[Returnanalytics-commits] r1967 - pkg/PerformanceAnalytics/R

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

Author: ababii
Date: 2012-05-26 10:57:12 +0200 (Sat, 26 May 2012)
New Revision: 1967

Added:
   pkg/PerformanceAnalytics/R/attribution.arithmetic.R
Modified:
   pkg/PerformanceAnalytics/R/contribution.R
Log:
A sketch for attribution function

Added: pkg/PerformanceAnalytics/R/attribution.arithmetic.R
===================================================================
--- pkg/PerformanceAnalytics/R/attribution.arithmetic.R	                        (rev 0)
+++ pkg/PerformanceAnalytics/R/attribution.arithmetic.R	2012-05-26 08:57:12 UTC (rev 1967)
@@ -0,0 +1,77 @@
+#' performs attribution analysis
+#' 
+#' @aliases attribution.arithmetic
+#' 
+#' Performs attribution analysis of returns. Used to decompose uncover the sources 
+#' of the return using returns and portfolio weights. 
+#'
+#' @aliases attribution.arithmetic
+#' @param Rp vector of portfolio returns
+#' @param wp vector of portfolio weights
+#' @param Rb
+#' @param wb
+#' @author Andrii Babii
+#' @seealso 
+#' @references Jon A. Christopherson, David R., Wayne E. Ferson 
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' @examples
+#' 
+#' wp  <- rep(c(0.6, 0.1, 0.3), 3)
+#' wb <- rep(c(0.55, 0.05, 0.4), 3)
+#' Rp <- c(-0.037, -0.035, -0.001, 0.041, 0.037, 0.029, 0.035, 0.012, 0.01)
+#' Rb <- c(-0.019, -0.053, -0.09, 0.021, 0.043, 0.024, 0.021, 0.014, 0.004)
+#' dates <- c(rep("01/01/12", 3), rep("02/01/12", 3), rep("03/01/12", 3))
+#' t <- as.Date(dates, "%m/%d/%y")
+#' asset.class <- rep(c("large-cap equity", "small-cap equity", "fixed income"), 3)
+#' data.frame(t, asset.class, attribution.arithmetic(Rp, wp, Rb, wb, "td")) #Top-down
+#' data.frame(t, asset.class, attribution.arithmetic(Rp, wp, Rb, wb, "bu")) #Bottom-up
+#'
+#'
+attribution.arithmetic <- 
+function (Rp, wp, Rb, wb, FUN=c("td", "bu"))
+{ # @author Andrii Babii
+
+    # DESCRIPTION:
+    # This is a wrapper for attribution analysis.
+    
+    # Inputs:
+    # Rp: a matrix, data frame, or timeSeries of returns
+    # wp: a matrix, data frame, or timeSeries of weights
+    # Rb: 
+    # wb:
+  
+    # Outputs:
+    # This function returns the
+    # FUNCTION:
+
+    Rp = checkData(Rp)
+    wp = checkData(wp)
+    Rb = checkData(Rb)
+    wb = checkData(wb)
+
+    ae = (wp - wb) * Rb
+    se = (wb) * (Rp - Rb)
+    ie = (wp - wb) * (Rp - Rb)
+    te = ae + se + ie
+    result.contr.td = data.frame(ae, se + ie, te) # Top-down
+    result.contr.bu = data.frame(ae + ie, se, te) # Bottom-up
+    if(FUN == "td")
+        return(result.contr.td)
+    else
+        return(result.contr.bu)
+}
+
+#' @export 
+#' @rdname attribution.arithmetic
+
+###############################################################################
+# 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 $
+#
+###############################################################################

Modified: pkg/PerformanceAnalytics/R/contribution.R
===================================================================
--- pkg/PerformanceAnalytics/R/contribution.R	2012-05-25 14:07:21 UTC (rev 1966)
+++ pkg/PerformanceAnalytics/R/contribution.R	2012-05-26 08:57:12 UTC (rev 1967)
@@ -3,15 +3,17 @@
 #' @aliases contibution
 #' 
 #' Performs simple contribution analysis of returns. Used to uncover the sources 
-#' of the return using returns and portfolio weights. 
+#' of the return using returns and portfolio weights. Total portfolio returns can be 
+#' decomposed into segments: \deqn{R=\underset{i}{\sum}w_{i}R_{i}}
+#' R=sum_i(wi*Ri)
 #'
 #' @aliases contribution
-#' @param Rp vector of portfolio returns
-#' @param wp vector of portfolio weights
+#' @param Rp a matrix, data frame, or timeSeries of returns
+#' @param wp a matrix, data frame, or timeSeries of weights
 #' @author Andrii Babii
 #' @seealso 
 #' @references Jon A. Christopherson, David R., Wayne E. Ferson 
-#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009.
+#' \emph{Portfolio Performance Measurement and Benchmarking}. McGraw-Hill. 2009., Chapter 17
 #' @examples
 #' 
 #' data(portfolio)
@@ -31,7 +33,7 @@
     # wp: a matrix, data frame, or timeSeries of weights
   
     # Outputs:
-    # This function returns the vector of contribution to returns
+    # This function returns the vector or matrix of contribution to returns
 
     # FUNCTION: