[Returnanalytics-commits] r3104 - in pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm: . R man vignettes
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Sep 14 03:16:50 CEST 2013
Author: shubhanm
Date: 2013-09-14 03:16:46 +0200 (Sat, 14 Sep 2013)
New Revision: 3104
Added:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf
Modified:
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/ACStdDev.annualized.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/glmi.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/lmi.Rd
pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
Log:
Documentation Checks + Modification of EmaxDDGBM.R code
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/NAMESPACE 2013-09-14 01:16:46 UTC (rev 3104)
@@ -1,20 +1,20 @@
export(ACStdDev.annualized)
+export(CDrawdown)
export(CalmarRatio.Norm)
-export(CDrawdown)
-export(chart.AcarSim)
-export(chart.Autocorrelation)
export(EmaxDDGBM)
-export(glmi)
export(GLMSmoothIndex)
-export(lmi)
export(LoSharpe)
export(QP.Norm)
export(Return.GLM)
export(Return.Okunev)
+export(SterlingRatio.Norm)
+export(UnsmoothReturn)
+export(chart.AcarSim)
+export(chart.Autocorrelation)
+export(glmi)
+export(lmi)
export(se.LoSharpe)
-export(SterlingRatio.Norm)
export(table.ComparitiveReturn.GLM)
export(table.EMaxDDGBM)
export(table.Sharpe)
export(table.UnsmoothReturn)
-export(UnsmoothReturn)
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R 2013-09-14 01:16:46 UTC (rev 3104)
@@ -22,7 +22,7 @@
#'library(PerformanceAnalytics)
#' data(edhec)
#' EmaxDDGBM(edhec)
-#' @rdname EMaxDDGBM
+#' @rdname EmaxDDGBM
#' @export
#' @export
EmaxDDGBM <-
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/ACStdDev.annualized.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/ACStdDev.annualized.Rd 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/ACStdDev.annualized.Rd 2013-09-14 01:16:46 UTC (rev 3104)
@@ -1,8 +1,8 @@
\name{ACStdDev.annualized}
\alias{ACStdDev.annualized}
+\alias{StdDev.annualized}
\alias{sd.annualized}
\alias{sd.multiperiod}
-\alias{StdDev.annualized}
\title{Autocorrleation adjusted Standard Deviation}
\usage{
ACStdDev.annualized(R, lag = 6, scale = NA, ...)
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/EMaxDDGBM.Rd 2013-09-14 01:16:46 UTC (rev 3104)
@@ -51,7 +51,7 @@
\keyword{Brownian}
\keyword{Drawdown}
\keyword{Expected}
-\keyword{models}
\keyword{Motion}
\keyword{Using}
+\keyword{models}
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/glmi.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/glmi.Rd 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/glmi.Rd 2013-09-14 01:16:46 UTC (rev 3104)
@@ -104,11 +104,11 @@
the S function of the same name described in Hastie &
Pregibon (1992).
}
+\keyword{HAC}
+\keyword{HC}
\keyword{covariance}
\keyword{estimation}
\keyword{fitting}
-\keyword{HAC}
-\keyword{HC}
\keyword{model}
\keyword{regression}
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/lmi.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/lmi.Rd 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/lmi.Rd 2013-09-14 01:16:46 UTC (rev 3104)
@@ -92,11 +92,11 @@
the S function of the same name described in Hastie &
Pregibon (1992).
