[Returnanalytics-commits] r2207 - in pkg/PortfolioAnalytics/sandbox/attribution: R man

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

Author: ababii
Date: 2012-07-26 12:37:19 +0200 (Thu, 26 Jul 2012)
New Revision: 2207

Removed:
   pkg/PortfolioAnalytics/sandbox/attribution/R/AppraisalRatio.R
   pkg/PortfolioAnalytics/sandbox/attribution/man/AppraisalRatio.Rd
Log:
- duplicated:
https://r-forge.r-project.org/scm/viewvc.php/pkg/PerformanceAnalytics/R/AppraisalRatio.R?root=returnanalytics&view=log

Deleted: pkg/PortfolioAnalytics/sandbox/attribution/R/AppraisalRatio.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/AppraisalRatio.R	2012-07-25 16:51:19 UTC (rev 2206)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/AppraisalRatio.R	2012-07-26 10:37:19 UTC (rev 2207)
@@ -1,72 +0,0 @@
-#' Apraisal ratio = alpha / residual return
-#' 
-#' The alpha from CAPM divided by the standard deviation of residuals
-#' 
-#' \deqn{A_{p}=\frac{\alpha_{p}}{\sigma(\varepsilon_{p})}}{Ap = alphap / 
-#' sigmap(epsilonp)}
-#' 
-#' Is appropriate for evaluating security selection ability. It captures the 
-#' idea that an active portfolio manager has t odepart from the benchmark, that
-#' is, take on residual risk, in order to produce alpha. The more alpha the 
-#' investor produces for a given amout of residual risk, the higher the ratio.
-#' 
-#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
-#' the asset returns
-#' @param Rb an xts, vector, matrix, data frame, timeSeries or zoo object of 
-#' the benchmark asset return
-#' @param Rf risk free rate, in same period as your returns
-#' @param \dots any other passthrough parameters
-#' @author Andrii Babii
-#' @seealso \code{\link{InformationRatio}}
-#' @references J. Christopherson, D. Carino, W. Ferson. \emph{Portfolio 
-#' Performance Measurement and Benchmarking}. 2009. McGraw-Hill, p. 101. \cr
-#' Jack Treynor and Fischer Black, "How t oUse Security Analysis to Improve 
-#' Portfolio Selection," \emph{Journal of Business}, vol.46, no.1, 
-#' January 1973, pp. 66-86. \cr
-#' 
-#' @examples
-#' 
-#' data(managers)
-#' AppraisalRatio(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
-#' AppraisalRatio(managers[80:120,1:6], managers[80:120,7,drop=FALSE], managers[80:120,10,drop=FALSE])
-#' AppraisalRatio(managers[80:120,1:6], managers[80:120,8:7], managers[80:120,10,drop=FALSE])
-#' 
-#' @export
-AppraisalRatio <- function (Ra, Rb, Rf = 0, ...)
-{ # @author Andrii Babii
-    
-    # DESCRIPTION
-    # AppraisalRatio = alpha / residual return
-  
-    # FUNCTION
-  
-    Ra = checkData(Ra)
-    Rb = checkData(Rb)
-    if (!is.null(dim(Rf))) 
-      Rf = checkData(Rf)
-    Ra.ncols = NCOL(Ra)
-    Rb.ncols = NCOL(Rb)
-    pairs = expand.grid(1:Ra.ncols, 1:Rb.ncols)
-    
-    ar <- function (Ra, Rb, Rf)
-    {
-      alpha = CAPM.alpha(Ra, Rb, Rf)
-      beta = CAPM.beta(Ra, Rb, Rf)
-      epsilon = Ra - Rf - matrix(rep(alpha, nrow(Ra)), nrow(Ra), ncol(Ra), byrow = TRUE) - beta %x% (Rb - Rf)
-      sigma = diag(t(epsilon) %*% epsilon) / (length(epsilon) - 2)
-      AR = alpha / sigma
-      return(AR)
-    }
-      
-    result = apply(pairs, 1, FUN = function(n, Ra, Rb, Rf) 
-      ar(Ra[, n[1]], Rb[, n[2]], Rf), Ra = Ra, Rb = Rb, Rf = Rf)
-    
-    if(length(result) == 1)
-      return(result)
-    else {
-      result = matrix(result, ncol = Ra.ncols, nrow = Rb.ncols, byrow = TRUE)
-      rownames(result) = paste("Appraisal Ratio:", colnames(Rb))
-      colnames(result) = colnames(Ra)
-      return(result)
-    }
-}

Deleted: pkg/PortfolioAnalytics/sandbox/attribution/man/AppraisalRatio.Rd
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/man/AppraisalRatio.Rd	2012-07-25 16:51:19 UTC (rev 2206)
+++ pkg/PortfolioAnalytics/sandbox/attribution/man/AppraisalRatio.Rd	2012-07-26 10:37:19 UTC (rev 2207)
@@ -1,53 +0,0 @@
-\name{AppraisalRatio}
-\alias{AppraisalRatio}
-\title{Apraisal ratio = alpha / residual return}
-\usage{
-  AppraisalRatio(Ra, Rb, Rf = 0, ...)
-}
-\arguments{
-  \item{Ra}{an xts, vector, matrix, data frame, timeSeries
-  or zoo object of the asset returns}
-
-  \item{Rb}{an xts, vector, matrix, data frame, timeSeries
-  or zoo object of the benchmark asset return}
-
-  \item{Rf}{risk free rate, in same period as your returns}
-
-  \item{\dots}{any other passthrough parameters}
-}
-\description{
-  The alpha from CAPM divided by the standard deviation of
-  residuals
-}
-\details{
-  \deqn{A_{p}=\frac{\alpha_{p}}{\sigma(\varepsilon_{p})}}{Ap
-  = alphap / sigmap(epsilonp)}
-
-  Is appropriate for evaluating security selection ability.
-  It captures the idea that an active portfolio manager has
-  t odepart from the benchmark, that is, take on residual
-  risk, in order to produce alpha. The more alpha the
-  investor produces for a given amout of residual risk, the
-  higher the ratio.
-}
-\examples{
-data(managers)
-AppraisalRatio(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
-AppraisalRatio(managers[80:120,1:6], managers[80:120,7,drop=FALSE], managers[80:120,10,drop=FALSE])
-AppraisalRatio(managers[80:120,1:6], managers[80:120,8:7], managers[80:120,10,drop=FALSE])
-}
-\author{
-  Andrii Babii
-}
-\references{
-  J. Christopherson, D. Carino, W. Ferson. \emph{Portfolio
-  Performance Measurement and Benchmarking}. 2009.
-  McGraw-Hill, p. 101. \cr Jack Treynor and Fischer Black,
-  "How t oUse Security Analysis to Improve Portfolio
-  Selection," \emph{Journal of Business}, vol.46, no.1,
-  January 1973, pp. 66-86. \cr
-}
-\seealso{
-  \code{\link{InformationRatio}}
-}
-