[Returnanalytics-commits] r1954 - in pkg/PerformanceAnalytics: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Wed May 23 17:47:57 CEST 2012
Author: braverock
Date: 2012-05-23 17:47:57 +0200 (Wed, 23 May 2012)
New Revision: 1954
Modified:
pkg/PerformanceAnalytics/DESCRIPTION
pkg/PerformanceAnalytics/man/ActivePremium.Rd
pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd
pkg/PerformanceAnalytics/man/CAPM.alpha.Rd
pkg/PerformanceAnalytics/man/CAPM.beta.Rd
pkg/PerformanceAnalytics/man/CDD.Rd
pkg/PerformanceAnalytics/man/CalmarRatio.Rd
pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
pkg/PerformanceAnalytics/man/ES.Rd
pkg/PerformanceAnalytics/man/InformationRatio.Rd
pkg/PerformanceAnalytics/man/KellyRatio.Rd
pkg/PerformanceAnalytics/man/Omega.Rd
pkg/PerformanceAnalytics/man/PerformanceAnalytics-package.Rd
pkg/PerformanceAnalytics/man/Return.Geltner.Rd
pkg/PerformanceAnalytics/man/Return.annualized.Rd
pkg/PerformanceAnalytics/man/Return.calculate.Rd
pkg/PerformanceAnalytics/man/Return.clean.Rd
pkg/PerformanceAnalytics/man/Return.cumulative.Rd
pkg/PerformanceAnalytics/man/Return.excess.Rd
pkg/PerformanceAnalytics/man/Return.portfolio.Rd
pkg/PerformanceAnalytics/man/Return.read.Rd
pkg/PerformanceAnalytics/man/Return.relative.Rd
pkg/PerformanceAnalytics/man/SharpeRatio.Rd
pkg/PerformanceAnalytics/man/SharpeRatio.annualized.Rd
pkg/PerformanceAnalytics/man/SmoothingIndex.Rd
pkg/PerformanceAnalytics/man/SortinoRatio.Rd
pkg/PerformanceAnalytics/man/StdDev.Rd
pkg/PerformanceAnalytics/man/StdDev.annualized.Rd
pkg/PerformanceAnalytics/man/TrackingError.Rd
pkg/PerformanceAnalytics/man/TreynorRatio.Rd
pkg/PerformanceAnalytics/man/UpDownRatios.Rd
pkg/PerformanceAnalytics/man/UpsidePotentialRatio.Rd
pkg/PerformanceAnalytics/man/VaR.Rd
pkg/PerformanceAnalytics/man/apply.fromstart.Rd
pkg/PerformanceAnalytics/man/apply.rolling.Rd
pkg/PerformanceAnalytics/man/centeredmoments.Rd
pkg/PerformanceAnalytics/man/chart.ACF.Rd
pkg/PerformanceAnalytics/man/chart.Bar.Rd
pkg/PerformanceAnalytics/man/chart.BarVaR.Rd
pkg/PerformanceAnalytics/man/chart.Boxplot.Rd
pkg/PerformanceAnalytics/man/chart.CaptureRatios.Rd
pkg/PerformanceAnalytics/man/chart.Correlation.Rd
pkg/PerformanceAnalytics/man/chart.CumReturns.Rd
pkg/PerformanceAnalytics/man/chart.Drawdown.Rd
pkg/PerformanceAnalytics/man/chart.ECDF.Rd
pkg/PerformanceAnalytics/man/chart.Events.Rd
pkg/PerformanceAnalytics/man/chart.Histogram.Rd
pkg/PerformanceAnalytics/man/chart.QQPlot.Rd
pkg/PerformanceAnalytics/man/chart.Regression.Rd
pkg/PerformanceAnalytics/man/chart.RelativePerformance.Rd
pkg/PerformanceAnalytics/man/chart.RiskReturnScatter.Rd
pkg/PerformanceAnalytics/man/chart.RollingCorrelation.Rd
pkg/PerformanceAnalytics/man/chart.RollingMean.Rd
pkg/PerformanceAnalytics/man/chart.RollingPerformance.Rd
pkg/PerformanceAnalytics/man/chart.RollingRegression.Rd
pkg/PerformanceAnalytics/man/chart.Scatter.Rd
pkg/PerformanceAnalytics/man/chart.SnailTrail.Rd
pkg/PerformanceAnalytics/man/chart.StackedBar.Rd
pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd
pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd
pkg/PerformanceAnalytics/man/charts.PerformanceSummary.Rd
pkg/PerformanceAnalytics/man/charts.RollingPerformance.Rd
pkg/PerformanceAnalytics/man/checkData.Rd
pkg/PerformanceAnalytics/man/findDrawdowns.Rd
pkg/PerformanceAnalytics/man/kurtosis.Rd
pkg/PerformanceAnalytics/man/legend.Rd
pkg/PerformanceAnalytics/man/maxDrawdown.Rd
pkg/PerformanceAnalytics/man/mean.geometric.Rd
pkg/PerformanceAnalytics/man/skewness.Rd
pkg/PerformanceAnalytics/man/sortDrawdowns.Rd
pkg/PerformanceAnalytics/man/table.AnnualizedReturns.Rd
pkg/PerformanceAnalytics/man/table.Arbitrary.Rd
pkg/PerformanceAnalytics/man/table.Autocorrelation.Rd
pkg/PerformanceAnalytics/man/table.CAPM.Rd
pkg/PerformanceAnalytics/man/table.CalendarReturns.Rd
pkg/PerformanceAnalytics/man/table.CaptureRatios.Rd
pkg/PerformanceAnalytics/man/table.Correlation.Rd
