[Returnanalytics-commits] r2016 - in pkg/PortfolioAnalytics/sandbox/attribution: . R data man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Jun 15 00:20:45 CEST 2012
Author: braverock
Date: 2012-06-15 00:20:45 +0200 (Fri, 15 Jun 2012)
New Revision: 2016
Added:
pkg/PortfolioAnalytics/sandbox/attribution/R/
pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Carino.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Frongello.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Grap.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Menchero.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Modigliani.R
pkg/PortfolioAnalytics/sandbox/attribution/R/Return.level.R
pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.R
pkg/PortfolioAnalytics/sandbox/attribution/R/attribution.levels.R
pkg/PortfolioAnalytics/sandbox/attribution/R/logLinking.R
pkg/PortfolioAnalytics/sandbox/attribution/R/logLinkingZoo.R
pkg/PortfolioAnalytics/sandbox/attribution/R/periodApplyEZ.R
pkg/PortfolioAnalytics/sandbox/attribution/R/relativeAttribution.R
pkg/PortfolioAnalytics/sandbox/attribution/R/relativeAttributionWithoutFactors.R
pkg/PortfolioAnalytics/sandbox/attribution/data/
pkg/PortfolioAnalytics/sandbox/attribution/data/attrib.RData
pkg/PortfolioAnalytics/sandbox/attribution/man/
pkg/PortfolioAnalytics/sandbox/attribution/man/Attribution.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Attribution.geometric.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Attribution.levels.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Carino.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Frongello.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Grap.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Menchero.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Modigliani.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/Weight.transform.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/logLinking.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/logLinking.zoo.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/period.apply.EZ.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/relativeAttribution.Rd
pkg/PortfolioAnalytics/sandbox/attribution/man/relativeAttributionWithoutFactors.Rd
Removed:
pkg/PortfolioAnalytics/sandbox/attribution/Attribution.geometric.R
pkg/PortfolioAnalytics/sandbox/attribution/Carino.R
pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R
pkg/PortfolioAnalytics/sandbox/attribution/Grap.R
pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R
pkg/PortfolioAnalytics/sandbox/attribution/Modigliani.R
pkg/PortfolioAnalytics/sandbox/attribution/Return.level.R
pkg/PortfolioAnalytics/sandbox/attribution/attrib.RData
pkg/PortfolioAnalytics/sandbox/attribution/attribution.R
pkg/PortfolioAnalytics/sandbox/attribution/attribution.levels.R
pkg/PortfolioAnalytics/sandbox/attribution/logLinking.R
pkg/PortfolioAnalytics/sandbox/attribution/logLinkingZoo.R
pkg/PortfolioAnalytics/sandbox/attribution/periodApplyEZ.R
pkg/PortfolioAnalytics/sandbox/attribution/relativeAttribution.R
pkg/PortfolioAnalytics/sandbox/attribution/relativeAttributionWithoutFactors.R
Log:
- rearrange to allow compilation of rxygen docs
- call roxygenize('attribution', roclets='rd')
- add generated docs to repository
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Attribution.geometric.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Attribution.geometric.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Attribution.geometric.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,87 +0,0 @@
-#' performs geometric attribution
-#'
-#' Performance attribution of geometric excess returns. Calculates total
-#' geometric attribution effects over multiple periods. Used internally by the
-#' \code{\link{Attribution}} function. Geometric attribution effects in the
-#' conrast with arithmetic do naturally link over time multiplicatively:
-#' \deqn{\frac{(1+r)}{1+b}-1=\overset{n}{\underset{t=1}{\prod}}(1+A_{t}^{G})\times\overset{n}{\underset{t=1}{\prod}}(1+S{}_{t}^{G})-1}
-#' , where
-#' \deqn{A_{t}^{G}} - total allocation effect at time t
-#' \deqn{S_{t}^{G}} - total selection effect at time t
-#' \deqn{A_{t}^{G}=\frac{1+b_{s}}{1+b_{t}}-1}
-#' \deqn{S_{t}^{G}=\frac{1+r_{t}}{1+b_{s}}-1}
-#' \deqn{b_{s}=\overset{n}{\underset{i=1}{\sum}}wp_{i}\times rb_{i}}
-#' \deqn{b_{s}} - semi-notional fund
-#' \deqn{wp_{t}} - portfolio weights at time t
-#' \deqn{wb_{t}} - benchmark weights at time t
-#' \deqn{r_{t}} - portfolio returns at time t
-#' \deqn{b_{t}} - benchmark returns at time t
-#' \deqn{r} - total portfolio returns
-#' \deqn{b} - total benchmark returns
-#' \deqn{n} - number of periods
-#'
-#' @aliases Attribution.geometric
-#' @param Rp xts of portfolio returns
-#' @param wp xts of portfolio weights
-#' @param Rb xts of benchmark returns
-#' @param wb xts of benchmark weights
-#' @author Andrii Babii
-#' @seealso \code{\link{Attribution}}
-#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
-#' Chapter 18-19
-#'
-#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
-#' Attribution}. Wiley. 2004. Chapter 5, 8
-#' @keywords attribution, geometric attribution, geometric linking
-#' @examples
-#'
-#' data(attrib)
-#' Attribution.geometric(Rp, wp, Rb, wb)
-#'
-#' @export
-Attribution.geometric <-
-function(Rp, wp, Rb, wb)
-{ # @author Andrii Babii
-
- # DESCRIPTION:
- # Function to perform the geometric attribution analysis.
