From noreply at r-forge.r-project.org Mon Apr 25 21:38:45 2016 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Mon, 25 Apr 2016 21:38:45 +0200 (CEST) Subject: [Returnanalytics-commits] r4017 - in pkg/PerformanceAnalytics: . R man Message-ID: <20160425193845.689E5181213@r-forge.r-project.org> Author: pteetor Date: 2016-04-25 21:38:44 +0200 (Mon, 25 Apr 2016) New Revision: 4017 Modified: pkg/PerformanceAnalytics/ChangeLog pkg/PerformanceAnalytics/DESCRIPTION pkg/PerformanceAnalytics/R/ActivePremium.R pkg/PerformanceAnalytics/R/chart.Scatter.R pkg/PerformanceAnalytics/R/chart.TimeSeries.R pkg/PerformanceAnalytics/R/chart.TimeSeries.base.R pkg/PerformanceAnalytics/R/charts.RollingPerformance.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.epsilon.Rd pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd pkg/PerformanceAnalytics/man/CalmarRatio.Rd pkg/PerformanceAnalytics/man/DRatio.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/HurstIndex.Rd pkg/PerformanceAnalytics/man/Kappa.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/Modigliani.Rd pkg/PerformanceAnalytics/man/NetSelectivity.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.portfolio.Rd pkg/PerformanceAnalytics/man/Selectivity.Rd pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd pkg/PerformanceAnalytics/man/SpecificRisk.Rd pkg/PerformanceAnalytics/man/SystematicRisk.Rd pkg/PerformanceAnalytics/man/TotalRisk.Rd pkg/PerformanceAnalytics/man/UlcerIndex.Rd pkg/PerformanceAnalytics/man/UpsideFrequency.Rd pkg/PerformanceAnalytics/man/UpsideRisk.Rd pkg/PerformanceAnalytics/man/VaR.Rd pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd pkg/PerformanceAnalytics/man/chart.Drawdown.Rd pkg/PerformanceAnalytics/man/chart.QQPlot.Rd pkg/PerformanceAnalytics/man/chart.Scatter.Rd pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd pkg/PerformanceAnalytics/man/charts.RollingPerformance.Rd pkg/PerformanceAnalytics/man/findDrawdowns.Rd pkg/PerformanceAnalytics/man/lpm.Rd pkg/PerformanceAnalytics/man/skewness.Rd pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd pkg/PerformanceAnalytics/man/table.Drawdowns.Rd pkg/PerformanceAnalytics/man/table.ProbOutPerformance.Rd Log: * New plotting parameter: 'yaxis.pct' (logical) forces the Y axis of some returns-related plots to be displayed as percentages. * R/ActivePremium - Pass thru the "..." parameters of ActivePremium to Return.annualized, letting caller calculate non-geometric returns. Modified: pkg/PerformanceAnalytics/ChangeLog =================================================================== --- pkg/PerformanceAnalytics/ChangeLog 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/ChangeLog 2016-04-25 19:38:44 UTC (rev 4017) @@ -1,3 +1,10 @@ +2016-04-21 pteetor + + * New plotting parameter: 'yaxis.pct' (logical) forces the Y axis + of some returns-related plots to be displayed as percentages. + * R/ActivePremium - Pass thru the "..." parameters of ActivePremium + to Return.annualized, letting caller calculate non-geometric returns. + 2014-09-14 braverock * DESCRIPTION: - add Diethelm to 'ctb' designation Modified: pkg/PerformanceAnalytics/DESCRIPTION =================================================================== --- pkg/PerformanceAnalytics/DESCRIPTION 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/DESCRIPTION 2016-04-25 19:38:44 UTC (rev 4017) @@ -39,5 +39,5 @@ gplots License: GPL-2 | GPL-3 URL: http://r-forge.r-project.org/projects/returnanalytics/ -Copyright: (c) 2004-2015 -RoxygenNote: 4.1.1.9001 +Copyright: (c) 2004-2016 +RoxygenNote: 5.0.1 Modified: pkg/PerformanceAnalytics/R/ActivePremium.R =================================================================== --- pkg/PerformanceAnalytics/R/ActivePremium.R 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/R/ActivePremium.R 2016-04-25 19:38:44 UTC (rev 4017) @@ -10,13 +10,15 @@ #' #' @param Ra return vector of the portfolio #' @param Rb return vector of the benchmark asset -#' @param scale number of periods in a year (daily scale = 252, monthly scale = -#' 12, quarterly scale = 4) +#' @param scale number of periods in a year +#' (daily scale = 252, monthly scale = 12, quarterly scale = 4) +#' @param ... any other passthru parameters to Return.annualized +#' (e.g., \code{geometric=FALSE}) #' @author Peter Carl #' @seealso \code{\link{InformationRatio}} \code{\link{TrackingError}} -#' \code{\link{Return.annualized}} +#' \code{\link{Return.annualized}} #' @references Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio -#' Management},Fall 1994, 49-58. +#' Management}, Fall 1994, 49-58. ###keywords ts multivariate distribution models #' @examples #' @@ -30,7 +32,7 @@ #' ActivePremium #' ActiveReturn #' @export ActiveReturn ActivePremium -ActiveReturn <- ActivePremium <- function (Ra, Rb, scale = NA) +ActiveReturn <- ActivePremium <- function (Ra, Rb, scale = NA, ...) { # @author Peter Carl # FUNCTION @@ -55,16 +57,17 @@ ) } - ap <-function (Ra, Rb, scale) + ap <- function (Ra, Rb, scale) { merged = na.omit(merge(Ra, Rb)) # align - ap = (Return.annualized(merged[,1], scale = scale) - Return.annualized(merged[,2], scale = scale)) + ap = (Return.annualized(merged[,1], scale = scale, ...) + - Return.annualized(merged[,2], scale = scale, ...)) ap } result = apply(pairs, 1, FUN = function(n, Ra, Rb, scale) ap(Ra[,n[1]], Rb[,n[2]], scale), Ra = Ra, Rb = Rb, scale = scale) - if(length(result) ==1) + if(length(result) == 1) return(result) else { dim(result) = c(Ra.ncols, Rb.ncols) Modified: pkg/PerformanceAnalytics/R/chart.Scatter.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.Scatter.R 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/R/chart.Scatter.R 2016-04-25 19:38:44 UTC (rev 4017) @@ -39,7 +39,7 @@ #' #' @export chart.Scatter <- -function (x, y, reference.grid = TRUE, main = "Title", ylab=NULL, xlab=NULL, xlim = NA, ylim = NA, colorset = 1, symbolset = 1, element.color = "darkgray", cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.main = 1, ...) +function (x, y, reference.grid = TRUE, main = "Title", ylab=NULL, xlab=NULL, xlim = NULL, ylim = NULL, colorset = 1, symbolset = 1, element.color = "darkgray", cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.main = 1, ...) { # @author Peter Carl # DESCRIPTION: @@ -67,7 +67,10 @@ y = checkData(y, method = "vector") # pass in: cex.axis = cex.axis, cex.main = cex.main, cex.lab = cex.lab - plot(y~x, main = main, pch = symbolset, col=colorset, ...) + plot(y ~ x, main = main, pch = symbolset, col=colorset, + ylab = ylab, xlab = xlab, xlim = xlim, ylim = ylim, + ## cex.axis = cex.axis, cex.legend = cex.legend, cex.lab = cex.lab, cex.main = cex.main, + ...) if(reference.grid) { grid(col = element.color) Modified: pkg/PerformanceAnalytics/R/chart.TimeSeries.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.TimeSeries.R 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/R/chart.TimeSeries.R 2016-04-25 19:38:44 UTC (rev 4017) @@ -27,7 +27,7 @@ #' @param date.format re-format the dates for the xaxis; the default is "\%m/\%y" #' @param xlim set the x-axis limit, same as in \code{\link{plot}} #' @param ylim set the y-axis limit, same as in \code{\link{plot}} -#' @param event.lines If not null, vertical lines will be drawn to indicate +#' @param event.lines if not null, vertical lines will be drawn to indicate #' that an event happened during that time period. \code{event.lines} should #' be a list of dates (e.g., \code{c("09/03","05/06"))} formatted the same as #' date.format. This function matches the re-formatted row names (dates) with @@ -70,6 +70,7 @@ #' NULL #' @param space default 0 #' @param dygraphPlot Plot using dygraphs default FALSE +#' @param yaxis.pct if TRUE, scales the y axis labels by 100 #' @param \dots any other passthru parameters #' @author Peter Carl #' @seealso \code{\link{plot}}, \code{\link{par}}, @@ -182,7 +183,8 @@ grid.color="lightgray", grid.lty="dotted", xaxis.labels = NULL, - dygraphPlot=FALSE) + dygraphPlot=FALSE, + yaxis.pct=FALSE) { # @author Peter Carl, Brian Peterson # DESCRIPTION: @@ -285,7 +287,8 @@ minor.ticks, grid.color, grid.lty, - xaxis.labels,...) + xaxis.labels, + yaxis.pct, ...) Modified: pkg/PerformanceAnalytics/R/chart.TimeSeries.base.R =================================================================== --- pkg/PerformanceAnalytics/R/chart.TimeSeries.base.R 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/R/chart.TimeSeries.base.R 2016-04-25 19:38:44 UTC (rev 4017) @@ -34,7 +34,8 @@ minor.ticks=TRUE, grid.color="lightgray", grid.lty="dotted", - xaxis.labels = NULL, ...) + xaxis.labels = NULL, + yaxis.pct = FALSE, ...) { # @author Peter Carl, Brian Peterson # DESCRIPTION: @@ -196,11 +197,18 @@ } # set up y-axis - if (yaxis) - if(yaxis.right) - axis(4, cex.axis = cex.axis, col=element.color, ylog=ylog, las=las) - else - axis(2, cex.axis = cex.axis, col=element.color, ylog=ylog, las=las) + if (yaxis) { + yaxis.side = if (yaxis.right) 4 else 2 + if(yaxis.pct) { + at = axTicks(yaxis.side, log=ylog) + labels = sprintf("%s", 100*at) + } else { + at = NULL + labels = TRUE + } + axis(yaxis.side, cex.axis = cex.axis, col=element.color, ylog=ylog, las=las, + at=at, labels=labels) + } box(col = element.color) if(!is.null(legend.loc)){ Modified: pkg/PerformanceAnalytics/R/charts.RollingPerformance.R =================================================================== --- pkg/PerformanceAnalytics/R/charts.RollingPerformance.R 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/R/charts.RollingPerformance.R 2016-04-25 19:38:44 UTC (rev 4017) @@ -14,6 +14,8 @@ #' @param legend.loc places a legend into one of nine locations on the chart: #' bottomright, bottom, bottomleft, left, topleft, top, topright, right, or #' center. +#' @param yaxis.pct if TRUE, scale by 100 the y axis of +#' the charts of returns and standard deviation. #' @param \dots any other passthru parameters #' @author Peter Carl #' @seealso \code{\link{chart.RollingPerformance}} @@ -29,7 +31,7 @@ #' #' @export charts.RollingPerformance <- -function (R, width = 12, Rf = 0, main = NULL, event.labels = NULL, legend.loc=NULL, ...) +function (R, width = 12, Rf = 0, main = NULL, event.labels = NULL, legend.loc=NULL, yaxis.pct=FALSE, ...) { # @author Peter Carl # DESCRIPTION: @@ -82,15 +84,15 @@ par(mar=c(1,4,4,2)) # The first row is the annualized returns - chart.RollingPerformance(R, width = width, main = main, xaxis = FALSE, ylab = "Annualized Return", FUN = "Return.annualized", legend.loc = legend.loc, event.labels = event.labels, ...) + chart.RollingPerformance(R, width = width, main = main, xaxis = FALSE, ylab = "Annualized Return", FUN = "Return.annualized", legend.loc = legend.loc, event.labels = event.labels, yaxis.pct = yaxis.pct, ...) # The second row is the annualized standard deviation par(mar=c(1,4,0,2)) - chart.RollingPerformance(R, width = width, main = "", xaxis = FALSE, ylab = "Annualized Standard Deviation", FUN = "StdDev.annualized", event.labels= NULL, ...) + chart.RollingPerformance(R, width = width, main = "", xaxis = FALSE, ylab = "Annualized Standard Deviation", FUN = "StdDev.annualized", event.labels= NULL, yaxis.pct = yaxis.pct, ...) - # The third row is the annualized SR + # The third row is the annualized Sharpe Ratio par(mar=c(5,4,0,2)) - chart.RollingPerformance(R, width = width, main = "", ylab = "Annualized Sharpe Ratio", Rf = Rf, FUN = "SharpeRatio.annualized", event.labels= NULL, ...) + chart.RollingPerformance(R, width = width, main = "", ylab = "Annualized Sharpe Ratio", Rf = Rf, FUN = "SharpeRatio.annualized", event.labels= NULL, yaxis.pct = FALSE, ...) par(op) } Modified: pkg/PerformanceAnalytics/man/ActivePremium.Rd =================================================================== --- pkg/PerformanceAnalytics/man/ActivePremium.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/ActivePremium.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -5,15 +5,18 @@ \alias{ActiveReturn} \title{Active Premium or Active Return} \usage{ -ActiveReturn(Ra, Rb, scale = NA) +ActiveReturn(Ra, Rb, scale = NA, ...) } \arguments{ \item{Ra}{return vector of the portfolio} \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)} + +\item{...}{any other passthru parameters to Return.annualized +(e.g., \code{geometric=FALSE})} } \description{ The return on an investment's annualized return minus the benchmark's @@ -38,10 +41,10 @@ } \references{ Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio -Management},Fall 1994, 49-58. + Management}, Fall 1994, 49-58. } \seealso{ \code{\link{InformationRatio}} \code{\link{TrackingError}} -\code{\link{Return.annualized}} + \code{\link{Return.annualized}} } Modified: pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/AdjustedSharpeRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -39,6 +39,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.99 - } Modified: pkg/PerformanceAnalytics/man/AppraisalRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/AppraisalRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/AppraisalRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -57,6 +57,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.77 - } Modified: pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/BernardoLedoitRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -37,6 +37,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.95 - } Modified: pkg/PerformanceAnalytics/man/BetaCoMoments.