pkg/PerformanceAnalytics/man/table.DownsideRisk.Rd
pkg/PerformanceAnalytics/man/table.Drawdowns.Rd
pkg/PerformanceAnalytics/man/table.HigherMoments.Rd
pkg/PerformanceAnalytics/man/table.MonthlyReturns.Rd
pkg/PerformanceAnalytics/man/table.RollingPeriods.Rd
pkg/PerformanceAnalytics/man/textplot.Rd
pkg/PerformanceAnalytics/man/zerofill.Rd
Log:
Modified: pkg/PerformanceAnalytics/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/DESCRIPTION 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/DESCRIPTION 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,7 +1,7 @@
Package: PerformanceAnalytics
Type: Package
Title: Econometric tools for performance and risk analysis.
-Version: 1.0.4.4-3
+Version: 1.0.4.5
Date: $Date$
Author: Peter Carl, Brian G. Peterson, Kris Boudt, Eric Zivot
Maintainer: Brian G. Peterson <brian at braverock.com>
Modified: pkg/PerformanceAnalytics/man/ActivePremium.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/ActivePremium.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/ActivePremium.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,40 +1,46 @@
\name{ActivePremium}
\alias{ActivePremium}
-%- Also NEED an '\alias' for EACH other topic documented here.
-\title{ Active Premium }
-\description{
-The return on an investment's annualized return minus the benchmark's annualized return.
-
-Active Premium = Investment's annualized return - Benchmark's annualized return
-}
+\title{Active Premium}
\usage{
-ActivePremium(Ra, Rb, scale = NA)
+ ActivePremium(Ra, Rb, scale = NA)
}
-%- maybe also 'usage' for other objects documented here.
\arguments{
- \item{Ra}{ return vector of the portfolio }
- \item{Rb}{ return vector of the benchmark asset }
- \item{scale}{ number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) }
+ \item{Ra}{return vector of the portfolio}
+
+ \item{Rb}{return vector of the benchmark asset}
+
+ \item{scale}{number of periods in a year (daily scale =
+ 252, monthly scale = 12, quarterly scale = 4)}
}
-\references{
-Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio Management},Fall 1994, 49-58.
+\description{
+ The return on an investment's annualized return minus the
+ benchmark's annualized return.
}
-\author{ Peter Carl }
-\seealso{
- \code{\link{InformationRatio}}
- \code{\link{TrackingError}}
- \code{\link{Return.annualized}}
+\details{
+ Active Premium = Investment's annualized return -
+ Benchmark's annualized return
}
\examples{
- data(managers)
+data(managers)
ActivePremium(managers[, "HAM1", drop=FALSE], managers[, "SP500 TR", drop=FALSE])
- ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
- ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
+ ActivePremium(managers[,1,drop=FALSE], managers[,8,drop=FALSE])
+ ActivePremium(managers[,1:6], managers[,8,drop=FALSE])
ActivePremium(managers[,1:6], managers[,8:7,drop=FALSE])
}
-% Add one or more standard keywords, see file 'KEYWORDS' in the
-% R documentation directory.
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
+\author{
+ Peter Carl
+}
+\references{
+ Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio
+ Management},Fall 1994, 49-58.
+}
+\seealso{
+ \code{\link{InformationRatio}}
+ \code{\link{TrackingError}}
+ \code{\link{Return.annualized}}
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+
Modified: pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/CAPM.RiskPremium.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,63 +1,83 @@
-\name{CAPM.utils}
-\alias{CAPM.utils}
-\alias{CAPM.RiskPremium}
+\name{CAPM.RiskPremium}
\alias{CAPM.CML}
\alias{CAPM.CML.slope}
+\alias{CAPM.RiskPremium}
\alias{CAPM.SML.slope}
-%- Also NEED an '\alias' for EACH other topic documented here.
-\title{ utility functions for CAPM CML, SML, and RiskPremium }
-\description{
-The Capital Asset Pricing Model, from which the popular \code{\link{SharpeRatio}} is derived, is a theory of market equilibrium.
-These utility functions provide values for various measures proposed in the CAPM.
-}
+\alias{CAPM.utils}
+\title{utility functions for CAPM CML, SML, and RiskPremium}
\usage{
-CAPM.CML.slope(Rb, Rf = 0 )
-CAPM.CML(Ra, Rb, Rf = 0)
-CAPM.RiskPremium(Ra, Rf = 0)
-CAPM.SML.slope(Rb, Rf = 0)
+ CAPM.RiskPremium(Ra, Rf = 0)
}
-%- maybe also 'usage' for other objects documented here.
\arguments{
- \item{Ra}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{Rb}{ return vector of the benchmark asset }
- \item{Rf}{ risk free rate, in same period as your returns }
+ \item{Ra}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{Rb}{return vector of the benchmark asset}
+
+ \item{Rf}{risk free rate, in same period as your returns}
}
+\description{
+ The Capital Asset Pricing Model, from which the popular
+ \code{\link{SharpeRatio}} is derived, is a theory of
+ market equilibrium. These utility functions provide
+ values for various measures proposed in the CAPM.
+}
\details{
-The CAPM provides a justification for passive or index investing by positing that assets that are not on the efficient frontier will either rise or lower in price until they are on the efficient frontier of the market portfolio.
+ The CAPM provides a justification for passive or index
+ investing by positing that assets that are not on the
+ efficient frontier will either rise or lower in price
+ until they are on the efficient frontier of the market
+ portfolio.
-The CAPM Risk Premium on an investment is the measure of how much the asset's performance differs from the risk free rate. Negative Risk Premium generally indicates that the investment is a bad investment, and the money should be allocated to the risk free asset or to a different asset with a higher risk premium.
+ The CAPM Risk Premium on an investment is the measure of
+ how much the asset's performance differs from the risk
+ free rate. Negative Risk Premium generally indicates
+ that the investment is a bad investment, and the money
+ should be allocated to the risk free asset or to a
+ different asset with a higher risk premium.
-The Capital Market Line relates the excess expected return on an efficient market portfolio to it's Risk. The slope of the CML is the Sharpe Ratio for the market portfolio. The Security Market line is constructed by calculating the line of Risk Premium over \code{\link{CAPM.beta}}. For the benchmark asset this will be 1 over the risk premium of the benchmark asset. The CML also describes the only path allowed by the CAPM to a portfolio that outperforms the efficient frontier: it describes the line of reward/risk that a leveraged portfolio will occupy. So, according to CAPM, no portfolio constructed of the same assets can lie above the CML.
+ The Capital Market Line relates the excess expected
+ return on an efficient market portfolio to it's Risk.
+ The slope of the CML is the Sharpe Ratio for the market
+ portfolio. The Security Market line is constructed by
+ calculating the line of Risk Premium over
+ \code{\link{CAPM.beta}}. For the benchmark asset this
+ will be 1 over the risk premium of the benchmark asset.
+ The CML also describes the only path allowed by the CAPM
+ to a portfolio that outperforms the efficient frontier:
+ it describes the line of reward/risk that a leveraged
+ portfolio will occupy. So, according to CAPM, no
+ portfolio constructed of the same assets can lie above
+ the CML.
-Probably the most complete criticism of CAPM in actual practice (as opposed to structural or theory critiques) is that it posits a market equilibrium, but is most often used only in a partial equilibrium setting, for example by using the S\&P 500 as the benchmark asset. A better method of using and testing the CAPM would be to use a general equilibrium model that took global assets from all asset classes into consideration.
+ Probably the most complete criticism of CAPM in actual
+ practice (as opposed to structural or theory critiques)
+ is that it posits a market equilibrium, but is most often
+ used only in a partial equilibrium setting, for example
+ by using the S\&P 500 as the benchmark asset. A better
+ method of using and testing the CAPM would be to use a
+ general equilibrium model that took global assets from
+ all asset classes into consideration.
-Chapter 7 of Ruppert(2004) gives an extensive overview of CAPM, its assumptions and deficiencies.
+ Chapter 7 of Ruppert(2004) gives an extensive overview of
+ CAPM, its assumptions and deficiencies.