-
- # Inputs:
- # Rp xts, data frame or matrix of portfolio returns
- # wp vector, xts, data frame or matrix of portfolio weights
- # Rb xts, data frame or matrix of benchmark returns
- # wb vector, xts, data frame or matrix of benchmark weights
-
- # Outputs:
- # This function returns the list with attribution effects (allocation,
- # selection and total effects) including total multi-period
- # attribution effects
-
- # FUNCTION:
- rp = reclass(rowSums(Rp * wp), Rp)
- rb = reclass(rowSums(Rb * wb), Rb)
- names(rp) = "Total"
- names(rb) = "Total"
- rp.a = prod(1 + rp) - 1
- rb.a = prod(1 + rb) - 1
- Rp = cbind(Rp, rp)
- Rb = cbind(Rb, rb)
-
- bs = reclass(rowSums((wp * Rb[, 1:ncol(wp)])), rp) # Seminotional funds returns
- allocation = ((1 + Rb) / (1 + rb.a) - 1) * cbind((wp - wb), rep(1, nrow(wp)))
- selection = allocation
- for (i in 1:ncol(wp)){
- selection[, i] = ((Rp - Rb) * cbind(wp, rep(1, nrow(wp))))[, i] / (1 + bs)
- }
- allocation = rbind(as.data.frame(allocation), (apply(1 + allocation, 2, prod) - 1))
- selection = rbind(as.data.frame(selection), (apply(1 + selection, 2, prod) - 1))
- rownames(allocation)[nrow(allocation)] = "Total"
- rownames(selection)[nrow(selection)] = "Total"
- result = list()
- result[[1]] = allocation
- result[[2]] = selection
- result[[3]] = allocation + selection
- names(result) = c("Allocation", "Selection", "Total")
- return(result)
-}
\ No newline at end of file
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Carino.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Carino.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Carino.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,82 +0,0 @@
-#' calculates total attribution effects using logarithmic linking
-#'
-#' Calculates total attribution effects over multiple periods using
-#' logarithmic linking method. Used internally by the \code{\link{Attribution}}
-#' function. Arithmetic attribution effects do not naturally link over time.
-#' This function uses logarithmic smoothing to adjust attribution effects
-#' so that they can be summed up over multiple periods. Attribution effect
-#' are multiplied by the adjustment factor:
-#' \deqn{A_{t}' = A_{t} \times \frac{k_{t}}{k}},
-#' where \deqn{k_{t} = \frac{log(1 + r_{t}) - log(1 + b_{t})}{r_{t} - b_{t}}},
-#' \deqn{k = \frac{log(1 + r) - log(1 + b)}{r - b}}. In case if portfolio and
-#' benchmark returns are equal \deqn{k_{t} = \frac{1}{1 + r_{t}}.
-#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
-#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
-#' \deqn{r_{t}} - portfolio returns at period \deqn{t}
-#' \deqn{b_{t}} - benchmark returns at period \deqn{t}
-#' \deqn{r} - total portfolio returns
-#' \deqn{b} - total benchmark returns
-#' \deqn{n} - number of periods
-#' The total arithmetic excess returns can be explained in terms of the sum
-#' of adjusted attribution effects:
-#' \deqn{r - b = \overset{n}{\underset{t=1}{\sum}}\left(Allocation_{t}+Selection_{t}+Interaction_{t}\right)}
-#'
-#' @aliases Carino
-#' @param rp xts of portfolio returns
-#' @param rb xts of benchmark returns
-#' @param attributions xts with attribution effects
-#' @author Andrii Babii
-#' @seealso \code{\link{Attribution}} \cr \code{\link{Menchero}} \cr
-#' \code{\link{Grap}} \cr \code{\link{Frongello}} \cr
-#' \code{\link{Attribution.geometric}}
-#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
-#' Chapter 19
-#'
-#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
-#' Attribution}. Wiley. 2004. p. 191-193
-#'
-#' Carino, D. (1999) \emph{Combining attribution effects over time}.