}
+\keyword{HAC}
+\keyword{HC}
\keyword{covariance}
\keyword{estimation}
\keyword{fitting}
-\keyword{HAC}
-\keyword{HC}
\keyword{model}
\keyword{regression}
Modified: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-14 00:12:17 UTC (rev 3103)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/man/table.EMaxDDGBM.Rd 2013-09-14 01:16:46 UTC (rev 3104)
@@ -51,7 +51,7 @@
\keyword{Brownian}
\keyword{Drawdown}
\keyword{Expected}
-\keyword{models}
\keyword{Motion}
\keyword{Using}
+\keyword{models}
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw
===================================================================
--- pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw (rev 0)
+++ pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.Rnw 2013-09-14 01:16:46 UTC (rev 3104)
@@ -0,0 +1,83 @@
+\documentclass[12pt,letterpaper,english]{article}
+\usepackage{times}
+\usepackage[T1]{fontenc}
+\IfFileExists{url.sty}{\usepackage{url}}
+ {\newcommand{\url}{\texttt}}
+
+\usepackage{babel}
+\usepackage{Rd}
+
+\usepackage{Sweave}
+\SweaveOpts{engine=R,eps = FALSE}
+\begin{document}
+\SweaveOpts{concordance=TRUE}
+
+\title{ On the Maximum Drawdown of a Brownian Motion }
+\author{Shubhankit}
+% \keywords{Lo Sharpe Ratio,GLM Smooth Index,GLM Return Table}
+
+\makeatletter
+\makeatother
+\maketitle
+
+\begin{abstract}
+The maximum drawdown possible of an asset whose return series follows a Geometric Brownian Motion Process.
+
+\end{abstract}
+
+
+<<echo=FALSE>>=
+require(noniid.sm) #source('C:/Users/shubhankit/Desktop/Again/pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/LoSharpe.R')
+@
+
+<<echo=FALSE >>=
+library(PerformanceAnalytics)
+data(edhec)
+data(managers)
+@
+\section{Background}
+ If X(t) is a random process on [0, T ], the maximum
+ drawdown at time T , D(T), is defined by where \deqn{D(T)
+ = sup [X(s) - X(t)]} where s belongs to [0,t] and s
+ belongs to [0,T] Informally, this is the largest drop
+ from a peak to a bottom. In this paper, we investigate
+ the behavior of this statistic for a Brownian motion with
+ drift. In particular, we give an infinite series
+ representation of its distribution, and consider its
+ expected value. When the drift is zero, we give an
+ analytic expression for the expected value, and for
+ non-zero drift, we give an infinite series
+ representation. For all cases, we compute the limiting
+ \bold{(\eqn{T "tends to" \infty})} behavior, which can be
+ logarithmic (\eqn{\mu > 0} ), square root (\eqn{\mu = 0}),
+ or linear (\eqn{\mu < 0} ).
+
+
+
+<<echo=F,fig=T>>=
+source('C:/Users/shubhankit/Desktop/Again/pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/R/EmaxDDGBM.R')
+data(edhec)
+Lo.Sharpe = -100*ES(edhec,.99)
+Theoretical.Sharpe= EmaxDDGBM(edhec)
+barplot(as.matrix(rbind(Theoretical.Sharpe,Lo.Sharpe)), main="Expected Shortfall(.99) and Drawdown of a Brwonian Motion Asset Process",
+ xlab="Fund Type",ylab="Value", col=rich6equal[1:2], beside=TRUE)
+ legend("topright", c("ES","EGBMDD"), cex=0.6,
+ bty="2", fill=rich6equal[1:2]);
+@
+
+We can observe that the fund "\textbf{Emerging Markets}", which has the largest drawdown and serial autocorrelation, has highest Drawdown , \emph{decrease} most significantly as comapared to other funds.
+
+<<echo=F,fig=T>>=
+
+data(managers)
+Lo.Sharpe = -100*ES(managers[,1:6],.99)
+Theoretical.Sharpe= EmaxDDGBM(managers[,1:6])
+barplot(as.matrix(rbind(Theoretical.Sharpe,Lo.Sharpe)), main="Expected Shortfall(.99) and Drawdown of a Brwonian Motion Asset Process",
+ xlab="Fund Type",ylab="Value", col=rich6equal[1:2], beside=TRUE)
+ legend("topright", c("ES","EGBMDD"), cex=0.6,
+ bty="2", fill=rich6equal[1:2]);
+@
+
+We can see that the model, correctly ranks the highest drawdown fund managers, i.e. \textbf{HAM2}, which has the largest drawdown among all the funds.
+
+\end{document}
Added: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf
===================================================================
(Binary files differ)
Property changes on: pkg/PerformanceAnalytics/sandbox/Shubhankit/noniid.sm/vignettes/EmaxDDGBM.pdf
___________________________________________________________________
Added: svn:mime-type
+ application/octet-stream
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