[Returnanalytics-commits] r2332 - in pkg/PortfolioAttribution: . man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Mar 30 10:31:01 CET 2013
Author: braverock
Date: 2013-03-30 10:31:01 +0100 (Sat, 30 Mar 2013)
New Revision: 2332
Added:
pkg/PortfolioAttribution/man/logLinking.Rd
pkg/PortfolioAttribution/man/logLinking.zoo.Rd
pkg/PortfolioAttribution/man/period.apply.EZ.Rd
pkg/PortfolioAttribution/man/relativeAttribution.Rd
pkg/PortfolioAttribution/man/relativeAttributionWithoutFactors.Rd
Modified:
pkg/PortfolioAttribution/
pkg/PortfolioAttribution/DESCRIPTION
pkg/PortfolioAttribution/NAMESPACE
Log:
- update roxygen docs
- remove unneeded Suggests
Property changes on: pkg/PortfolioAttribution
___________________________________________________________________
Added: svn:ignore
+ .Rproj.user
.Rhistory
.RData
Modified: pkg/PortfolioAttribution/DESCRIPTION
===================================================================
--- pkg/PortfolioAttribution/DESCRIPTION 2013-03-29 17:47:30 UTC (rev 2331)
+++ pkg/PortfolioAttribution/DESCRIPTION 2013-03-30 09:31:01 UTC (rev 2332)
@@ -1,46 +1,43 @@
-Package: attribution
-Type: Package
-Title: Econometric tools for performance and risk analysis.
-Version: 0.1
-Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
-Author: Andrii Babii
-Maintainer: Brian G. Peterson <brian at braverock.com>
-Description: GSoC stub for attribution
-Depends:
- R (>= 2.14.0),
- zoo,
- xts (>= 0.8),
- PerformanceAnalytics(>= 1.0.4.3)
-Suggests:
- Hmisc,
- MASS,
- tseries,
- quadprog,
- sn,
- robustbase,
- quantreg,
- gplots,
- ff
-License: GPL
-URL: http://r-forge.r-project.org/projects/returnanalytics/
-Copyright: (c) 2004-2012
-Collate:
- 'Attribution.geometric.R'
- 'attribution.levels.R'
- 'attribution.R'
- 'AttributionFixedIncome.R'
- 'CAPM.dynamic.R'
- 'Carino.R'
- 'Conv.option.R'
- 'DaviesLaker.R'
- 'Frongello.R'
- 'Grap.R'
- 'HierarchyQuintiles.R'
- 'Menchero.R'
- 'Modigliani.R'
- 'Return.annualized.excess.R'
- 'Return.level.R'
- 'MarketTiming.R'
- 'Weight.level.R'
- 'Weight.transform.R'
- 'AcctReturns.R'
+Package: PortfolioAttribution
+Type: Package
+Title: Econometric tools for performance and risk analysis.
+Version: 0.2
+Date: $Date: 2012-06-06 15:18:48 -0500 (Wed, 06 Jun 2012) $
+Author: Andrii Babii
+Maintainer: Brian G. Peterson <brian at braverock.com>
+Description: Portfolio Attribution methods from Bacon, Carino, etc. GSoC 2012 project.
+Depends:
+ R (>= 2.14.0),
+ zoo,
+ xts (>= 0.8),
+ PerformanceAnalytics(>= 1.0.4.3)
+Suggests:
+ plyr
+License: GPL
+URL: http://r-forge.r-project.org/projects/returnanalytics/
+Copyright: (c) 2004-2012
+Collate:
+ 'Attribution.geometric.R'
+ 'attribution.levels.R'
+ 'attribution.R'
+ 'AttributionFixedIncome.R'
+ 'CAPM.dynamic.R'
+ 'Carino.R'
+ 'Conv.option.R'
+ 'DaviesLaker.R'
+ 'Frongello.R'
+ 'Grap.R'
+ 'HierarchyQuintiles.R'
+ 'Menchero.R'
+ 'Modigliani.R'
+ 'Return.annualized.excess.R'
+ 'Return.level.R'
+ 'MarketTiming.R'
+ 'Weight.level.R'
+ 'Weight.transform.R'
+ 'AcctReturns.R'
+ 'logLinking.R'
+ 'logLinkingZoo.R'
+ 'periodApplyEZ.R'
+ 'relativeAttribution.R'
+ 'relativeAttributionWithoutFactors.R'
Modified: pkg/PortfolioAttribution/NAMESPACE
===================================================================
--- pkg/PortfolioAttribution/NAMESPACE 2013-03-29 17:47:30 UTC (rev 2331)
+++ pkg/PortfolioAttribution/NAMESPACE 2013-03-30 09:31:01 UTC (rev 2332)
@@ -1,19 +1,19 @@
-export(AcctReturns)
-export(Attribution)
-export(Attribution.geometric)
-export(Attribution.levels)
-export(AttributionFixedIncome)
-export(CAPM.dynamic)
-export(Carino)
-export(Conv.option)
-export(DaviesLaker)
-export(Frongello)
-export(Grap)
-export(HierarchyQuintiles)
-export(MarketTiming)
-export(Menchero)
-export(Modigliani)
-export(Return.annualized.excess)
-export(Return.level)
-export(Weight.level)
-export(Weight.transform)
+export(AcctReturns)
+export(Attribution)
+export(AttributionFixedIncome)
+export(Attribution.geometric)
+export(Attribution.levels)
+export(CAPM.dynamic)
+export(Carino)