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BetaCoMoments.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/BetaCoMoments.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -41,8 +41,6 @@ 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. @@ -128,6 +126,5 @@ 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}. - } Modified: pkg/PerformanceAnalytics/man/BurkeRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/BurkeRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/BurkeRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -47,6 +47,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.90-91 - } Modified: pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd =================================================================== --- pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,6 +43,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.71 - } Modified: pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd =================================================================== --- pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/CAPM.jensenAlpha.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,6 +43,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.72 - } Modified: pkg/PerformanceAnalytics/man/CalmarRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/CalmarRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/CalmarRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -59,7 +59,6 @@ and Attribution}. Wiley. 2004. } \seealso{ - \code{\link{Return.annualized}}, \cr \code{\link{maxDrawdown}}, \cr \code{\link{SharpeRatio.modified}}, \cr Modified: pkg/PerformanceAnalytics/man/DRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/DRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/DRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -45,6 +45,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.95 - } Modified: pkg/PerformanceAnalytics/man/DownsideFrequency.Rd =================================================================== --- pkg/PerformanceAnalytics/man/DownsideFrequency.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/DownsideFrequency.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,6 +43,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.94 - } Modified: pkg/PerformanceAnalytics/man/DrawdownPeak.Rd =================================================================== --- pkg/PerformanceAnalytics/man/DrawdownPeak.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/DrawdownPeak.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -17,6 +17,5 @@ } \author{ Matthieu Lestel - } Modified: pkg/PerformanceAnalytics/man/ES.Rd =================================================================== --- pkg/PerformanceAnalytics/man/ES.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/ES.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -141,6 +141,5 @@ \seealso{ \code{\link{VaR}} \cr \code{\link{SharpeRatio.modified}} \cr \code{\link{chart.VaRSensitivity}} \cr \code{\link{Return.clean}} - } Modified: pkg/PerformanceAnalytics/man/FamaBeta.Rd =================================================================== --- pkg/PerformanceAnalytics/man/FamaBeta.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/FamaBeta.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.78 - } Modified: pkg/PerformanceAnalytics/man/Frequency.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Frequency.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/Frequency.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -24,6 +24,5 @@ } \author{ Matthieu Lestel - } Modified: pkg/PerformanceAnalytics/man/HurstIndex.Rd =================================================================== --- pkg/PerformanceAnalytics/man/HurstIndex.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/HurstIndex.