-#' The Journal of Performance Measurement. Summer, 5–14.
-#' @keywords arithmetic attribution, Carino linking, logarithmic linking
-#' @examples
-#'
-#' data(attrib)
-#' Carino(rp, rb, allocation)
-#'
-#' @export
-Carino <-
-function(rp, rb, attributions)
-{ # @author Andrii Babii
-
- # DESCRIPTION:
- # Function to provide multi-period summary of attribution effects using
- # logarithmic linking. Used internally by the Attribution function
-
- # Inputs:
- # rp xts of portfolio returns
- # rb xts of benchmark returns
- # attributions attribution effects (e.g. allocation, selection, interaction)
-
- # Outputs:
- # This function returns the data.frame with original attribution effects
- # and total attribution effects over multiple periods
-
- # FUNCTION:
- rp.a = prod(1 + rp) - 1
- rb.a = prod(1 + rb) - 1
- k = (log(1 + rp.a) - log(1 + rb.a)) / (rp.a - rb.a)
- kt = rp
- for (t in 1:nrow(kt)){
- if (rp[t] == rb[t]){
- kt[t] = 1 / (1 + rp[t]) # Carino factors if portfolio and benchmark returns are equal
- } else{
- kt[t] = (log(1 + rp[t]) - log(1 + rb[t])) / (rp[t] - rb[t]) # if different
- }
- }
- kt = matrix(rep(kt, ncol(attributions)), nrow(attributions), ncol(attributions), byrow = FALSE)
- total = colSums(attributions * kt / k)
- attributions = rbind(as.data.frame(attributions), total)
- rownames(attributions)[nrow(attributions)] = "Total"
- return(attributions)
-}
\ No newline at end of file
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,78 +0,0 @@
-#' calculates total attribution effects using Frongello linking
-#'
-#' Calculates total attribution effects over multiple periods using
-#' logarithmic linking method. Used internally by the \code{\link{Attribution}}
-#' function. Arithmetic attribution effects do not naturally link over time.
-#' This function uses logarithmic smoothing algorithms to adjust
-#' attribution effects so that they can be summed up over multiple periods
-#' Adjusted attribution effect at period t are:
-#' \deqn{A_{t}' = A_{t}\times\overset{t-1}{\underset{i=1}{\prod}}(1+r_{i})+b_{t}\times\overset{t-1}{\underset{i=1}{\sum}}A_{i}'}
-#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
-#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
-#' \deqn{r_{i}} - portfolio returns at period \deqn{i}
-#' \deqn{b_{i}} - benchmark returns at period \deqn{i}
-#' \deqn{r} - total portfolio returns
-#' \deqn{b} - total benchmark returns
-#' \deqn{n} - number of periods
-#'
-#' @aliases Frongello
-#' @param Rp xts of portfolio returns
-#' @param wp xts of portfolio weights
-#' @param Rb xts of benchmark returns
-#' @param wb xts of benchmark weights
-#' @param attributions xts with attribution effects
-#' @author Andrii Babii
-#' @seealso \code{\link{Attribution}} \cr \code{\link{Menchero}} \cr
-#' \code{\link{Grap}} \cr \code{\link{Carino}} \cr
-#' \code{\link{Attribution.geometric}}
-#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
-#' Chapter 19
-#'
-#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
-#' Attribution}. Wiley. 2004. p. 199-201
-#'
-#' Frongello, A. (2002) \emph{Linking single period attribution results}.
-#' Journal of Performance Measurement. Spring, 10–22.
-#' @keywords attribution, Frongello linking
-#' @examples
-#'
-#' data(attrib)
-#' Frongello(Rp, wp, Rb, wb, allocation)
-#'
-#' @export
-Frongello <-
-function(Rp, wp, Rb, wb, attributions)
-{ # @author Andrii Babii
-
- # DESCRIPTION:
- # Function to provide multi-period summary of attribution effects using
- # Frongello linking. Used internally by the Attribution function
-
- # Inputs:
- # Rp xts of portfolio returns
- # wp xts of portfolio weights
- # Rb xts of benchmark returns
- # wb xts of benchmark weights
- # attributions attribution effects (e.g. allocation, selection, interaction)
-
- # Outputs:
- # This function returns the data.frame with original attribution effects
- # and total attribution effects over multiple periods
-
- # FUNCTION:
- rp = reclass(rowSums(Rp * wp), Rp)
- rb = reclass(rowSums(Rb * wb), Rb)
- Rp = cbind(Rp, rp)
- Rb = cbind(Rb, rb)
- attr = attributions
- attr[1, ] = attributions[1, ] + Rb[1, ]
-
- for(i in 2:nrow(rp)){
- attr[i, ] = attr[i, ] * apply((1 + Rp[1:(i-1), ]), 2, prod) + Rb[i, ] * apply(attr[1:(i-1)], 2, sum)
- }
- total = colSums(attr)
- attributions = rbind(as.data.frame(attributions), total)
- rownames(attributions)[nrow(attributions)] = "Total"
- return(attributions)
-}
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Grap.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Grap.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Grap.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,82 +0,0 @@
-#' calculates total attribution effects using GRAP linking
-#'
-#' Calculates total attribution effects over multiple periods using
-#' logarithmic linking method. Used internally by the \code{\link{Attribution}}
-#' function. Arithmetic attribution effects do not naturally link over time.