-\code{CAPM.RiskPremium} is the premium returned to the investor over the risk free asset
+ \code{CAPM.RiskPremium} is the premium returned to the
+ investor over the risk free asset
-\deqn{\overline{(R_{a}-R_{f})}}{mean(Ra-Rf=0)}
+ \deqn{\overline{(R_{a}-R_{f})}}{mean(Ra-Rf=0)}
-\code{CAPM.CML} calculates the expected return of the asset against the benchmark Capital Market Line
+ \code{CAPM.CML} calculates the expected return of the
+ asset against the benchmark Capital Market Line
-\code{CAPM.CML.slope} calculates the slope of the Capital Market Line for looking at how a particular asset compares to the CML
+ \code{CAPM.CML.slope} calculates the slope of the Capital
+ Market Line for looking at how a particular asset
+ compares to the CML
-\code{CAPM.SML.slope} calculates the slope of the Security Market Line for looking at how a particular asset compares to the SML created by the benchmark
-
+ \code{CAPM.SML.slope} calculates the slope of the
+ Security Market Line for looking at how a particular
+ asset compares to the SML created by the benchmark
}
-\references{
-Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio Management},Fall 1994, 49-58. \cr
-Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. \emph{Journal of finance}, vol 19, 1964, 425-442. \cr
-Ruppert, David. \emph{Statistics and Finance, an Introduction}. Springer. 2004. \cr
-}
-\author{ Brian G. Peterson }
-\seealso{
- \code{\link{CAPM.beta}}
- \code{\link{CAPM.alpha}}
- \code{\link{SharpeRatio}}
- \code{\link{InformationRatio}}
- \code{\link{TrackingError}}
- \code{\link{ActivePremium}}
-}
\examples{
data(managers)
CAPM.CML.slope(managers[,"SP500 TR",drop=FALSE], managers[,10,drop=FALSE])
@@ -66,11 +86,25 @@
CAPM.RiskPremium(managers[,"HAM1",drop=FALSE], Rf=0)
CAPM.SML.slope(managers[,"SP500 TR",drop=FALSE], Rf=0)
# should create plots like in Ruppert 7.1 7.2
+}
+\author{
+ Brian G. Peterson
+}
+\references{
+ Sharpe, W.F. The Sharpe Ratio,\emph{Journal of Portfolio
+ Management},Fall 1994, 49-58. \cr Sharpe, W.F. Capital
+ Asset Prices: A theory of market equilibrium under
+ conditions of risk. \emph{Journal of finance}, vol 19,
+ 1964, 425-442. \cr Ruppert, David. \emph{Statistics and
+ Finance, an Introduction}. Springer. 2004. \cr
+}
+\seealso{
+ \code{\link{CAPM.beta}} \code{\link{CAPM.alpha}}
+ \code{\link{SharpeRatio}} \code{\link{InformationRatio}}
+ \code{\link{TrackingError}} \code{\link{ActivePremium}}
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
-}
-% Add one or more standard keywords, see file 'KEYWORDS' in the
-% R documentation directory.
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
Modified: pkg/PerformanceAnalytics/man/CAPM.alpha.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.alpha.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/CAPM.alpha.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,44 +1,63 @@
\name{CAPM.alpha}
\alias{CAPM.alpha}
-%- Also NEED an '\alias' for EACH other topic documented here.
-\title{ calculate CAPM alpha }
-\description{
-This is a wrapper for calculating a CAPM alpha.
-
-"Alpha" purports to be a measure of a manager's skill by measuring the portion of the managers returns that are not attributable to "Beta", or the portion of performance attributable to a benchmark.
-}
+\title{calculate CAPM alpha}
\usage{
-CAPM.alpha(Ra, Rb, Rf = 0)
+ CAPM.alpha(Ra, Rb, Rf = 0)
}
-%- maybe also 'usage' for other objects documented here.
\arguments{
- \item{Ra}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{Rb}{ return vector of the benchmark asset }
- \item{Rf}{ risk free rate, in same period as your returns }
+ \item{Ra}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{Rb}{return vector of the benchmark asset}
+
+ \item{Rf}{risk free rate, in same period as your returns}
}
-\references{
-Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. \emph{Journal of finance}, vol 19, 1964, 425-442. \cr
-Ruppert, David. \emph{Statistics and Finance, an Introduction}. Springer. 2004. \cr
+\description{
+ This is a wrapper for calculating a CAPM alpha.
}
-\author{ Peter Carl }
-\seealso{
- \code{\link{CAPM.beta}}
- \code{\link{CAPM.utils}}
+\details{
+ "Alpha" purports to be a measure of a manager's skill by
+ measuring the portion of the managers returns that are
+ not attributable to "Beta", or the portion of performance
+ attributable to a benchmark.
}
\examples{
# First we load the data
data(managers)
- CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
- CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
- CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf = managers[,10,drop=FALSE])
+ CAPM.alpha(managers[,1,drop=FALSE],
+ managers[,8,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1,drop=FALSE],
+ managers[,8,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+ CAPM.alpha(managers[,1:6],
+ managers[,8,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1:6],
+ managers[,8,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+ CAPM.alpha(managers[,1:6],
+ managers[,8:7,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1:6],
+ managers[,8:7,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+}
+\author{
+ Peter Carl
+}
+\references{
+ Sharpe, W.F. Capital Asset Prices: A theory of market
+ equilibrium under conditions of risk. \emph{Journal of
+ finance}, vol 19, 1964, 425-442. \cr Ruppert, David.
