[Returnanalytics-commits] r2334 - in pkg/PerformanceAnalytics: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Mon Apr 1 18:57:25 CEST 2013
Author: braverock
Date: 2013-04-01 18:57:25 +0200 (Mon, 01 Apr 2013)
New Revision: 2334
Modified:
pkg/PerformanceAnalytics/R/ActivePremium.R
pkg/PerformanceAnalytics/R/CAPM.alpha.R
pkg/PerformanceAnalytics/R/CAPM.beta.R
pkg/PerformanceAnalytics/R/table.CAPM.R
pkg/PerformanceAnalytics/man/ActivePremium.Rd
pkg/PerformanceAnalytics/man/CAPM.alpha.Rd
pkg/PerformanceAnalytics/man/CAPM.beta.Rd
pkg/PerformanceAnalytics/man/table.CAPM.Rd
Log:
- add SFM aliases to CAPM fns, thanks to Doug Martin for the suggestion
- update docs
Modified: pkg/PerformanceAnalytics/R/ActivePremium.R
===================================================================
--- pkg/PerformanceAnalytics/R/ActivePremium.R 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/R/ActivePremium.R 2013-04-01 16:57:25 UTC (rev 2334)
@@ -1,4 +1,4 @@
-#' Active Premium
+#' Active Premium or Active Return
#'
#' The return on an investment's annualized return minus the benchmark's
#' annualized return.
@@ -6,6 +6,7 @@
#' Active Premium = Investment's annualized return - Benchmark's annualized
#' return
#'
+#' Also commonly referred to as 'active return'.
#'
#' @param Ra return vector of the portfolio
#' @param Rb return vector of the benchmark asset
@@ -24,12 +25,10 @@
#' 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])
-#'
-#' @export
-#'
-#'
-
-ActivePremium <- function (Ra, Rb, scale = NA)
+#' @rdname ActivePremium
+#' @aliases ActivePremium, ActiveReturn
+#' @export
+ActiveReturn <- ActivePremium <- function (Ra, Rb, scale = NA)
{ # @author Peter Carl
# FUNCTION
Modified: pkg/PerformanceAnalytics/R/CAPM.alpha.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.alpha.R 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/R/CAPM.alpha.R 2013-04-01 16:57:25 UTC (rev 2334)
@@ -6,7 +6,10 @@
#' portion of the managers returns that are not attributable to "Beta", or the
#' portion of performance attributable to a benchmark.
#'
-#'
+#' While the classical CAPM has been almost completely discredited by the
+#' literature, it is an example of a simple single factor model,
+#' comparing an asset to any arbitrary benchmark.
+#'
#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
#' @param Rb return vector of the benchmark asset
Modified: pkg/PerformanceAnalytics/R/CAPM.beta.R
===================================================================
--- pkg/PerformanceAnalytics/R/CAPM.beta.R 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/R/CAPM.beta.R 2013-04-01 16:57:25 UTC (rev 2334)
@@ -21,12 +21,16 @@
#' 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
+#' The \code{TimingRatio} may 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.
#'
+#' While the classical CAPM has been almost completely discredited by the
+#' literature, it is an example of a simple single factor model,
+#' comparing an asset to any arbitrary benchmark.
+#'
#' @aliases CAPM.beta CAPM.beta.bull CAPM.beta.bear TimingRatio
#' @param Ra an xts, vector, matrix, data frame, timeSeries or zoo object of
#' asset returns
Modified: pkg/PerformanceAnalytics/R/table.CAPM.R
===================================================================
--- pkg/PerformanceAnalytics/R/table.CAPM.R 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/R/table.CAPM.R 2013-04-01 16:57:25 UTC (rev 2334)
@@ -1,7 +1,7 @@
-#' Asset-Pricing Model Summary: Statistics and Stylized Facts
+#' Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts
#'
-#' Takes a set of returns and relates them to a market benchmark. Provides a
-#' set of measures related to the excess return single index model, or CAPM.
+#' Takes a set of returns and relates them to a benchmark return. Provides a
+#' set of measures related to an excess return single factor model, or CAPM.
#'
#' This table will show statistics pertaining to an asset against a set of
#' benchmarks, or statistics for a set of assets against a benchmark.
@@ -21,24 +21,18 @@
#' @examples
#'
#' data(managers)
-#' table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
+#' table.SFM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
#'
-#' result = table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
+#' result = table.SFM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
#' textplot(result, rmar = 0.8, cmar = 1.5, max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
-#' title(main="CAPM-Related Statistics")
+#' title(main="Single Factor Model Related Statistics")
#'
-#'
+#' @rdname table.CAPM
+#' @aliases table.CAPM, table.SFM
#' @export
-table.CAPM <- function (Ra, Rb, scale = NA, Rf = 0, digits = 4)
+table.SFM <- table.CAPM <- function (Ra, Rb, scale = NA, Rf = 0, digits = 4)
{# @author Peter Carl
- # DESCRIPTION:
- # Asset-Pricing Model Summary: Statistics and Stylized Facts
- #
- # Takes a set of returns and relates them to a market benchmark.