-#' This function uses GRAP smoothing algorithms to adjust
-#' attribution effects so that they can be summed up over multiple periods
-#' Attribution effect are multiplied by the adjustment factor
-#' \deqn{A_{t}' = A_{t} \times G_{t}}, where
-#' \deqn{G_{t}=\overset{t-1}{\underset{i=1}{\prod}}(1+r_{i})\times\overset{n}{\underset{i=t+1}{\prod}}(1+b_{i})}
-#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
-#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
-#' \deqn{r_{i}} - portfolio returns at period \deqn{i}
-#' \deqn{b_{i}} - benchmark returns at period \deqn{i}
-#' \deqn{r} - total portfolio returns
-#' \deqn{b} - total benchmark returns
-#' \deqn{n} - number of periods
-#' The total arithmetic excess returns can be explained in terms of the sum
-#' of adjusted attribution effects:
-#' \deqn{r - b = \overset{n}{\underset{t=1}{\sum}}\left(Allocation_{t}+Selection_{t}+Interaction_{t}\right)}
-#'
-#' @aliases Grap
-#' @param rp xts of portfolio returns
-#' @param rb xts of benchmark returns
-#' @param attributions xts with attribution effects
-#' @author Andrii Babii
-#' @seealso \code{\link{Attribution}} \cr \code{\link{Menchero}} \cr
-#' \code{\link{Carino}} \cr \code{\link{Frongello}} \cr
-#' \code{\link{Attribution.geometric}}
-#' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
-#' Attribution}. Wiley. 2004. p. 196-199
-#'
-#' GRAP (Groupe de Recherche en Attribution de Performance) (1997)
-#' \emph{Synthese des modeles d’attribution de performance}. Paris, Mars.
-#' @keywords attribution, GRAP linking
-#' @examples
-#'
-#' data(attrib)
-#' Grap(rp, rb, allocation)
-#'
-#' @export
-Grap <-
-function(rp, rb, attributions)
-{ # @author Andrii Babii
-
-
- # DESCRIPTION:
- # Function to provide multi-period summary of attribution effects using
- # GRAP linking. Used internally by the Attribution function
-
- # Inputs:
- # rp xts of portfolio returns
- # rb xts of benchmark returns
- # attributions attribution effects (e.g. allocation, selection, interaction)
-
- # Outputs:
- # This function returns the data.frame with original attribution effects
- # and total attribution effects over multiple periods
-
- # FUNCTION:
- G = rp
- T = nrow(rp)
- G[1] = prod(1 + rb[2:T]) #GRAP factor for the first period
- if (T == 2){
- G[2] = (1 + rp[1])
- }
- if (T > 2){
- G[T] = prod(1 + rp[1:(T - 1)]) #GRAP factor for the last period
- }
- if (T > 3){
- for(i in 2:(T - 1)){
- r = 1 + rp[1:(i-1)]
- b = 1 + rb[(i+1):T]
- G[i] = apply(r, 2, prod) * apply(b, 2, prod)
- }
- }
- g = matrix(rep(G, ncol(attributions)), nrow(attributions), ncol(attributions), byrow = FALSE)
- total = colSums(attributions * g)
- attributions = rbind(as.data.frame(attributions), total)
- rownames(attributions)[nrow(attributions)] = "Total"
- return(attributions)
-}
\ No newline at end of file
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Menchero.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,78 +0,0 @@
-#' calculates total attribution effects using Menchero linking
-#'
-#' Calculates total attribution effects over multiple periods using
-#' Menchero linking method. Used internally by the \code{\link{Attribution}}
-#' function. Arithmetic attribution effects do not naturally link over time.