+ \emph{Statistics and Finance, an Introduction}. Springer.
+ 2004. \cr
+}
+\seealso{
+ \code{\link{CAPM.beta}} \code{\link{CAPM.utils}}
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
-}
-% Add one or more standard keywords, see file 'KEYWORDS' in the
-% R documentation directory.
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
\ No newline at end of file
Modified: pkg/PerformanceAnalytics/man/CAPM.beta.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.beta.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/CAPM.beta.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,68 +1,110 @@
\name{CAPM.beta}
\alias{CAPM.beta}
+\alias{CAPM.beta.bear}
\alias{CAPM.beta.bull}
-\alias{CAPM.beta.bear}
\alias{TimingRatio}
-%- Also NEED an '\alias' for EACH other topic documented here.
-\title{ calculate CAPM beta }
-\description{
-CAPM Beta is the beta of an asset to the variance and covariance of an initial portfolio. Used to determine diversification potential.
-
-This function uses a linear intercept model to achieve the same results as the symbolic model used by \code{\link{BetaCoVariance}}
-}
+\title{calculate CAPM beta}
\usage{
-CAPM.beta(Ra, Rb, Rf = 0)
-CAPM.beta.bull(Ra, Rb, Rf = 0)
-CAPM.beta.bear(Ra, Rb, Rf = 0)
-TimingRatio(Ra, Rb, Rf = 0)
+ CAPM.beta(Ra, Rb, Rf = 0)
}
-%- maybe also 'usage' for other objects documented here.
\arguments{
- \item{Ra}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{Rb}{ return vector of the benchmark asset }
- \item{Rf}{ risk free rate, in same period as your returns }
+ \item{Ra}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{Rb}{return vector of the benchmark asset}
+
+ \item{Rf}{risk free rate, in same period as your returns}
}
+\description{
+ CAPM Beta is the beta of an asset to the variance and
+ covariance of an initial portfolio. Used to determine
+ diversification potential.
+}
\details{
- \deqn{\beta_{a,b}=\frac{CoV_{a,b}}{\sigma_{b}}=\frac{\sum((R_{a}-\bar{R_{a}})(R_{b}-\bar{R_{b}}))}{\sum(R_{b}-\bar{R_{b}})^{2}}}{beta = cov(Ra,Rb)/var(R)}
+ This function uses a linear intercept model to achieve
+ the same results as the symbolic model used by
+ \code{\link{BetaCoVariance}}
-Ruppert(2004) reports that this equation will give the estimated slope of the linear regression of \eqn{R_{a}}{Ra} on \eqn{R_{b}}{Rb} and that this slope can be used to determine the risk premium or excess expected return (see Eq. 7.9 and 7.10, p. 230-231).
+ \deqn{\beta_{a,b}=\frac{CoV_{a,b}}{\sigma_{b}}=\frac{\sum((R_{a}-\bar{R_{a}})(R_{b}-\bar{R_{b}}))}{\sum(R_{b}-\bar{R_{b}})^{2}}}{beta
+ = cov(Ra,Rb)/var(R)}
-Two other functions apply the same notion of best fit to positive and negative market returns, separately. The \code{CAPM.beta.bull} is a regression for only positive market returns, which can be used to understand the behavior of the asset or portfolio in positive or 'bull' markets. Alternatively, \code{CAPM.beta.bear} provides the calculation on negative market returns.
+ Ruppert(2004) reports that this equation will give the
+ estimated slope of the linear regression of
+ \eqn{R_{a}}{Ra} on \eqn{R_{b}}{Rb} and that this slope
+ can be used to determine the risk premium or excess
+ expected return (see Eq. 7.9 and 7.10, p. 230-231).
-The \code{TimingRatio} can help assess whether the manager is a good timer of asset allocation decisions. The ratio, which is calculated as
- \deqn{TimingRatio =\frac{\beta^{+}}{\beta^{-}}}{Timing Ratio = beta+/beta-}
-is best when greater than one in a rising market and less than one in a falling market.
+ Two other functions apply the same notion of best fit to
+ positive and negative market returns, separately. The
+ \code{CAPM.beta.bull} is a regression for only positive
+ market returns, which can be used to understand the
+ behavior of the asset or portfolio in positive or 'bull'
+ markets. Alternatively, \code{CAPM.beta.bear} provides
+ the calculation on negative market returns.
+ The \code{TimingRatio} can help assess whether the
+ manager is a good timer of asset allocation decisions.
+ The ratio, which is calculated as \deqn{TimingRatio
+ =\frac{\beta^{+}}{\beta^{-}}}{Timing Ratio = beta+/beta-}
+ is best when greater than one in a rising market and less
+ than one in a falling market.
