[Returnanalytics-commits] r3086 - pkg/PortfolioAnalytics/sandbox/symposium2013

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

Author: peter_carl
Date: 2013-09-13 16:11:38 +0200 (Fri, 13 Sep 2013)
New Revision: 3086

Added:
   pkg/PortfolioAnalytics/sandbox/symposium2013/parse.EDHEC.R
Log:
- renaming the script to potentially functionalize it


Copied: pkg/PortfolioAnalytics/sandbox/symposium2013/parse.EDHEC.R (from rev 3071, pkg/PortfolioAnalytics/sandbox/script.buildEDHEC.R)
===================================================================
--- pkg/PortfolioAnalytics/sandbox/symposium2013/parse.EDHEC.R	                        (rev 0)
+++ pkg/PortfolioAnalytics/sandbox/symposium2013/parse.EDHEC.R	2013-09-13 14:11:38 UTC (rev 3086)
@@ -0,0 +1,32 @@
+### Construct an xts object of EDHEC composite hedge fund style indexes
+
+# Peter Carl
+
+# Used for updating the edhec data object in PerformanceAnalytics
+
+require(gdata)
+require(xts)
+
+# Download the following file to the working directory:
+# http://www.edhec-risk.com/indexes/pure_style/data/table/history.csv
+### @TODO: Is there a way to download it directly? Maybe not, seems to require a login
+x=read.csv(file="history.csv", sep=";", header=TRUE, check.names=FALSE)
+x.dates = as.Date(x[,1], format="%d/%m/%Y")
+x.data = apply(x[,-1], MARGIN=2, FUN=function(x){as.numeric(sub("%","", x, fixed=TRUE))/100}) # get rid of percentage signs
+edhec = xts(x.data, order.by=x.dates)
+colnames(edhec)
+
+# calculate a wealth index
+edhec.idx = apply(edhec, MARGIN=2, FUN=function(x){cumprod(1 + na.omit(x))})
+# identify quarters
+edhec.Q.idx=edhec.idx[endpoints(edhec.idx, on="quarters"),]
+# calculate quarterly returns
+edhec.Q.R=ROC(edhec.Q.idx)
+# trim the last data point, if needed
+# dim(edhec.Q.R)
+# edhec.Q.R=edhec.Q.R[-61,]
+# reclass the object
+edhec.Q.R=as.xts(edhec.Q.R)
+# lm requires safe names
+colnames(edhec.Q.R)=make.names(colnames(edhec))
+