[Returnanalytics-commits] r3259 - pkg/PerformanceAnalytics/man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Thu Nov 14 20:33:20 CET 2013
Author: peter_carl
Date: 2013-11-14 20:33:20 +0100 (Thu, 14 Nov 2013)
New Revision: 3259
Modified:
pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd
pkg/PerformanceAnalytics/man/CDD.Rd
pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd
pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd
pkg/PerformanceAnalytics/man/StdDev.annualized.Rd
pkg/PerformanceAnalytics/man/centeredmoments.Rd
pkg/PerformanceAnalytics/man/chart.ACF.Rd
pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd
pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd
pkg/PerformanceAnalytics/man/legend.Rd
pkg/PerformanceAnalytics/man/mean.geometric.Rd
Log:
- re-roxygenized help files
Modified: pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/CAPM.epsilon.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,7 +1,7 @@
\name{CAPM.epsilon}
\alias{CAPM.epsilon}
+\alias{Regression}
\alias{epsilon}
-\alias{Regression}
\title{Regression epsilon of the return distribution}
\usage{
CAPM.epsilon(Ra, Rb, Rf = 0, ...)
Modified: pkg/PerformanceAnalytics/man/CDD.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/CDD.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/CDD.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,6 +1,6 @@
\name{CDD}
+\alias{CDD}
\alias{CDaR}
-\alias{CDD}
\title{Calculate Uryasev's proposed Conditional Drawdown at Risk (CDD or CDaR)
measure}
\usage{
Modified: pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/Return.annualized.excess.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,67 +1,67 @@
-\name{Return.annualized.excess}
-\alias{Return.annualized.excess}
-\title{calculates an annualized excess return for comparing instruments with different
-length history}
-\usage{
- Return.annualized.excess(Rp, Rb, scale = NA,
- geometric = TRUE)
-}
-\arguments{
- \item{Rp}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of portfolio returns}
-
- \item{Rb}{an xts, vector, matrix, data frame, timeSeries
- or zoo object of benchmark returns}
-
- \item{scale}{number of periods in a year (daily scale =
- 252, monthly scale = 12, quarterly scale = 4)}
-
- \item{geometric}{generate geometric (TRUE) or simple
- (FALSE) excess returns, default TRUE}
-}
-\description{
- An average annualized excess return is convenient for
- comparing excess returns.
-}
-\details{
- Annualized returns are useful for comparing two assets.
- To do so, you must scale your observations to an annual
- scale by raising the compound return to the number of
- periods in a year, and taking the root to the number of
- total observations:
- \deqn{prod(1+R_{a})^{\frac{scale}{n}}-1=\sqrt[n]{prod(1+R_{a})^{scale}}-
- 1}{prod(1 + Ra)^(scale/n) - 1}
-
- where scale is the number of periods in a year, and n is
- the total number of periods for which you have
- observations.
-
- Finally having annualized returns for portfolio and
- benchmark we can compute annualized excess return as
- difference in the annualized portfolio and benchmark
- returns in the arithmetic case: \deqn{er = R_{pa} -
- R_{ba}}{er = Rpa - Rba}
-
- and as a geometric difference in the geometric case:
- \deqn{er = \frac{(1 + R_{pa})}{(1 + R_{ba})} - 1}{er = (1
- + Rpa) / (1 + Rba) - 1}
-}
-\examples{
-data(attrib)
-Return.annualized.excess(Rp = attrib.returns[, 21], Rb = attrib.returns[, 22])
-}
-\author{
- Andrii Babii
-}
-\references{
- Bacon, Carl. \emph{Practical Portfolio Performance
- Measurement and Attribution}. Wiley. 2004. p. 206-207
-}
-\seealso{
- \code{\link{Return.annualized}},
-}
-\keyword{distribution}
-\keyword{models}
-\keyword{multivariate}
-\keyword{ts}
-
+\name{Return.annualized.excess}
+\alias{Return.annualized.excess}
+\title{calculates an annualized excess return for comparing instruments with different
+length history}
+\usage{
+ Return.annualized.excess(Rp, Rb, scale = NA,
+ geometric = TRUE)
+}
+\arguments{
+ \item{Rp}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of portfolio returns}
+
+ \item{Rb}{an xts, vector, matrix, data frame, timeSeries
+ or zoo object of benchmark returns}
+
+ \item{scale}{number of periods in a year (daily scale =
+ 252, monthly scale = 12, quarterly scale = 4)}
+
+ \item{geometric}{generate geometric (TRUE) or simple
+ (FALSE) excess returns, default TRUE}
+}
+\description{
+ An average annualized excess return is convenient for
+ comparing excess returns.
+}
+\details{
+ Annualized returns are useful for comparing two assets.
+ To do so, you must scale your observations to an annual
+ scale by raising the compound return to the number of
+ periods in a year, and taking the root to the number of
+ total observations:
+ \deqn{prod(1+R_{a})^{\frac{scale}{n}}-1=\sqrt[n]{prod(1+R_{a})^{scale}}-
+ 1}{prod(1 + Ra)^(scale/n) - 1}
+
+ where scale is the number of periods in a year, and n is
+ the total number of periods for which you have
+ observations.
+
+ Finally having annualized returns for portfolio and
+ benchmark we can compute annualized excess return as
+ difference in the annualized portfolio and benchmark
+ returns in the arithmetic case: \deqn{er = R_{pa} -
+ R_{ba}}{er = Rpa - Rba}
+
+ and as a geometric difference in the geometric case:
+ \deqn{er = \frac{(1 + R_{pa})}{(1 + R_{ba})} - 1}{er = (1
+ + Rpa) / (1 + Rba) - 1}
+}
+\examples{
+data(managers)
+Return.annualized.excess(Rp = managers[,1], Rb = managers[,8])
+}
+\author{
+ Andrii Babii
+}
+\references{
+ Bacon, Carl. \emph{Practical Portfolio Performance
+ Measurement and Attribution}. Wiley. 2004. p. 206-207
+}
+\seealso{
+ \code{\link{Return.annualized}},
+}
+\keyword{distribution}
+\keyword{models}
+\keyword{multivariate}
+\keyword{ts}
+
Modified: pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/SkewnessKurtosisRatio.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,6 +1,6 @@
\name{SkewnessKurtosisRatio}
+\alias{Skewness-KurtosisRatio}
\alias{SkewnessKurtosisRatio}
-\alias{Skewness-KurtosisRatio}
\title{Skewness-Kurtosis ratio of the return distribution}
\usage{
SkewnessKurtosisRatio(R, ...)
Modified: pkg/PerformanceAnalytics/man/StdDev.annualized.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/StdDev.annualized.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/StdDev.annualized.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,7 +1,7 @@
\name{StdDev.annualized}
+\alias{StdDev.annualized}
\alias{sd.annualized}
\alias{sd.multiperiod}
-\alias{StdDev.annualized}
\title{calculate a multiperiod or annualized Standard Deviation}
\usage{
StdDev.annualized(x, scale = NA, ...)
Modified: pkg/PerformanceAnalytics/man/centeredmoments.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/centeredmoments.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/centeredmoments.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,7 +1,7 @@
\name{Return.centered}
+\alias{Return.centered}
\alias{centeredcomoment}
\alias{centeredmoment}
-\alias{Return.centered}
\title{calculate centered Returns}
\usage{
Return.centered(R, ...)
Modified: pkg/PerformanceAnalytics/man/chart.ACF.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.ACF.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/chart.ACF.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,12 +1,12 @@
-\name{chart.ACFplus}
+\name{chart.ACF}
\alias{chart.ACF}
\alias{chart.ACFplus}
\title{Create ACF chart or ACF with PACF two-panel chart}
\usage{
- chart.ACFplus(R, maxlag = NULL, elementcolor = "gray",
+ chart.ACF(R, maxlag = NULL, elementcolor = "gray",
main = NULL, ...)
- chart.ACF(R, maxlag = NULL, elementcolor = "gray",
+ chart.ACFplus(R, maxlag = NULL, elementcolor = "gray",
main = NULL, ...)
}
\arguments{
Modified: pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/chart.TimeSeries.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,23 +1,24 @@
-\name{charts.TimeSeries}
+\name{chart.TimeSeries}
+\alias{chart.TimeSeries}
\alias{charts.TimeSeries}
-\alias{chart.TimeSeries}
\title{Creates a time series chart with some extensions.}
\usage{
- charts.TimeSeries(R, space = 0, main = "Returns", ...)