}
+\examples{
+data(managers)
+ CAPM.alpha(managers[,1,drop=FALSE],
+ managers[,8,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1,drop=FALSE],
+ managers[,8,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+ CAPM.alpha(managers[,1:6],
+ managers[,8,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1:6],
+ managers[,8,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+ CAPM.alpha(managers[,1:6],
+ managers[,8:7,drop=FALSE],
+ Rf=.035/12)
+ CAPM.alpha(managers[,1:6],
+ managers[,8:7,drop=FALSE],
+ Rf = managers[,10,drop=FALSE])
+ CAPM.beta(managers[, "HAM2", drop=FALSE],
+ managers[, "SP500 TR", drop=FALSE],
+ Rf = managers[, "US 3m TR", drop=FALSE])
+ CAPM.beta.bull(managers[, "HAM2", drop=FALSE],
+ managers[, "SP500 TR", drop=FALSE],
+ Rf = managers[, "US 3m TR", drop=FALSE])
+ CAPM.beta.bear(managers[, "HAM2", drop=FALSE],
+ managers[, "SP500 TR", drop=FALSE],
+ Rf = managers[, "US 3m TR", drop=FALSE])
+ TimingRatio(managers[, "HAM2", drop=FALSE],
+ managers[, "SP500 TR", drop=FALSE],
+ Rf = managers[, "US 3m TR", drop=FALSE])
+ chart.Regression(managers[, "HAM2", drop=FALSE],
+ managers[, "SP500 TR", drop=FALSE],
+ Rf = managers[, "US 3m TR", drop=FALSE],
+ fit="conditional",
+ main="Conditional Beta")
+}
+\author{
+ Peter Carl
+}
\references{
-Sharpe, W.F. Capital Asset Prices: A theory of market equilibrium under conditions of risk. \emph{Journal of finance}, vol 19, 1964, 425-442. \cr
-Ruppert, David. \emph{Statistics and Finance, an Introduction}. Springer. 2004. \cr
-Bacon, Carl. \emph{Practical portfolio performance measurement and attribution}. Wiley. 2004. \cr
+ Sharpe, W.F. Capital Asset Prices: A theory of market
+ equilibrium under conditions of risk. \emph{Journal of
+ finance}, vol 19, 1964, 425-442. \cr Ruppert, David.
+ \emph{Statistics and Finance, an Introduction}. Springer.
+ 2004. \cr Bacon, Carl. \emph{Practical portfolio
+ performance measurement and attribution}. Wiley. 2004.
+ \cr
}
-\author{ Peter Carl }
\seealso{
- \code{\link{BetaCoVariance}}
- \code{\link{CAPM.alpha}}
- \code{\link{CAPM.utils}}
+ \code{\link{BetaCoVariance}} \code{\link{CAPM.alpha}}
+ \code{\link{CAPM.utils}}
}
-\examples{
-data(managers)
- CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
- CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1:6], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
- CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf=.035/12)
- CAPM.alpha(managers[,1:6], managers[,8:7,drop=FALSE], Rf = managers[,10,drop=FALSE])
- CAPM.beta(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE], Rf = managers[, "US 3m TR", drop=FALSE])
- CAPM.beta.bull(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE], Rf = managers[, "US 3m TR", drop=FALSE])
- CAPM.beta.bear(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE], Rf = managers[, "US 3m TR", drop=FALSE])
- TimingRatio(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE], Rf = managers[, "US 3m TR", drop=FALSE])
- chart.Regression(managers[, "HAM2", drop=FALSE], managers[, "SP500 TR", drop=FALSE], Rf = managers[, "US 3m TR", drop=FALSE], fit="conditional", main="Conditional Beta")
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
-}
-% Add one or more standard keywords, see file 'KEYWORDS' in the
-% R documentation directory.
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
\ No newline at end of file
Modified: pkg/PerformanceAnalytics/man/CDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CDD.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/CDD.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,43 +1,53 @@
\name{CDD}
+\alias{CDaR}
\alias{CDD}
-\alias{CDaR}
-\concept{drawdown}
-\concept{conditional drawdown}
-\concept{conditional drawdown at risk}
-\title{
-Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR) measure
+\title{Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
+measure}
+\usage{
+ CDD(R, weights = NULL, geometric = TRUE, invert = TRUE,
+ p = 0.95, ...)
}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
+
+ \item{weights}{portfolio weighting vector, default NULL,
+ see Details}
+
+ \item{geometric}{generate geometric (TRUE) or simple
+ (FALSE) returns, default TRUE}
+
+ \item{invert}{TRUE/FALSE whether to invert the drawdown
+ measure. see Details.}
+
+ \item{p}{confidence level for calculation, default
+ p=0.95}
+
+ \item{\dots}{any other passthru parameters}
+}
\description{
-For some confidence level \eqn{p}, the conditional drawdown is the the mean of the worst \eqn{p\%} drawdowns.