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -39,14 +39,12 @@ memory' effect in share prices. } \references{ - Clarkson, R. (2001) FARM: a financial actuarial risk model. In Chapter 12 of Managing Downside Risk in Financial Markets, ed. Sortino, F. and Satchel, S. Woburn MA. Butterworth-Heinemann Finance. Peters, E.E (1991) Chaos and Order in Capital Markets, New York: Wiley. -Bacon, Carl. (2008) Practical Portfolio Performance Measurement and Attribution, 2nd Edition. London: John Wiley & Sons. - +Bacon, Carl. (2008) Practical Portfolio Performance Measurement and Attribution, 2nd Edition. London: John Wiley & Sons. } Modified: pkg/PerformanceAnalytics/man/Kappa.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Kappa.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/Kappa.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -59,7 +59,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.96 - - } Modified: pkg/PerformanceAnalytics/man/M2Sortino.Rd =================================================================== --- pkg/PerformanceAnalytics/man/M2Sortino.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/M2Sortino.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -44,6 +44,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.102-103 - } Modified: pkg/PerformanceAnalytics/man/MSquared.Rd =================================================================== --- pkg/PerformanceAnalytics/man/MSquared.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/MSquared.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,6 +43,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.67-68 - } Modified: pkg/PerformanceAnalytics/man/MSquaredExcess.Rd =================================================================== --- pkg/PerformanceAnalytics/man/MSquaredExcess.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/MSquaredExcess.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -46,6 +46,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.68 - } Modified: pkg/PerformanceAnalytics/man/MartinRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/MartinRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/MartinRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.91 - } Modified: pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd =================================================================== --- pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/MeanAbsoluteDeviation.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -36,6 +36,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.62 - } Modified: pkg/PerformanceAnalytics/man/Modigliani.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Modigliani.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/Modigliani.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,7 +43,7 @@ Andrii Babii, Brian G. Peterson } \references{ - J. Christopherson, D. Carino, W. Ferson. \emph{Portfolio +J. Christopherson, D. Carino, W. Ferson. \emph{Portfolio Performance Measurement and Benchmarking}. 2009. McGraw-Hill, p. 97-99. \cr Franco Modigliani and Leah Modigliani, "Risk-Adjusted Performance: How to Measure It and Why," \emph{Journal of Portfolio Management}, vol.23, no., Modified: pkg/PerformanceAnalytics/man/NetSelectivity.Rd =================================================================== --- pkg/PerformanceAnalytics/man/NetSelectivity.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/NetSelectivity.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -44,6 +44,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.78 - } Modified: pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd =================================================================== --- pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/OmegaExcessReturn.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -46,6 +46,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.103 - } Modified: pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/OmegaSharpeRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -46,6 +46,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008, p.95 - } Modified: pkg/PerformanceAnalytics/man/PainIndex.Rd =================================================================== --- pkg/PerformanceAnalytics/man/PainIndex.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/PainIndex.