-
chart.TimeSeries(R, auto.grid = TRUE, xaxis = TRUE,
yaxis = TRUE, yaxis.right = FALSE, type = "l", lty = 1,
- lwd = 2, main = NULL, ylab = NULL, xlab = "Date",
- date.format.in = "\%Y-\%m-\%d", date.format = NULL,
- xlim = NULL, ylim = NULL, element.color = "darkgray",
- event.lines = NULL, event.labels = NULL,
- period.areas = NULL, event.color = "darkgray",
- period.color = "aliceblue", colorset = (1:12),
- pch = (1:12), legend.loc = NULL, ylog = FALSE,
- cex.axis = 0.8, cex.legend = 0.8, cex.lab = 1,
- cex.labels = 0.8, cex.main = 1, major.ticks = "auto",
- minor.ticks = TRUE, grid.color = "lightgray",
- grid.lty = "dotted", xaxis.labels = NULL, ...)
+ lwd = 2, las = par("las"), main = NULL, ylab = NULL,
+ xlab = "", date.format.in = "\%Y-\%m-\%d",
+ date.format = NULL, xlim = NULL, ylim = NULL,
+ element.color = "darkgray", event.lines = NULL,
+ event.labels = NULL, period.areas = NULL,
+ event.color = "darkgray", period.color = "aliceblue",
+ colorset = (1:12), pch = (1:12), legend.loc = NULL,
+ ylog = FALSE, cex.axis = 0.8, cex.legend = 0.8,
+ cex.lab = 1, cex.labels = 0.8, cex.main = 1,
+ major.ticks = "auto", minor.ticks = TRUE,
+ grid.color = "lightgray", grid.lty = "dotted",
+ xaxis.labels = NULL, ...)
+
+ charts.TimeSeries(R, space = 0, main = "Returns", ...)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -46,6 +47,9 @@
\item{lwd}{set the line width, same as in
\code{\link{plot}}}
+ \item{las}{set the axis label rotation, same as in
+ \code{\link{plot}}}
+
\item{main}{set the chart title, same as in
\code{\link{plot}}}
Modified: pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/chart.VaRSensitivity.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -10,7 +10,7 @@
type = "l", lty = c(1, 2, 4), lwd = 1,
colorset = (1:12), pch = (1:12),
legend.loc = "bottomleft", cex.legend = 0.8,
- main = NULL, ...)
+ main = NULL, ylim = NULL, ...)
}
\arguments{
\item{R}{an xts, vector, matrix, data frame, timeSeries
@@ -37,6 +37,9 @@
\item{xlab}{set the x-axis label, same as in
\code{\link{plot}}}
+ \item{ylim}{set the y-axis dimensions, same as in
+ \code{\link{plot}}}
+
\item{type}{set the chart type, same as in
\code{\link{plot}}}
Modified: pkg/PerformanceAnalytics/man/legend.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/legend.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/legend.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,4 +1,5 @@
\name{legend}
+\alias{PerformanceAnalytics.internal}
\alias{allsymbols}
\alias{bluefocus}
\alias{bluemono}
@@ -20,7 +21,6 @@
\alias{macro.dates}
\alias{macro.labels}
\alias{opensymbols}
-\alias{PerformanceAnalytics.internal}
\alias{rainbow10equal}
\alias{rainbow12equal}
\alias{rainbow6equal}
Modified: pkg/PerformanceAnalytics/man/mean.geometric.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/mean.geometric.Rd 2013-11-14 19:29:41 UTC (rev 3258)
+++ pkg/PerformanceAnalytics/man/mean.geometric.Rd 2013-11-14 19:33:20 UTC (rev 3259)
@@ -1,8 +1,8 @@
\name{mean.geometric}
+\alias{mean.LCL}
+\alias{mean.UCL}
\alias{mean.geometric}
-\alias{mean.LCL}
\alias{mean.stderr}
-\alias{mean.UCL}
\alias{mean.utils}
\title{calculate attributes relative to the mean of the observation series given,
including geometric, stderr, LCL and UCL}
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