[Returnanalytics-commits] r1993 - pkg/PortfolioAnalytics/sandbox/attribution

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

Author: ababii
Date: 2012-06-07 14:14:48 +0200 (Thu, 07 Jun 2012)
New Revision: 1993

Modified:
   pkg/PortfolioAnalytics/sandbox/attribution/attribution.R
Log:
- added annualized excess returns (arithmetic and geometric)

Modified: pkg/PortfolioAnalytics/sandbox/attribution/attribution.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/attribution.R	2012-06-07 09:40:52 UTC (rev 1992)
+++ pkg/PortfolioAnalytics/sandbox/attribution/attribution.R	2012-06-07 12:14:48 UTC (rev 1993)
@@ -25,7 +25,7 @@
 
     # DESCRIPTION:
     # Attribution analysis.
-    # TODO: fix bugs in linking methods, multi-level attribution. 
+    # TODO: multi-level attribution, documentation
     # Fix bugs in examples
 
     # Inputs:
@@ -65,8 +65,12 @@
     rb = reclass(rowSums(Rb * wb), Rb)
     names(rp) = "Total"
     names(rb) = "Total"
-    rp.a = prod(rp + 1) - 1 
-    rb.a = prod(rb + 1) - 1
+    rp.a = prod(1 + rp) - 1 
+    rb.a = prod(1 + rb) - 1
+    aer = rp.a - rb.a                  # Arithmetic (annualized) excess returns
+    ger = (1 + rp.a) / (1 + rb.a) - 1  # Geometric (annualized) excess returns
+    excess.return = as.matrix(c(aer, ger))
+    rownames(excess.return) = c("Arithmetic", "Geometric")
     Rp = cbind(Rp, rp)
     Rb = cbind(Rb, rb)
     
@@ -185,11 +189,13 @@
             result[[3]] = interaction
         }
     }
+    result[[length(result) + 1]] = excess.return
+
     # Label the output
     if (method == "simple" & linking != "geometric"){
-        names(result) = c("Allocation", "Selection", "Interaction", "Total")
+        names(result) = c("Allocation", "Selection", "Interaction", "Total", "Annualized excess returns")
     } else{
-        names(result) = c("Allocation", "Selection", "Total")
+        names(result) = c("Allocation", "Selection", "Total", "Annualized excess returns")
     }
     return(result)
 }