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,7 +43,6 @@ } \references{ Carl Bacon, \emph{Practical portfolio performance measurement -and attribution}, second edition 2008 p.89, Becker, Thomas (2006) Zephyr Associates - +and attribution}, second edition 2008 p.89, Becker, Thomas (2006) Zephyr Associates } Modified: pkg/PerformanceAnalytics/man/PainRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/PainRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/PainRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.91 - } Modified: pkg/PerformanceAnalytics/man/ProspectRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/ProspectRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/ProspectRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.100 - } Modified: pkg/PerformanceAnalytics/man/Return.portfolio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Return.portfolio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/Return.portfolio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -135,11 +135,9 @@ 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{ Modified: pkg/PerformanceAnalytics/man/Selectivity.Rd =================================================================== --- pkg/PerformanceAnalytics/man/Selectivity.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/Selectivity.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -41,6 +41,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.78 - } Modified: pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd =================================================================== --- pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.100 - } Modified: pkg/PerformanceAnalytics/man/SpecificRisk.Rd =================================================================== --- pkg/PerformanceAnalytics/man/SpecificRisk.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/SpecificRisk.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -36,6 +36,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.75 - } Modified: pkg/PerformanceAnalytics/man/SystematicRisk.Rd =================================================================== --- pkg/PerformanceAnalytics/man/SystematicRisk.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/SystematicRisk.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -47,6 +47,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.75 - } Modified: pkg/PerformanceAnalytics/man/TotalRisk.Rd =================================================================== --- pkg/PerformanceAnalytics/man/TotalRisk.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/TotalRisk.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -40,6 +40,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.75 - } Modified: pkg/PerformanceAnalytics/man/UlcerIndex.Rd =================================================================== --- pkg/PerformanceAnalytics/man/UlcerIndex.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/UlcerIndex.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -38,6 +38,6 @@ http://www.tangotools.com/ui/UlcerIndex.xls } \author{ -Matthieu Lestel +Matthieu Lestel } Modified: pkg/PerformanceAnalytics/man/UpsideFrequency.Rd =================================================================== --- pkg/PerformanceAnalytics/man/UpsideFrequency.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/UpsideFrequency.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -43,6 +43,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.94 - } Modified: pkg/PerformanceAnalytics/man/UpsideRisk.Rd =================================================================== --- pkg/PerformanceAnalytics/man/UpsideRisk.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/UpsideRisk.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -64,6 +64,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 - } Modified: pkg/PerformanceAnalytics/man/VaR.Rd =================================================================== --- pkg/PerformanceAnalytics/man/VaR.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/VaR.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -159,11 +159,10 @@ 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 \code{\link{chart.VaRSensitivity}} \cr -\code{\link{Return.clean}} +\code{\link{Return.clean}} } Modified: pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd =================================================================== --- pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/VolatilitySkewness.