[Returnanalytics-commits] r2010 - pkg/PortfolioAnalytics/sandbox/attribution
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed Jun 13 15:17:35 CEST 2012
Author: ababii
Date: 2012-06-13 15:17:35 +0200 (Wed, 13 Jun 2012)
New Revision: 2010
Modified:
pkg/PortfolioAnalytics/sandbox/attribution/Return.level.R
pkg/PortfolioAnalytics/sandbox/attribution/attribution.R
Log:
- improved documentation
Modified: pkg/PortfolioAnalytics/sandbox/attribution/Return.level.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Return.level.R 2012-06-12 14:28:28 UTC (rev 2009)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Return.level.R 2012-06-13 13:17:35 UTC (rev 2010)
@@ -1,18 +1,24 @@
-#' aggregate portfolio returns and weights up to the chosen level from the hierarchy
+#' aggregate portfolio returns and weights up to the chosen level from the
+#' hierarchy
#'
#' Aggregate returns and weights up to the chosen level from the hierarchy.
#' Hierarchy can be used from the buildHierarchy function or
-#' defined manually in the same way as the buildHierarchy's output
+#' defined manually in the same way as the buildHierarchy's output.
+#' \code{Weight.transform} makes transformation of weigths to the xts object
+#' conformable with returns.
#'
#' @aliases Weight.transform Return.level Weight.level
#' @param Rp xts, data frame or matrix of portfolio returns
#' @param wp vector, xts, data frame or matrix of portfolio weights
#' @param h data.frame with portfolio hierarchy
-#' @param level level from the hierarchy to which returns and weights will be aggregated
+#' @param level level from the hierarchy to which returns and weights will be
+#' aggregated
#' @author Andrii Babii
-#' @seealso \code{\link{buildHierarchy}} \cr \code{\link{Attribution}} \cr \code{\link{Return.portfolio}}
+#' @seealso \code{\link{buildHierarchy}} \cr \code{\link{Attribution}} \cr
+#' \code{\link{Return.portfolio}}
#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009. Chapter 17
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' Chapter 17
#' @keywords attribution
#' @examples
#'
@@ -25,12 +31,19 @@
Weight.transform <-
function(wp, Rp)
{ # @author Andrii Babii
- # Function to transform weights to the xts object conformable with returns used by aggregation and attribution functions
- #
- # wp wp vector, xts, data frame or matrix of portfolio weights
- #
- # Rp xts, data frame or matrix of portfolio returns
-
+
+ # DESCRIPTION:
+ # Function to transform weights to the xts object conformable with returns
+ # used by aggregation and attribution functions
+
+ # Inputs:
+ # wp vector, xts, data frame or matrix of portfolio weights
+ # Rp xts, data frame or matrix of portfolio returns
+
+ # Outputs:
+ # This function returns the xts object with weights conformable with returns
+
+ # FUNCTION:
if (is.vector(wp)){
wp = as.xts(matrix(rep(wp, nrow(Rp)), nrow(Rp), ncol(Rp), byrow = TRUE), index(Rp))
colnames(wp) = colnames(Rp)
@@ -54,16 +67,21 @@
Return.level <-
function(Rp, wp, h, level = "Sector")
{ # @author Andrii Babii
+
+ # DESCRIPTION:
# Function to aggregate returns up to the chosen level from the hierarchy
- #
- # Rp xts, data frame or matrix of portfolio returns
- #
- # wp wp vector, xts, data frame or matrix of portfolio weights
- #
- # h data.frame with portfolio hierarchy
- #
- # level level from the hierarchy to which the aggregation will be performed
+ # Inputs:
+ # Rp xts, data frame or matrix of portfolio returns
+ # wp vector, xts, data frame or matrix of portfolio weights
+ # h data.frame with portfolio hierarchy
+ # level level from the hierarchy to which the aggregation will be performed
+
+ # Outputs:
+ # This function returns portfolio returns at the chosen level
+
+ # FUNCTION:
+ # Transform data to the xts objects
Rp = checkData(Rp, method = "xts")
wp = Weight.transform(wp, Rp)
if (nrow(wp) < nrow(Rp)){ # Rebalancing occurs next day
@@ -82,14 +100,20 @@
Weight.level <-
function(wp, h, level = "Sector")
{ # @author Andrii Babii
+
+ # DESCRIPTION:
# Function to aggregate weights up to the chosen level from the hierarchy
- #
- # wp wp vector, xts, data frame or matrix of portfolio weights
- #
- # h data.frame with portfolio hierarchy
- #
- # level level from the hierarchy to which the aggregation will be performed
-
+
+ # Inputs:
+ # wp vector, xts, data frame or matrix of portfolio weights
+ # h data.frame with portfolio hierarchy
+ # level level from the hierarchy to which the aggregation will be performed
+
+ # Outputs:
+ # This function returns portfolio weights at the chosen level
+
+ # FUNCTION:
+ # Transform data to the xts objects
wp = Weight.transform(wp, Rp)
h = split(h$primary_id, h[level])
Modified: pkg/PortfolioAnalytics/sandbox/attribution/attribution.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/attribution.R 2012-06-12 14:28:28 UTC (rev 2009)
+++ pkg/PortfolioAnalytics/sandbox/attribution/attribution.R 2012-06-13 13:17:35 UTC (rev 2010)
@@ -1,62 +1,83 @@
#' performs arithmetic attribution
#'
-#' @aliases attribution.arithmetic
-#'
-#' Performs arithmetic attribution analysis of returns. Used to uncover the sources
-#' of portfolio return
+#' Performance attribution analysis. Portfolio performance measured
+#' relative to a benchmark gives an indication of the value-added by the
+#' portfolio. Equipped with weights and returns of portfolio segments, we
+#' can dissect the value-added into useful components. This function is based
+#' on the sector-based approach to the attribution. The workhorse is the
+#' Brinson model that explains the arithmetic difference between portfolio and
+#' benchmark returns. That is it breaks down the arithmetic excess returns.
