[Returnanalytics-commits] r2033 - pkg/PortfolioAnalytics/sandbox/attribution/R

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

Author: ababii
Date: 2012-06-18 19:11:29 +0200 (Mon, 18 Jun 2012)
New Revision: 2033

Modified:
   pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R
Log:
- fixed bug with incorrect returns and total attribution effects

Modified: pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R
===================================================================
--- pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R	2012-06-18 16:55:18 UTC (rev 2032)
+++ pkg/PortfolioAnalytics/sandbox/attribution/R/Attribution.geometric.R	2012-06-18 17:11:29 UTC (rev 2033)
@@ -63,25 +63,35 @@
     rb = reclass(rowSums(Rb * wb), Rb)  
     names(rp) = "Total"                    
     names(rb) = "Total"                 
+    bs = reclass(rowSums((wp * Rb[, 1:ncol(wp)])), rp) # Seminotional funds returns
+    allocation = ((1 + Rb) / (1 + rep(rb, ncol(Rp))) - 1) * (wp - wb) # Geometric attribution effects for individual categories
+    selection = wp * (Rp - Rb) / (1 + rep(bs, ncol(Rp)))
+    allocation = cbind(allocation, rowSums(allocation)) # Total effects
+    selection = cbind(selection, rowSums(selection))
+    colnames(allocation)[ncol(allocation)] = "Total"
+    colnames(selection)[ncol(selection)] = "Total"
+    
+    # Link single-period attribution effects
+    a = (apply(1 + allocation[, ncol(allocation)], 2, prod) - 1)
+    s = (apply(1 + selection[, ncol(selection)], 2, prod) - 1)
+    (apply(1 + selection[, ncol(selection)], 2, prod) - 1)
+    allocation = rbind(as.data.frame(allocation), c(rep(NA, ncol(allocation) - 1), a))
+    selection = rbind(as.data.frame(selection), c(rep(NA, ncol(selection) - 1), s))
+    rownames(allocation)[nrow(allocation)] = "Total"
+    rownames(selection)[nrow(selection)] = "Total"
+    
+    # Get annualized geometric excess returns
+    excess.returns = (1 + rp) / (1 + rb) - 1
     rp.a = prod(1 + rp) - 1              
     rb.a = prod(1 + rb) - 1
-    Rp = cbind(Rp, rp)
-    Rb = cbind(Rb, rb)
+    ger.a = as.matrix((1 + rp.a) / (1 + rb.a) - 1)  # Geometric (annualized) excess returns
+    rownames(ger.a) = "Total geometric"
+    excess.returns = rbind(as.matrix(excess.returns), ger.a)
     
-    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")
+    result[[1]] = excess.returns
+    result[[2]] = allocation
+    result[[3]] = selection
+    names(result) = c("Excess returns", "Allocation", "Selection")
     return(result)
 }
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