- # Provides a set of measures related to the excess return single index
- # model, or CAPM.
-
# Inputs:
# Ra: a vector of returns to test, e.g., the asset to be examined
# Rb: a matrix, data.frame, or timeSeries of benchmarks to test the asset
Modified: pkg/PerformanceAnalytics/man/ActivePremium.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/ActivePremium.Rd 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/man/ActivePremium.Rd 2013-04-01 16:57:25 UTC (rev 2334)
@@ -1,8 +1,9 @@
-\name{ActivePremium}
-\alias{ActivePremium}
-\title{Active Premium}
+\name{ActiveReturn}
+\alias{ActivePremium,}
+\alias{ActiveReturn}
+\title{Active Premium or Active Return}
\usage{
- ActivePremium(Ra, Rb, scale = NA)
+ ActiveReturn(Ra, Rb, scale = NA)
}
\arguments{
\item{Ra}{return vector of the portfolio}
@@ -19,6 +20,8 @@
\details{
Active Premium = Investment's annualized return -
Benchmark's annualized return
+
+ Also commonly referred to as 'active return'.
}
\examples{
data(managers)
Modified: pkg/PerformanceAnalytics/man/CAPM.alpha.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.alpha.Rd 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/man/CAPM.alpha.Rd 2013-04-01 16:57:25 UTC (rev 2334)
@@ -20,6 +20,11 @@
measuring the portion of the managers returns that are
not attributable to "Beta", or the portion of performance
attributable to a benchmark.
+
+ While the classical CAPM has been almost completely
+ discredited by the literature, it is an example of a
+ simple single factor model, comparing an asset to any
+ arbitrary benchmark.
}
\examples{
# First we load the data
Modified: pkg/PerformanceAnalytics/man/CAPM.beta.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.beta.Rd 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/man/CAPM.beta.Rd 2013-04-01 16:57:25 UTC (rev 2334)
@@ -48,12 +48,17 @@
markets. Alternatively, \code{CAPM.beta.bear} provides
the calculation on negative market returns.
- The \code{TimingRatio} can help assess whether the
+ The \code{TimingRatio} may 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.
+
+ While the classical CAPM has been almost completely
+ discredited by the literature, it is an example of a
+ simple single factor model, comparing an asset to any
+ arbitrary benchmark.
}
\examples{
data(managers)
Modified: pkg/PerformanceAnalytics/man/table.CAPM.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/table.CAPM.Rd 2013-04-01 16:17:43 UTC (rev 2333)
+++ pkg/PerformanceAnalytics/man/table.CAPM.Rd 2013-04-01 16:57:25 UTC (rev 2334)
@@ -1,8 +1,9 @@
-\name{table.CAPM}
-\alias{table.CAPM}
-\title{Asset-Pricing Model Summary: Statistics and Stylized Facts}
+\name{table.SFM}
+\alias{table.CAPM,}
+\alias{table.SFM}
+\title{Single Factor Asset-Pricing Model Summary: Statistics and Stylized Facts}
\usage{
- table.CAPM(Ra, Rb, scale = NA, Rf = 0, digits = 4)
+ table.SFM(Ra, Rb, scale = NA, Rf = 0, digits = 4)
}
\arguments{
\item{Ra}{a vector of returns to test, e.g., the asset to
@@ -19,9 +20,9 @@
\item{digits}{number of digits to round results to}
}
\description{
- Takes a set of returns and relates them to a market
- benchmark. Provides a set of measures related to the
- excess return single index model, or CAPM.
+ Takes a set of returns and relates them to a benchmark
+ return. Provides a set of measures related to an excess
+ return single factor model, or CAPM.
}
\details{
This table will show statistics pertaining to an asset
@@ -30,11 +31,11 @@
}
\examples{
data(managers)
-table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
+table.SFM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
-result = table.CAPM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
+result = table.SFM(managers[,1:3,drop=FALSE], managers[,8,drop=FALSE], Rf = managers[,10,drop=FALSE])
textplot(result, rmar = 0.8, cmar = 1.5, max.cex=.9, halign = "center", valign = "top", row.valign="center", wrap.rownames=15, wrap.colnames=10, mar = c(0,0,3,0)+0.1)
-title(main="CAPM-Related Statistics")
+title(main="Single Factor Model Related Statistics")
}
\author{
Peter Carl
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