-#' This function uses Menchero smoothing algorithms to adjust
-#' attribution effects so that they can be summed up over multiple periods
-#' Attribution effect are multiplied by the adjustment factor
-#' \deqn{A_{t}' = A_{t} \times (M +a_{t})},
-#' where \deqn{M=\frac{\frac{1}{n}(r-b)}{(1+r)^{\frac{1}{n}}-(1+b)^{\frac{1}{n}}}}
-#' \deqn{a_{t} = \left(\frac{r-b-M\times\overset{n}{\underset{t=1}{\sum}}(r_{t}-b_{t})}{\overset{n}{\underset{t=1}{\sum}}(r_{t}-b_{t})^{2}}\right)\times(r_{t}-b_{t})}
-#' In case if portfolio and benchmark returns are equal
-#' \deqn{M = (1 + r)^\frac{n-1}{n}}
-#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
-#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
-#' \deqn{r_{t}} - portfolio returns at period \deqn{t}
-#' \deqn{b_{t}} - benchmark returns at period \deqn{t}
-#' \deqn{r} - total portfolio returns
-#' \deqn{b} - total benchmark returns
-#' \deqn{n} - number of periods
-#' The total arithmetic excess returns can be explained in terms of the sum
-#' of adjusted attribution effects:
-#' \deqn{r - b = \overset{n}{\underset{t=1}{\sum}}\left(Allocation_{t}+Selection_{t}+Interaction_{t}\right)}
-#'
-#' @aliases Menchero
-#' @param rp xts of portfolio returns
-#' @param rb xts of benchmark returns
-#' @param attributions xts with attribution effects
-#' @author Andrii Babii
-#' @seealso \code{\link{Attribution}} \cr \code{\link{Carino}} \cr
-#' \code{\link{Grap}} \cr \code{\link{Frongello}} \cr
-#' \code{\link{Attribution.geometric}}
-#' @references Bacon, C. \emph{Practical Portfolio Performance Measurement and
-#' Attribution}. Wiley. 2004. p. 194-196
-#'
-#' Menchero, J. (2000) \emph{An optimized approach to linking attribution
-#' effects over time}.Journal of Performance Measurement. Fall, 36–42.
-#' @keywords arithmetic attribution, Menchero linking
-#' @examples
-#'
-#' data(attrib)
-#' Menchero(rp, rb, allocation)
-#'
-#' @export
-Menchero <-
-function(rp, rb, attributions)
-{ # @author Andrii Babii
-
- # DESCRIPTION:
- # Function to provide multi-period summary of attribution effects using
- # Menchero linking. Used internally by the Attribution function
-
- # Inputs:
- # rp xts of portfolio returns
- # rb xts of benchmark returns
- # attributions attribution effects (e.g. allocation, selection, interaction)
-
- # Outputs:
- # This function returns the data.frame with original attribution effects
- # and total attribution effects over multiple periods
-
- # FUNCTION:
- rp.a = prod(1 + rp) - 1
- rb.a = prod(1 + rb) - 1
- T = nrow(rp)
- if (rp.a == rb.a){
- M = (1 + rb.a)^((T - 1) / T)
- at = 0
- } else{
- M = ((rp.a - rb.a) / T) / ((1 + rp.a)^(1 / T) - (1 + rb.a)^(1 / T))
- at = (rp.a - rb.a - M * sum(rp - rb)) * (rp - rb) / sum((rp - rb)^2)
- }
- m = matrix(rep(M + at, ncol(attributions)), nrow(attributions), ncol(attributions), byrow = FALSE)
- total = colSums(attributions * m)
- attributions = rbind(as.data.frame(attributions), total)
- rownames(attributions)[nrow(attributions)] = "Total"
- return(attributions)
-}
\ No newline at end of file
Deleted: pkg/PortfolioAnalytics/sandbox/attribution/Modigliani.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/Modigliani.R 2012-06-14 21:19:43 UTC (rev 2015)
+++ pkg/PortfolioAnalytics/sandbox/attribution/Modigliani.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -1,52 +0,0 @@
-#' Modigliani-Modigliani measure
-#'
-#' The Modigliani-Modigliani measure is the portfolio return
-#' adjusted upward or downward to match the benchmark's standard
-#' deviation. This puts the portfolio return and the benchmark
-#' return on 'equal footing' from a standard deviation perspective.
-#'
-#' This is also analogous to some approaches to 'risk parity'
-#' portfolios, which use (presumably costless) leverage
-#' to increase the portfolio standard deviation to some target.
-#'
-#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
-#' asset returns
-#' @param Rb return vector of the benchmark asset
-#' @param Rf risk free rate, in same period as your returns
-#' @param \dots any other passthrough parameters
-#' @author Andrii Babii, Brian G. Peterson
-#' @references J. Christopherson, D. Carino, W. Ferson.
-#' Portfolio Performance Measurement and Benchmarking. 2009. McGraw-Hill, 97-99.
