[GSoC-PortA] Finishing Touches to PortfolioAnalytics

[Ross Bennett]

See responses inline.


On Sun, Feb 2, 2014 at 1:14 PM, Doug Martin <martinrd at comcast.net> wrote:

> Ross,
>
>
>
> Good to see.  Main thing from my perspective is that I need to check my
> chapter 2 with the current version and see if I missed implementing my
> current examples with the "to be released" version of PortfolioAnalytics,
> and finishing off a couple more examples.  I will do this during the coming
> week.
>
>
>
> Other comments below.
>
>
>
> Doug
>
>
>
>
>
> *From:* gsoc-porta-bounces at lists.r-forge.r-project.org [mailto:
> gsoc-porta-bounces at lists.r-forge.r-project.org] *On Behalf Of *Ross
> Bennett
> *Sent:* Sunday, February 02, 2014 12:44 PM
> *To:* PortfolioAnalytics
> *Subject:* [GSoC-PortA] Finishing Touches to PortfolioAnalytics
>
>
>
> All,
>
>
>
> To put the finishing touches on PortfolioAnalytics, I propose the
> following items.
>
>
>
> Enhance the print and summary methods for optimize.portfolio.rebalancing.
> Currently, a list of optimize.portfolio objects at each rebalance period is
> returned.
>
> *[Doug] So does that imply one can now input a list of portfolio
> optimization strategy objects to "optimize.portfolio.rebalancing", e.g.,
> each with different constraints and different objectives?  (this would be
> very useful)*
>

No, that is currently not possible, but should not be too hard to
implement. I could do this for optimize.portfolio as well. I think the most
robust way to implement this would be to make optimize.portfolio() and
optimize.portfolio.rebalancing() generic methods.

This would require a few minor design changes and I don't think it would
break backwards compatibility. We would have to change the order of
arguments for optimize.portfolio() and optimize.portfolio.rebalancing() so
that 'portfolio' is the first argument, currently 'R'  is the first
argument.


>
> I'd like to change this to also return the R object so that I can do more
> with a summary method such as calculating the portfolio rebalanced returns,
> annualized return, risk measures, etc.
>
> *[Doug] I guess there is the question of how much in the way of
> performance analysis gets done with a summary method, as compared with
> using PerformanceAnalytics on the result of optimize.portfolio.rebalancing.*
>

The idea is that I would use PerformanceAnalytics to calculate some of the
metrics. Currently, optimize.portfolio.rebalancing returns a list of
optimize.portfolio.* objects at each rebalance date. The user would have to
do the following to calculate the portfolio returns.

opt_backtest <- optimize.portfolio.rebalancing(R, portfolio, ...)
portfolio_ret <- Return.rebalancing(R, extractWeights(opt_backtest))

I think it would be useful to calculate the portfolio returns in the
summary method so the user would just have to do something like

summary(opt_backtest)$portfolio_returns

At a minimum the summary method would return the following:
- optimal weights at each rebalance date
- objective measures at each rebalance date
- portfolio returns
- portfolio annualized returns


>
>
> Add function to generalize the plot from Peter's presentation. See
> attached image.
>
>
>
> Address all warnings in R CMD Check
>
> I just ran R CMD Check using Rstudio and the only warning I received was
> the following:
>
> * checking package vignettes in 'inst/doc' ... WARNING
>
> Package vignettes without corresponding PDF/HTML:
>
>    'DesignThoughts.Rnw'
>
>    'ROI_vignette.Rnw'
>
>    'portfolio_vignette.Rnw'
>
>    'risk_budget_optimization.Rnw'
>
>
>
> We don't have anything in inst/doc as all our vignette files (.Rnw and
> .pdf) are in the vignettes directory. How do I handle this warning.
>
>
>
> Final review of documentation.
>
>
>
> I am just getting started playing around with the Bloomberg Portfolio
> Analysis module to see if there is anything we can borrow from there.
>
>
>
> Is there anything else that I need to consider?
>
>
>
> Ross
>
>
>
> P.S. Go Seahawks!
>
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>
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