[Returnanalytics-commits] r2183 - in pkg/PerformanceAnalytics: . R man

[noreply at r-forge.r-project.org]

Author: matthieu_lestel
Date: 2012-07-19 20:05:46 +0200 (Thu, 19 Jul 2012)
New Revision: 2183

Modified:
   pkg/PerformanceAnalytics/NAMESPACE
   pkg/PerformanceAnalytics/R/DownsideDeviation.R
   pkg/PerformanceAnalytics/R/SystematicRisk.R
   pkg/PerformanceAnalytics/R/TotalRisk.R
   pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
   pkg/PerformanceAnalytics/man/SystematicRisk.Rd
   pkg/PerformanceAnalytics/man/TotalRisk.Rd
Log:
msquared with examples and documentation

Modified: pkg/PerformanceAnalytics/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/NAMESPACE	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/NAMESPACE	2012-07-19 18:05:46 UTC (rev 2183)
@@ -59,6 +59,7 @@
     mean.LCL,
     mean.stderr,
     mean.UCL,
+    MSquared,
     Omega,
     OmegaSharpeRatio,
 #    pfolioReturn,

Modified: pkg/PerformanceAnalytics/R/DownsideDeviation.R
===================================================================
--- pkg/PerformanceAnalytics/R/DownsideDeviation.R	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/R/DownsideDeviation.R	2012-07-19 18:05:46 UTC (rev 2183)
@@ -17,10 +17,10 @@
 #' 
 #'
 #' \deqn{ DownsideDeviation(R , MAR)= \delta_{MAR} = \sqrt{\sum^{n}_{t=1}\frac{
-#' min[(R_{t} - MAR), 0]^2}{n}}} {DownsideDeviation(R, MAR) = sqrt(1/n * sum(t=1..n)
-#' ((min(R(t)-MAR, 0))^2))}
+#' min[(R_{t} - MAR), 0]^2}{n}} {DownsideDeviation(R, MAR) = sqrt(1/n * sum(t=1..n)
+#' ((min(R(t)-MAR, 0))^2))}}
 #'
-#' \deqn{ DownsideVariance(R, MAR) = \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]^2} {n}} 
+#' \deqn{ DownsideVariance(R, MAR) = \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]^2} {n}}
 #' {DownsideVariance(R, MAR) = 1/n * sum(t=1..n)((min(R(t)-MAR, 0))^2)}
 #'
 #' \deqn{DownsidePotential(R, MAR) = \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]} {n}} 

Modified: pkg/PerformanceAnalytics/R/SystematicRisk.R
===================================================================
--- pkg/PerformanceAnalytics/R/SystematicRisk.R	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/R/SystematicRisk.R	2012-07-19 18:05:46 UTC (rev 2183)
@@ -11,7 +11,7 @@
 #' where \eqn{\sigma_s} is the systematic risk, \eqn{\beta} is the regression beta,
 #' and \eqn{\sigma_m} is the market risk
 #'
-#' @aliases systematic risk
+#' @aliases SystematicRrisk
 #' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
 #' asset returns
 #' @param Rb return vector of the benchmark asset

Modified: pkg/PerformanceAnalytics/R/TotalRisk.R
===================================================================
--- pkg/PerformanceAnalytics/R/TotalRisk.R	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/R/TotalRisk.R	2012-07-19 18:05:46 UTC (rev 2183)
@@ -7,7 +7,7 @@
 #' \deqn{Total Risk = \sqrt{Systematic Risk^2 + Specific Risk^2}} 
 #' {Total Risk^2 = Systematic Risk^2 + Specific Risk^2}
 #'
-#' @aliases total risk
+#' @aliases TotalRisk
 #' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
 #' asset returns
 #' @param Rb return vector of the benchmark asset

Modified: pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/DownsideDeviation.Rd	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/man/DownsideDeviation.Rd	2012-07-19 18:05:46 UTC (rev 2183)
@@ -75,9 +75,9 @@
   number of returns to get a below-target semi-variance.
 
   \deqn{ DownsideDeviation(R , MAR)= \delta_{MAR} =
-  \sqrt{\sum^{n}_{t=1}\frac{ min[(R_{t} - MAR), 0]^2}{n}}}
+  \sqrt{\sum^{n}_{t=1}\frac{ min[(R_{t} - MAR), 0]^2}{n}}
   {DownsideDeviation(R, MAR) = sqrt(1/n * sum(t=1..n)
-  ((min(R(t)-MAR, 0))^2))}
+  ((min(R(t)-MAR, 0))^2))}}
 
   \deqn{ DownsideVariance(R, MAR) =
   \sum^{n}_{t=1}\frac{min[(R_{t} - MAR), 0]^2} {n}}

Modified: pkg/PerformanceAnalytics/man/SystematicRisk.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/SystematicRisk.Rd	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/man/SystematicRisk.Rd	2012-07-19 18:05:46 UTC (rev 2183)
@@ -1,7 +1,6 @@
 \name{SystematicRisk}
-\alias{risk}
-\alias{systematic}
 \alias{SystematicRisk}
+\alias{SystematicRrisk}
 \title{Systematic risk of the return distribution}
 \usage{
   SystematicRisk(Ra, Rb, Rf = 0, Period = 12, ...)

Modified: pkg/PerformanceAnalytics/man/TotalRisk.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/TotalRisk.Rd	2012-07-19 16:43:01 UTC (rev 2182)
+++ pkg/PerformanceAnalytics/man/TotalRisk.Rd	2012-07-19 18:05:46 UTC (rev 2183)
@@ -1,6 +1,4 @@
 \name{TotalRisk}
-\alias{risk}
-\alias{total}
 \alias{TotalRisk}
 \title{Total risk of the return distribution}
 \usage{