+export(Conv.option)
+export(DaviesLaker)
+export(Frongello)
+export(Grap)
+export(HierarchyQuintiles)
+export(MarketTiming)
+export(Menchero)
+export(Modigliani)
+export(Return.annualized.excess)
+export(Return.level)
+export(Weight.level)
+export(Weight.transform)
Added: pkg/PortfolioAttribution/man/logLinking.Rd
===================================================================
--- pkg/PortfolioAttribution/man/logLinking.Rd (rev 0)
+++ pkg/PortfolioAttribution/man/logLinking.Rd 2013-03-30 09:31:01 UTC (rev 2332)
@@ -0,0 +1,53 @@
+\name{logLinking}
+\alias{logLinking}
+\title{Logarithmic Linking}
+\usage{
+ logLinking(weighted.portfolio.returns,
+ weighted.benchmark.returns, component)
+}
+\arguments{
+ \item{weighted.portfolio.returns}{\code{n x p} data frame
+ containing asset ID (as rownames) and weighted portfolio
+ returns for \code{p} dates}
+
+ \item{weighted.benchmark.returns}{\code{m x p} containing
+ benchmark ID (as rownames) and weighted benchmark returns
+ for \code{p} dates}
+
+ \item{component}{data frame containing ID and attribution
+ component for \code{p} dates (e.g., \code{n x p} for
+ manager selection or \code{m x p} strategy allocation)}
+}
+\value{
+ Returns a list of two objects of class "\code{numeric}"
+ after applying the linking coefficient from the
+ logarithmic method: \item{linked}{ combined
+ \code{component} over time } \item{linked.total}{ sum of
+ combined \code{component} over time }
+}
+\description{
+ Aggregates performance attribution effects over time to
+ produce a multiperiod summary.
+}
+\details{
+ Transforms to a multiperiod arithmetic decomposition by
+ distributing the residual proportionately. Creates
+ linking coefficients \code{k_t / k} and applies to given
+ \code{component} to combine arithmetic attribution
+ effects over time. If \code{weighted.benchmark.returns}
+ is zero for each \code{p} date, then the function returns
+ absolute arithmetic attribution effect, e.g., factor
+ returns or idiosyncratic returns from factor model.
+}
+\author{
+ Eric Zivot
+}
+\references{
+ Christopherson, J., Carino, D., and Ferson, W. (2009)
+ \emph{Portfolio Performance Measurement and
+ Benchmarking}, McGrall-Hill.
+}
+\seealso{
+ \code{\link{relativeAttribution}}
+}
+
Added: pkg/PortfolioAttribution/man/logLinking.zoo.Rd
===================================================================
--- pkg/PortfolioAttribution/man/logLinking.zoo.Rd (rev 0)
+++ pkg/PortfolioAttribution/man/logLinking.zoo.Rd 2013-03-30 09:31:01 UTC (rev 2332)
@@ -0,0 +1,64 @@
+\name{logLinking.zoo}
+\alias{logLinking.zoo}
+\title{Log-linking Function For Use In rollApplyEZ}
+\usage{
+ logLinking.zoo(x, asset.names, strategy.names,
+ component.names,
+ component.type = c("manager", "strategy", "factor"),
+ return.out = c("linked", "linked.total"))
+}
+\arguments{
+ \item{x}{\code{zoo} object containing data to be
+ aggregated.}
+
+ \item{asset.names}{Character vector of asset IDs}
+
+ \item{strategy.names}{Character vector of strategy
+ abbreviations}
+
+ \item{component.names}{Character vector of component
+ names. If \code{component.type="manager"} then
+ \code{component.names} are asset IDs; if
+ \code{component.type="strategy"} then
+ \code{component.names} are strategy abbreviations.if
+ \code{component.type="factor"} then
+ \code{component.names} are factor IDs.}
+
+ \item{component.type}{character string indicating type of
+ attribution. Valid choices are \code{"manager"} for
+ manager selection attribution; \code{"strategy"} for
+ strategy allocation attribution; \code{"factor"} for
+ factor attribution.}
+
+ \item{return.out}{character string indicating output from
+ log-linking function. Valid choices are \code{"linked"}
+ for disaggregated results, and \code{"linked.total"} for
+ total results.}
+}
+\value{
+ A numeric vector of attribution values with the same
+ length as \code{component.names} if
+ \code{return.out="linked"} or a numeric value giving
+ total attribution if \code{return.out = "linked.total"}.