-#' @seealso \code{\link{SharpeRatio}}, \code{\link{TreynorRatio}}
-#' @examples
-#'
-#' data(managers)
-#' round(Modigliani(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12),4)
-#' round(Modigliani(managers[,1:6], managers[,8,drop=FALSE], Rf=.035/12),4)
-#'
-#' @export
-Modigliani<-function (Ra, Rb, Rf=0, ...)
-{
- 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)
- mm<-function(Ra, Rb, Rf){
- shr = SharpeRatio(Ra, Rf, FUN = "StdDev")
- MM = shr*StdDev(Rb)+Rf
- return(MM)
- }
- result = apply(pairs, 1, FUN = function(n, Ra, Rb, Rf) mm(Ra[,
- n[1]], Rb[, n[2]], Rf), Ra = Ra, Rb = Rb, Rf = Rf)
- if (length(result) == 1)
- return(result)
- else {
- dim(result) = c(Ra.ncols, Rb.ncols)
- colnames(result) = paste("Modigliani-Modigliani measure:", colnames(Rb))
- rownames(result) = colnames(Ra)
- return(t(result))
- }
-}
Copied: pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R (from rev 2015, pkg/PortfolioAnalytics/sandbox/attribution/Attribution.geometric.R)
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -0,0 +1,87 @@
+#' performs geometric attribution
+#'
+#' Performance attribution of geometric excess returns. Calculates total
+#' geometric attribution effects over multiple periods. Used internally by the
+#' \code{\link{Attribution}} function. Geometric attribution effects in the
+#' conrast with arithmetic do naturally link over time multiplicatively:
+#' \deqn{\frac{(1+r)}{1+b}-1=\overset{n}{\underset{t=1}{\prod}}(1+A_{t}^{G})\times\overset{n}{\underset{t=1}{\prod}}(1+S{}_{t}^{G})-1}
+#' , where
+#' \deqn{A_{t}^{G}} - total allocation effect at time t
+#' \deqn{S_{t}^{G}} - total selection effect at time t
+#' \deqn{A_{t}^{G}=\frac{1+b_{s}}{1+b_{t}}-1}
+#' \deqn{S_{t}^{G}=\frac{1+r_{t}}{1+b_{s}}-1}
+#' \deqn{b_{s}=\overset{n}{\underset{i=1}{\sum}}wp_{i}\times rb_{i}}
+#' \deqn{b_{s}} - semi-notional fund
+#' \deqn{wp_{t}} - portfolio weights at time t
+#' \deqn{wb_{t}} - benchmark weights at time t
+#' \deqn{r_{t}} - portfolio returns at time t
+#' \deqn{b_{t}} - benchmark returns at time t
+#' \deqn{r} - total portfolio returns
+#' \deqn{b} - total benchmark returns
+#' \deqn{n} - number of periods
+#'
+#' @aliases Attribution.geometric
+#' @param Rp xts of portfolio returns
+#' @param wp xts of portfolio weights
+#' @param Rb xts of benchmark returns
+#' @param wb xts of benchmark weights
+#' @author Andrii Babii
+#' @seealso \code{\link{Attribution}}
+#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' Chapter 18-19
+#'
+#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
+#' Attribution}. Wiley. 2004. Chapter 5, 8
+#' @keywords attribution, geometric attribution, geometric linking
+#' @examples
+#'
+#' data(attrib)
+#' Attribution.geometric(Rp, wp, Rb, wb)
+#'
+#' @export
+Attribution.geometric <-
+function(Rp, wp, Rb, wb)
+{ # @author Andrii Babii
+
+ # DESCRIPTION:
+ # Function to perform the geometric attribution analysis.