+ For some confidence level \eqn{p}, the conditional
+ drawdown is the the mean of the worst \eqn{p\%}
+ drawdowns.
}
-\usage{
-CDD(R, weights = NULL, geometric = TRUE, invert = TRUE, p = 0.95, ...)
+\examples{
+data(edhec)
+t(round(CDD(edhec),4))
}
-%- maybe also 'usage' for other objects documented here.
-\arguments{
- \item{R}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{weights}{ portfolio weighting vector, default NULL, see Details}
- \item{geometric}{ generate geometric (TRUE) or simple (FALSE) returns, default TRUE }
- \item{invert}{ TRUE/FALSE whether to invert the drawdown measure. see Details. }
- \item{p}{ confidence level for calculation, default p=0.95 }
- \item{\dots}{ any other passthru parameters }
+\author{
+ Brian G. Peterson
}
\references{
-Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio Optimization With Drawdown Constraints. B. Scherer (Ed.) Asset and Liability Management Tools, Risk Books, London, 2003
-http://www.ise.ufl.edu/uryasev/drawdown.pdf
+ Chekhlov, A., Uryasev, S., and M. Zabarankin. Portfolio
+ Optimization With Drawdown Constraints. B. Scherer (Ed.)
+ Asset and Liability Management Tools, Risk Books, London,
+ 2003 http://www.ise.ufl.edu/uryasev/drawdown.pdf
}
\seealso{
-\code{\link{ES}}
-\code{\link{maxDrawdown}}
+ \code{\link{ES}} \code{\link{maxDrawdown}}
}
-\author{
-Brian G. Peterson
-}
-\examples{
-data(edhec)
-t(round(CDD(edhec),4))
-}
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
\ No newline at end of file
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+
Modified: pkg/PerformanceAnalytics/man/CalmarRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CalmarRatio.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/CalmarRatio.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,48 +1,71 @@
\name{CalmarRatio}
\alias{CalmarRatio}
\alias{SterlingRatio}
+\title{calculate a Calmar or Sterling reward/risk ratio}
+\usage{
+ CalmarRatio(R, scale = NA)
-\title{ calculate a Calmar or Sterling reward/risk ratio }
-\description{
-Calmar and Sterling Ratios are yet another method of creating a risk-adjusted measure for ranking investments similar to the \code{\link{SharpeRatio}}.
+ SterlingRatio(R, scale = NA, excess = 0.1)
}
-\usage{
- CalmarRatio(R, scale = NA)
- SterlingRatio(R, scale = NA, excess=.1)
-}
+\arguments{
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
-\arguments{
- \item{R}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{scale}{ number of periods in a year (daily scale = 252, monthly scale = 12, quarterly scale = 4) }
- \item{excess}{ for Sterling Ratio, excess amount to add to the max drawdown, traditionally and default .1 (10\%)}
+ \item{scale}{number of periods in a year (daily scale =
+ 252, monthly scale = 12, quarterly scale = 4)}
+
+ \item{excess}{for Sterling Ratio, excess amount to add to
+ the max drawdown, traditionally and default .1 (10\%)}
}
+\description{
+ Calmar and Sterling Ratios are yet another method of
+ creating a risk-adjusted measure for ranking investments
+ similar to the \code{\link{SharpeRatio}}.
+}
\details{
-Both the Calmar and the Sterling ratio are the ratio of annualized return over the absolute value of the maximum drawdown of an investment. The Sterling ratio adds an excess risk measure to the maximum drawdown, traditionally and defaulting to 10\%.
+ Both the Calmar and the Sterling ratio are the ratio of
+ annualized return over the absolute value of the maximum
+ drawdown of an investment. The Sterling ratio adds an
+ excess risk measure to the maximum drawdown,
+ traditionally and defaulting to 10\%.
-It is also traditional to use a three year return series for these calculations, although the functions included here make no effort to determine the length of your series. If you want to use a subset of your series, you'll need to truncate or subset the input data to the desired length.
+ It is also traditional to use a three year return series
+ for these calculations, although the functions included
+ here make no effort to determine the length of your
+ series. If you want to use a subset of your series,
+ you'll need to truncate or subset the input data to the
+ desired length.
-Many other measures have been proposed to do similar reward to risk ranking. It is the opinion of this author that newer measures such as Sortino's \code{\link{UpsidePotentialRatio}} or Favre's \code{\link{SharpeRatio.modified}} are both \dQuote{better} measures, and should be preferred to the Calmar or Sterling Ratio.