+}
+\description{
+ Function to be passed to rollApplyEZ() for carino linking
+ over user-specified attribution dates and aggregation
+ periods
+}
+\details{
+ %% ~~ If necessary, more details than the description
+ above ~~
+}
+\examples{
+##---- Should be DIRECTLY executable !! ----
+##-- ==> Define data, use random,
+##-- or do help(data=index) for the standard data sets.
+}
+\author{
+ Eric Zivot.
+}
+\seealso{
+ \code{\link{logLinking}}
+}
+
Added: pkg/PortfolioAttribution/man/period.apply.EZ.Rd
===================================================================
--- pkg/PortfolioAttribution/man/period.apply.EZ.Rd (rev 0)
+++ pkg/PortfolioAttribution/man/period.apply.EZ.Rd 2013-03-30 09:31:01 UTC (rev 2332)
@@ -0,0 +1,41 @@
+\name{period.apply.EZ}
+\alias{period.apply.EZ}
+\title{Apply Function Over Specified Interval}
+\usage{
+ period.apply.EZ(x, INDEX, FUN, ...)
+}
+\arguments{
+ \item{x}{data to apply \code{FUN} to}
+
+ \item{INDEX}{numeric vector specifying indexing}
+
+ \item{FUN}{an argument of type \code{function}}
+
+ \item{\dots}{additional arguments for \code{FUN}}
+}
+\value{
+ A vector with length of INDEX minus 1 or a matrix with
+ number of rows length of INDEX minus 1.
+}
+\description{
+ Modified version of period.apply() from package xts to
+ work with logLinking.zoo
+}
+\details{
+ Similar to the rest of the apply family, calculate a
+ specified functions value given a shifting set of data
+ values. The primary difference is that it is that
+ \code{period.apply.EZ} applies a function to
+ non-overlapping intervals along a vector. This is a
+ modified of the function \code{period.apply} in package
+ xts. The modification allows the output to be either a
+ vector with length of \code{INDEX} minus 1 or a matrix
+ with number of rows length of \code{INDEX} minus 1.
+ Useful for applying arbitrary functions over an entire
+ data object by an aribirtary index, as when \code{INDEX}
+ is the result of a call to \code{endpoints}.
+}
+\author{
+ Original code by Jeff Ryan. Modified by Eric Zivot.
+}
+
Added: pkg/PortfolioAttribution/man/relativeAttribution.Rd
===================================================================
--- pkg/PortfolioAttribution/man/relativeAttribution.Rd (rev 0)
+++ pkg/PortfolioAttribution/man/relativeAttribution.Rd 2013-03-30 09:31:01 UTC (rev 2332)
@@ -0,0 +1,79 @@
+\name{relativeAttribution}
+\alias{relativeAttribution}
+\title{Relative Performance Attribution}
+\usage{
+ relativeAttribution(portfolio.df, benchmark.df)
+}
+\arguments{
+ \item{portfolio.df}{\code{n x (3 + f)} data frame
+ containing asset ID (as rownames), Strategy \code{n x 1},
+ Weight \code{n x 1}, Return \code{n x 1},
+ exposure-weighted factor returns \code{n x f} whose
+ column names are the factor IDs}
+
+ \item{benchmark.df}{\code{m x (3 + f)} data frame
+ containing benchmark ID (as rownames), Strategy \code{n x
+ 1}, Weights \code{n x 1}, Returns \code{n x 1},
+ exposure-weighted factor returns \code{n x f} whose
+ column names are factor IDs.}
+}
+\value{
+ Returns a list with the following components:
+ \item{portfolio.ret}{ \code{1 x 1} matrix containing
+ portfolio return} \item{benchmark.ret}{ \code{1 x 1}
+ matrix containing benchmark return} \item{relative.ret}{
+ \code{1 x 1} matrix containing relative return}
+ \item{manager}{ \code{n x 1} data frame containing asset
+ ID (as rownames) and \code{ManagerSelection} }
+ \item{manager.total}{ numeric value of total
+ \code{ManagerSelection} component} \item{manager.factor}{
+ \code{n x (1 + f)} data frame containing asset ID (as
+ rownames) and ManagerSelection by \code{Idiosyncratic}
+ \code{n x 1} and factor IDs \code{n x f}}
+ \item{manager.factor.total}{ \code{n x 1} numeric object
+ with asset ID (as rownames) and ManagerSelection
+ component summed over all factor IDs}
+ \item{manager.idiosyncratic.total}{ numeric value of