+
+ # Inputs:
+ # Rp xts, data frame or matrix of portfolio returns
+ # wp vector, xts, data frame or matrix of portfolio weights
+ # Rb xts, data frame or matrix of benchmark returns
+ # wb vector, xts, data frame or matrix of benchmark weights
+
+ # Outputs:
+ # This function returns the list with attribution effects (allocation,
+ # selection and total effects) including total multi-period
+ # attribution effects
+
+ # FUNCTION:
+ rp = reclass(rowSums(Rp * wp), Rp)
+ rb = reclass(rowSums(Rb * wb), Rb)
+ names(rp) = "Total"
+ names(rb) = "Total"
+ rp.a = prod(1 + rp) - 1
+ rb.a = prod(1 + rb) - 1
+ Rp = cbind(Rp, rp)
+ Rb = cbind(Rb, rb)
+
+ bs = reclass(rowSums((wp * Rb[, 1:ncol(wp)])), rp) # Seminotional funds returns
+ allocation = ((1 + Rb) / (1 + rb.a) - 1) * cbind((wp - wb), rep(1, nrow(wp)))
+ selection = allocation
+ for (i in 1:ncol(wp)){
+ selection[, i] = ((Rp - Rb) * cbind(wp, rep(1, nrow(wp))))[, i] / (1 + bs)
+ }
+ allocation = rbind(as.data.frame(allocation), (apply(1 + allocation, 2, prod) - 1))
+ selection = rbind(as.data.frame(selection), (apply(1 + selection, 2, prod) - 1))
+ rownames(allocation)[nrow(allocation)] = "Total"
+ rownames(selection)[nrow(selection)] = "Total"
+ result = list()
+ result[[1]] = allocation
+ result[[2]] = selection
+ result[[3]] = allocation + selection
+ names(result) = c("Allocation", "Selection", "Total")
+ return(result)
+}
\ No newline at end of file
Copied: pkg/PortfolioAnalytics/sandbox/attribution/R/Carino.R (from rev 2015, pkg/PortfolioAnalytics/sandbox/attribution/Carino.R)
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/Carino.R (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/Carino.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -0,0 +1,82 @@
+#' calculates total attribution effects using logarithmic linking
+#'
+#' Calculates total attribution effects over multiple periods using
+#' logarithmic linking method. Used internally by the \code{\link{Attribution}}
+#' function. Arithmetic attribution effects do not naturally link over time.
+#' This function uses logarithmic smoothing to adjust attribution effects
+#' so that they can be summed up over multiple periods. Attribution effect
+#' are multiplied by the adjustment factor:
+#' \deqn{A_{t}' = A_{t} \times \frac{k_{t}}{k}},
+#' where \deqn{k_{t} = \frac{log(1 + r_{t}) - log(1 + b_{t})}{r_{t} - b_{t}}},
+#' \deqn{k = \frac{log(1 + r) - log(1 + b)}{r - b}}. In case if portfolio and
+#' benchmark returns are equal \deqn{k_{t} = \frac{1}{1 + r_{t}}.
+#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
+#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
+#' \deqn{r_{t}} - portfolio returns at period \deqn{t}
+#' \deqn{b_{t}} - benchmark returns at period \deqn{t}
+#' \deqn{r} - total portfolio returns
+#' \deqn{b} - total benchmark returns
+#' \deqn{n} - number of periods
+#' The total arithmetic excess returns can be explained in terms of the sum
+#' of adjusted attribution effects:
+#' \deqn{r - b = \overset{n}{\underset{t=1}{\sum}}\left(Allocation_{t}+Selection_{t}+Interaction_{t}\right)}
+#'
+#' @aliases Carino
+#' @param rp xts of portfolio returns
+#' @param rb xts of benchmark returns
+#' @param attributions xts with attribution effects
+#' @author Andrii Babii
+#' @seealso \code{\link{Attribution}} \cr \code{\link{Menchero}} \cr
+#' \code{\link{Grap}} \cr \code{\link{Frongello}} \cr
+#' \code{\link{Attribution.geometric}}
+#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' Chapter 19
+#'
+#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
+#' Attribution}. Wiley. 2004. p. 191-193
+#'
+#' Carino, D. (1999) \emph{Combining attribution effects over time}.
+#' The Journal of Performance Measurement. Summer, 5–14.
+#' @keywords arithmetic attribution, Carino linking, logarithmic linking
+#' @examples
+#'
+#' data(attrib)
+#' Carino(rp, rb, allocation)
+#'
+#' @export
+Carino <-
+function(rp, rb, attributions)
+{ # @author Andrii Babii
+
+ # DESCRIPTION:
+ # Function to provide multi-period summary of attribution effects using
+ # logarithmic linking. Used internally by the Attribution function
+
+ # Inputs:
+ # rp xts of portfolio returns
+ # rb xts of benchmark returns
+ # attributions attribution effects (e.g. allocation, selection, interaction)
+
+ # Outputs:
+ # This function returns the data.frame with original attribution effects
+ # and total attribution effects over multiple periods
+
+ # FUNCTION:
+ rp.a = prod(1 + rp) - 1
+ rb.a = prod(1 + rb) - 1
+ k = (log(1 + rp.a) - log(1 + rb.a)) / (rp.a - rb.a)
+ kt = rp
+ for (t in 1:nrow(kt)){
+ if (rp[t] == rb[t]){
+ kt[t] = 1 / (1 + rp[t]) # Carino factors if portfolio and benchmark returns are equal
+ } else{
+ kt[t] = (log(1 + rp[t]) - log(1 + rb[t])) / (rp[t] - rb[t]) # if different
+ }
+ }
+ kt = matrix(rep(kt, ncol(attributions)), nrow(attributions), ncol(attributions), byrow = FALSE)
+ total = colSums(attributions * kt / k)
+ attributions = rbind(as.data.frame(attributions), total)
+ rownames(attributions)[nrow(attributions)] = "Total"
+ return(attributions)
+}
\ No newline at end of file
Copied: pkg/PortfolioAnalytics/sandbox/attribution/R/Frongello.R (from rev 2015, pkg/PortfolioAnalytics/sandbox/attribution/Frongello.R)
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/Frongello.R (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/Frongello.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -0,0 +1,78 @@
+#' calculates total attribution effects using Frongello linking
+#'
+#' Calculates total attribution effects over multiple periods using
+#' logarithmic linking method. Used internally by the \code{\link{Attribution}}
+#' function. Arithmetic attribution effects do not naturally link over time.
