uncomment -% the following command: - -%\beamerdefaultoverlayspecification{<+->} +%%% \begin{document} -%\right] \right\rbrace \right\rangle \right( \begin{document} % this has to be after \begin{document} to work \setkeys{Gin}{width=2.5in}