+ ManagerSelection component summed over all Idiosyncratic
+ values} \item{strategy}{ \code{n x 2} data frame
+ containing benchmark ID (as rownames), \code{Strategy},
+ and \code{StrategyAllocation} } \item{strategy.total}{
+ numeric value of total StrategyAllocation component}
+ \item{strategy.factor}{ \code{m x (1 + f)} data frame
+ containing benchmark ID (as rownames) and
+ StrategyAllocation by \code{Idiosyncratic} \code{m x 1}
+ and factor IDs \code{m x f}}
+ \item{strategy.factor.total}{ \code{m x 1} numeric object
+ with benchmark ID (as rownames) and StrategyAllocation
+ component summed over all factor IDs}
+ \item{strategy.idiosyncratic.total}{ numeric value of
+ StrategyAllocation component summed over all
+ Idiosyncratic values}
+}
+\description{
+ Decompose relative returns into manager selection and
+ strategy allocation components, and then into factor and
+ idiosyncratic return contributions.
+}
+\details{
+ The Brinson model reflects a sector-based investment
+ process and attributes portfolio return to manager
+ selection and strategy allocation effects. Positive
+ contributions are earned by overweighting outperforming
+ managers/sectors and underweighting underperformers. In
+ addition, the manager selection and strategy allocation
+ effects are decomposed into factor and idiosyncratic
+ return contributions as defined by a factor model.
+}
+\author{
+ Eric Zivot
+}
+\references{
+ Davis, B. and Menchero, J. (2009) \emph{Beyond Brinson:
+ Establishing the Link Between Sector and Factor Models},
+ MSCI Barra Research Insights.
+}
+\seealso{
+ \code{\link{logLinking}}
+}
+
Added: pkg/PortfolioAttribution/man/relativeAttributionWithoutFactors.Rd
===================================================================
--- pkg/PortfolioAttribution/man/relativeAttributionWithoutFactors.Rd (rev 0)
+++ pkg/PortfolioAttribution/man/relativeAttributionWithoutFactors.Rd 2013-03-30 09:31:01 UTC (rev 2332)
@@ -0,0 +1,54 @@
+\name{relativeAttributionWithoutFactors}
+\alias{relativeAttributionWithoutFactors}
+\title{Relative Performance Attribution}
+\usage{
+ relativeAttributionWithoutFactors(portfolio.df,
+ benchmark.df)
+}
+\arguments{
+ \item{portfolio.df}{\code{n x 3} data frame containing
+ asset ID (as rownames), Strategy \code{n x 1}, Weight
+ \code{n x 1}, Return \code{n x 1},}
+
+ \item{benchmark.df}{\code{m x 3} data frame containing
+ benchmark ID (as rownames), Strategy \code{n x 1},
+ Weights \code{n x 1}, Returns \code{n x 1},}
+}
+\value{
+ Returns a list with the following components:
+ \item{portfolio.ret}{ \code{1 x 1} matrix containing
+ portfolio return} \item{benchmark.ret}{ \code{1 x 1}
+ matrix containing benchmark return} \item{relative.ret}{
+ \code{1 x 1} matrix containing relative return}
+ \item{manager}{ \code{n x 1} data frame containing asset
+ ID (as rownames) and \code{ManagerSelection} }
+ \item{manager.total}{ numeric value of total
+ \code{ManagerSelection} component} \item{strategy}{
+ \code{n x 2} data frame containing benchmark ID (as
+ rownames), \code{Strategy}, and \code{StrategyAllocation}
+ } \item{strategy.total}{ numeric value of total
+ StrategyAllocation component}
+}
+\description{
+ Decompose relative returns into manager selection and
+ strategy allocation components.
+}
+\details{
+ The Brinson model reflects a sector-based investment
+ process and attributes portfolio return to manager
+ selection and strategy allocation effects. Positive
+ contributions are earned by overweighting outperforming
+ managers/sectors and underweighting underperformers.
+}
+\author{
+ Eric Zivot
+}
+\references{
+ Davis, B. and Menchero, J. (2009) \emph{Beyond Brinson:
+ Establishing the Link Between Sector and Factor Models},
+ MSCI Barra Research Insights.
+}
+\seealso{
+ \code{\link{logLinking}}
+}
+
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