+#' This function uses logarithmic smoothing algorithms to adjust
+#' attribution effects so that they can be summed up over multiple periods
+#' Adjusted attribution effect at period t are:
+#' \deqn{A_{t}' = A_{t}\times\overset{t-1}{\underset{i=1}{\prod}}(1+r_{i})+b_{t}\times\overset{t-1}{\underset{i=1}{\sum}}A_{i}'}
+#' \deqn{A_{t}}' - adjusted attribution effects at period \deqn{t}
+#' \deqn{A_{t}} - unadjusted attribution effects at period \deqn{t}
+#' \deqn{r_{i}} - portfolio returns at period \deqn{i}
+#' \deqn{b_{i}} - benchmark returns at period \deqn{i}
+#' \deqn{r} - total portfolio returns
+#' \deqn{b} - total benchmark returns
+#' \deqn{n} - number of periods
+#'
+#' @aliases Frongello
+#' @param Rp xts of portfolio returns
+#' @param wp xts of portfolio weights
+#' @param Rb xts of benchmark returns
+#' @param wb xts of benchmark weights
+#' @param attributions xts with attribution effects
+#' @author Andrii Babii
+#' @seealso \code{\link{Attribution}} \cr \code{\link{Menchero}} \cr
+#' \code{\link{Grap}} \cr \code{\link{Carino}} \cr
+#' \code{\link{Attribution.geometric}}
+#' @references Christopherson, Jon A., Carino, David R., Ferson, Wayne E.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' Chapter 19
+#'
+#' Bacon, C. \emph{Practical Portfolio Performance Measurement and
+#' Attribution}. Wiley. 2004. p. 199-201
+#'
+#' Frongello, A. (2002) \emph{Linking single period attribution results}.
+#' Journal of Performance Measurement. Spring, 10–22.
+#' @keywords attribution, Frongello linking
+#' @examples
+#'
+#' data(attrib)
+#' Frongello(Rp, wp, Rb, wb, allocation)
+#'
+#' @export
+Frongello <-
+function(Rp, wp, Rb, wb, attributions)
+{ # @author Andrii Babii
+
+ # DESCRIPTION:
+ # Function to provide multi-period summary of attribution effects using
+ # Frongello linking. Used internally by the Attribution function
+
+ # Inputs:
+ # Rp xts of portfolio returns
+ # wp xts of portfolio weights
+ # Rb xts of benchmark returns
+ # wb xts of benchmark weights
+ # attributions attribution effects (e.g. allocation, selection, interaction)
+
+ # Outputs:
+ # This function returns the data.frame with original attribution effects
+ # and total attribution effects over multiple periods
+
+ # FUNCTION:
+ rp = reclass(rowSums(Rp * wp), Rp)
+ rb = reclass(rowSums(Rb * wb), Rb)
+ Rp = cbind(Rp, rp)
+ Rb = cbind(Rb, rb)
+ attr = attributions
+ attr[1, ] = attributions[1, ] + Rb[1, ]
+
+ for(i in 2:nrow(rp)){
+ attr[i, ] = attr[i, ] * apply((1 + Rp[1:(i-1), ]), 2, prod) + Rb[i, ] * apply(attr[1:(i-1)], 2, sum)
+ }
+ total = colSums(attr)
+ attributions = rbind(as.data.frame(attributions), total)
+ rownames(attributions)[nrow(attributions)] = "Total"
+ return(attributions)
+}
Copied: pkg/PortfolioAnalytics/sandbox/attribution/R/Grap.R (from rev 2015, pkg/PortfolioAnalytics/sandbox/attribution/Grap.R)
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/Grap.R (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/Grap.R 2012-06-14 22:20:45 UTC (rev 2016)
@@ -0,0 +1,82 @@
[TRUNCATED]
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svnlook diff /svnroot/returnanalytics -r 2016
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