+#' It also alows to break down the geometric excess returns. The attribution
+#' effects can be computed for several periods. Different linking methods
+#' allow to get the multi-period summary. Finally, it annualizes arithmetic
+#' and geometric excess returns similarly to the portfolio and/or benchmark
+#' returns annualization.
#'
-#' @aliases attribution.crithmetic
#' @param Rp portfolio returns
#' @param wp portfolio weights
#' @param Rb benchmark returns
#' @param wb benchmark weights
+#' @param method Used to select the priority between allocation and selection
+#' effects in arithmetic attribution. May be any of: \itemize{ \item none -
+#' present allocation, selection and interaction effects independently,
+#' \item top.down - the priority is given to the sector allocation. Interaction
+#' term is combined with the security selection effect, \item bottom.up - the
+#' priority is given to the security selection. Interection term is combined
+#' with the sector allocation effect}
+#' @param linking Used to select the linking method to present the multi-period
+#' summary of arithmetic attribution effects. It is also used to select the
+#' geometric attribution. May be any of: \itemize{ \item carino - logarithmic
+#' linking coefficient method, \item menchero - Menchero's smoothing algorithm,
+#' \item grap - linking approach developed by GRAP, \item frongello -
+#' Frongello's linking method, \item geometric - geometric attribution}
#' @author Andrii Babii
-#' @seealso
-#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' @seealso \code{\link{Attribution.levels}}
+#' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
+#' Attribution}. Wiley. 2004. Chapter 5, 8
+#'
+#' Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' Chapter 18-19
+#'
+#' Gary P. Brinson, L. Randolph Hood, and Gilbert L. Beebower, \emph{Determinants of
+#' Portfolio Performance}, Financial Analysts Journal, vol. 42, no. 4, July/August
+#' 1986, pp. 39–44.
+#' @keywords attribution
#' @examples
#'
+#' data(attrib)
+#' Attribution(Rp, wp, Rb, wb, method = "top.down", linking = "carino")
+#' Attribution(Rp, wp, Rb, wb, method = "bottom.up", linking = "menchero")
+#' Attribution(Rp, wp, Rb, wb, method = "none", linking = "grap")
+#' Attribution(Rp, wp, Rb, wb, method = "top.down", linking = "frongello")
+#' Attribution(Rp, wp, Rb, wb, linking = "geometric")
#'
-#'
-#' #EXAMPLE:
-#' data(attrib) # !!! Load attrib.RData workspace
-#' require(FinancialInstrument)
-#' require(PerformanceAnalytics)
-#' attribution(Rp, wp, Rb, wb, method = "top.down", linking = "carino")
-#' attribution(Rp, wp, Rb, wb, method = "bottom.up", linking = "menchero")
-#' attribution(Rp, wp, Rb, wb, method = "simple", linking = "grap")
-#' attribution(Rp, wp, Rb, wb, method = "top.down", linking = "frongello")
-#' attribution(Rp, wp, Rb, wb, method = "bottom.up", linking = "geometric")
-#'
#' @export
-#' @rdname attribution
-attribution <-
-function (Rp, wp, Rb, wb, method = c("top.down", "bottom.up", "simple"),
+Attribution <-
+function (Rp, wp, Rb, wb, method = c("none", "top.down", "bottom.up"),
linking = c("carino", "menchero", "grap", "frongello", "geometric"))
-{ # @author Andrii Babii
+{ # @author Andrii Babii
# DESCRIPTION:
- # Attribution analysis.
- # TODO: multi-level attribution, documentation
- # Fix bugs in examples
+ # Function to perform the attribution analysis.
# Inputs:
- # Rp: portfolio returns
- # wp: portfolio weights
- # Rb: benchmark returns
- # wb: benchmark weights
- # method:
- # linking:
+ # Rp portfolio returns
+ # wp portfolio weights
+ # Rb benchmark returns
+ # wb benchmark weights
+ # method
+ # linking
# Outputs:
# This function returns the attribution effects
+
# FUNCTION:
-
- # Transform data to the xts
+ # Transform data to the xts objects
Rb = checkData(Rb)
Rp = checkData(Rp)
- wp = Weight.transform(Rp, wp)
- wb = Weight.transform(Rb, wb)
+ wp = Weight.transform(wp, Rp)
+ wb = Weight.transform(wb, Rb)
# Compute attribution effects
allocation = (wp - wb) * Rb
@@ -198,7 +219,7 @@
if (method == "bottom.up"){ # Bottom-up attribution
result[[1]] = result[[1]] + interaction
}
- if (method == "simple"){
+ if (method == "none"){
result[[4]] = result[[3]]
result[[3]] = interaction
}
@@ -206,23 +227,10 @@
result[[length(result) + 1]] = excess.return
# Label the output
- if (method == "simple" & linking != "geometric"){
+ if (method == "none" & linking != "geometric"){
names(result) = c("Allocation", "Selection", "Interaction", "Total", "Annualized excess returns")
} else{
names(result) = c("Allocation", "Selection", "Total", "Annualized excess returns")
}
return(result)
-}
-
-
-###############################################################################
-# R (http://r-project.org/) Econometrics for Performance and Risk Analysis
-#
-# Copyright (c) 2004-2012 Peter Carl and Brian G. Peterson
-#
-# This R package is distributed under the terms of the GNU Public License (GPL)
-# for full details see the file COPYING
-#
-# $Id: CalmarRatio.R 1905 2012-04-21 19:23:13Z braverock $
-#
-###############################################################################
+}
\ No newline at end of file
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