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -50,6 +50,5 @@ \references{ Carl Bacon, \emph{Practical portfolio performance measurement and attribution}, second edition 2008 p.97-98 - } Modified: pkg/PerformanceAnalytics/man/chart.Drawdown.Rd =================================================================== --- pkg/PerformanceAnalytics/man/chart.Drawdown.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/chart.Drawdown.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -49,7 +49,6 @@ Attribution}. Wiley. 2004. p. 88 \cr } \seealso{ - \code{\link{plot}} \cr \code{\link{chart.TimeSeries}} \cr \code{\link{findDrawdowns}} \cr @@ -57,6 +56,5 @@ \code{\link{maxDrawdown}} \cr \code{\link{table.Drawdowns}} \cr \code{\link{table.DownsideRisk}} - } Modified: pkg/PerformanceAnalytics/man/chart.QQPlot.Rd =================================================================== --- pkg/PerformanceAnalytics/man/chart.QQPlot.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/chart.QQPlot.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -130,7 +130,6 @@ \url{http://socserv.socsci.mcmaster.ca/jfox/} } \seealso{ - \code{\link[stats]{qqplot}} \cr \code{\link[car]{qq.plot}} \cr \code{\link{plot}} Modified: pkg/PerformanceAnalytics/man/chart.Scatter.Rd =================================================================== --- pkg/PerformanceAnalytics/man/chart.Scatter.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/chart.Scatter.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -5,7 +5,7 @@ \title{wrapper to draw scatter plot with sensible defaults} \usage{ chart.Scatter(x, y, reference.grid = TRUE, main = "Title", ylab = NULL, - xlab = NULL, xlim = NA, ylim = NA, colorset = 1, symbolset = 1, + xlab = NULL, xlim = NULL, ylim = NULL, colorset = 1, symbolset = 1, element.color = "darkgray", cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.main = 1, ...) } Modified: pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd =================================================================== --- pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd 2016-03-18 13:31:22 UTC (rev 4016) +++ pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd 2016-04-25 19:38:44 UTC (rev 4017) @@ -16,7 +16,7 @@ legend.loc = NULL, ylog = FALSE, cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.labels = 0.8, cex.main = 1, major.ticks = "auto", minor.ticks = TRUE, grid.color = "lightgray", grid.lty = "dotted", - xaxis.labels = NULL, dygraphPlot = FALSE) + xaxis.labels = NULL, dygraphPlot = FALSE, yaxis.pct = FALSE) chart.TimeSeries.base(R, auto.grid = TRUE, xaxis = TRUE, yaxis = TRUE, yaxis.right = FALSE, type = "l", lty = 1, lwd = 2, las = par("las"), @@ -28,7 +28,7 @@ legend.loc = NULL, ylog = FALSE, cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1, cex.labels = 0.8, cex.main = 1, major.ticks = "auto", minor.ticks = TRUE, grid.color = "lightgray", grid.lty = "dotted", - xaxis.labels = NULL, ...) + xaxis.labels = NULL, yaxis.pct = FALSE, ...) charts.TimeSeries(R, space = 0, main = "Returns", ...) } @@ -72,7 +72,7 @@ \item{element.color}{provides the color for drawing chart elements, such as the box lines, axis lines, etc. Default is "darkgray"} -\item{event.lines}{If not null, vertical lines will be drawn to indicate +\item{event.lines}{if not null, vertical lines will be drawn to indicate that an event happened during that time period. \code{event.lines} should be a list of dates (e.g., \code{c("09/03","05/06"))} formatted the same as date.format. This function matches the re-formatted row names (dates) with @@ -132,6 +132,8 @@ \item{dygraphPlot}{Plot using dygraphs default FALSE} +\item{yaxis.pct}{if TRUE, scales the y axis labels by 100} + \item{space}{default 0} [TRUNCATED] To get the complete diff run: svnlook diff /svnroot/returnanalytics -r 4017 From noreply at r-forge.r-project.org Fri Apr 29 19:21:49 2016 From: noreply at r-forge.r-project.org (noreply at r-forge.r-project.org) Date: Fri, 29 Apr 2016 19:21:49 +0200 (CEST) Subject: [Returnanalytics-commits] r4018 - pkg Message-ID: <20160429172149.F1B06187B55@r-forge.r-project.org> Author: naturalsmen Date: 2016-04-29 19:21:48 +0200 (Fri, 29 Apr 2016) New Revision: 4018 Added: pkg/PerformanceAnalytics-v1/ Log: first version