+ Many other measures have been proposed to do similar
+ reward to risk ranking. It is the opinion of this author
+ that newer measures such as Sortino's
+ \code{\link{UpsidePotentialRatio}} or Favre's modified
+ \code{\link{SharpeRatio}} are both \dQuote{better}
+ measures, and should be preferred to the Calmar or
+ Sterling Ratio.
}
-\references{
-Bacon, Carl. \emph{Practical Portfolio Performance Measurement and Attribution}. Wiley. 2004.
-}
-\author{ Brian G. Peterson }
-\seealso{
- \code{\link{Return.annualized}}, \cr
- \code{\link{maxDrawdown}}, \cr
- \code{\link{SharpeRatio.modified}}, \cr
- \code{\link{UpsidePotentialRatio}}
-}
\examples{
- data(managers)
+data(managers)
CalmarRatio(managers[,1,drop=FALSE])
- CalmarRatio(managers[,1:6])
+ CalmarRatio(managers[,1:6])
SterlingRatio(managers[,1,drop=FALSE])
SterlingRatio(managers[,1:6])
}
-% Add one or more standard keywords, see file 'KEYWORDS' in the
-% R documentation directory.
-\keyword{ ts }
-\keyword{ multivariate }
-\keyword{ distribution }
-\keyword{ models }
+\author{
+ Brian G. Peterson
+}
+\references{
+ Bacon, Carl. \emph{Practical Portfolio Performance
+ Measurement and Attribution}. Wiley. 2004.
+}
+\seealso{
+ \code{\link{Return.annualized}}, \cr
+ \code{\link{maxDrawdown}}, \cr
+ \code{\link{SharpeRatio.modified}}, \cr
+ \code{\link{UpsidePotentialRatio}}
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+
Modified: pkg/PerformanceAnalytics/man/DownsideDeviation.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/DownsideDeviation.Rd 2012-05-23 12:58:25 UTC (rev 1953)
+++ pkg/PerformanceAnalytics/man/DownsideDeviation.Rd 2012-05-23 15:47:57 UTC (rev 1954)
@@ -1,59 +1,88 @@
\name{DownsideDeviation}
\alias{DownsideDeviation}
+\alias{DownsidePotential}
\alias{SemiDeviation}
\alias{SemiVariance}
-\alias{DownsidePotential}
-\title{ downside risk (deviation, variance) of the return distribution }
-
-\description{
-Downside deviation, semideviation, and semivariance are measures of downside risk.
-}
-
+\title{downside risk (deviation, variance) of the return distribution}
\usage{
-DownsideDeviation(R, MAR = 0, method=c("subset","full"), ..., potential=FALSE )
-SemiDeviation(R)
-SemiVariance(R)
-DownsidePotential(R)
+ DownsideDeviation(R, MAR = 0,
+ method = c("subset", "full"), ..., potential = FALSE)
}
-
\arguments{
- \item{R}{ an xts, vector, matrix, data frame, timeSeries or zoo object of asset returns }
- \item{MAR}{ Minimum Acceptable Return, in the same periodicity as your returns }
- \item{method}{ one of "full" or "subset", indicating whether to use the length of the full series or the length of the subset of the series below the MAR as the denominator, defaults to "subset"}
- \item{\dots}{ any other passthru parameters}
- \item{potential}{ if TRUE, calculate downside potential instead, default FALSE}
-}
-\details{
-Downside deviation, similar to semi deviation, eliminates positive returns when calculating risk. Instead of using the mean return or zero, it uses the Minimum Acceptable Return as proposed by Sharpe (which may be the mean historical return or zero).
+ \item{R}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of asset returns}
-To calculate it, we take the subset of returns that are less than the target (or Minimum Acceptable Returns (MAR)) returns and take the differences of those to the target. We sum the squares and divide by the total number of returns to get a below-target semi-variance.
+ \item{MAR}{Minimum Acceptable Return, in the same
+ periodicity as your returns}
-\deqn{
-DownsideDeviation(R , MAR)= \delta_{MAR} = \sqrt{ \frac{\sum^{n}_{t=1}(R_{t} - MAR)^{2}}{n} }
-}
+ \item{method}{one of "full" or "subset", indicating
+ whether to use the length of the full series or the
+ length of the subset of the series below the MAR as the
+ denominator, defaults to "subset"}
-where \eqn{n} is either the number of observations of the entire series or the number of observations in the subset of the series falling below the MAR.
+ \item{\dots}{any other passthru parameters}
-SemiDeviation or SemiVariance is a popular alternative downside risk measure that may be used in place of standard deviation or variance. SemiDeviation and SemiVariance are implemented as a wrapper of DownsideDeviation with MAR=mean(R).
[TRUNCATED]
To get the complete diff run:
svnlook diff /svnroot/returnanalytics -r 1954
More information about the Returnanalytics-commits
mailing list