[Returnanalytics-commits] r3534 - in pkg/PerformanceAnalytics: . tests/Examples
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Sat Sep 13 00:12:21 CEST 2014
Author: braverock
Date: 2014-09-13 00:12:20 +0200 (Sat, 13 Sep 2014)
New Revision: 3534
Modified:
pkg/PerformanceAnalytics/.Rbuildignore
pkg/PerformanceAnalytics/ChangeLog
pkg/PerformanceAnalytics/DESCRIPTION
pkg/PerformanceAnalytics/NEWS
pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save
Log:
- minor updates prior to CRAN submit
- bump version to 1.4.3534
Modified: pkg/PerformanceAnalytics/.Rbuildignore
===================================================================
--- pkg/PerformanceAnalytics/.Rbuildignore 2014-09-12 16:07:58 UTC (rev 3533)
+++ pkg/PerformanceAnalytics/.Rbuildignore 2014-09-12 22:12:20 UTC (rev 3534)
@@ -1,6 +1,7 @@
sandbox
generatechangelog.sh
ChangeLog.1.0.0
+ChangeLog
^.*\.Rproj$
^\.Rproj\.user$
codeblock.txt
Modified: pkg/PerformanceAnalytics/ChangeLog
===================================================================
--- pkg/PerformanceAnalytics/ChangeLog 2014-09-12 16:07:58 UTC (rev 3533)
+++ pkg/PerformanceAnalytics/ChangeLog 2014-09-12 22:12:20 UTC (rev 3534)
@@ -1,3 +1,131 @@
+2014-09-12 braverock
+
+ * DESCRIPTION, NAMESPACE, man/AverageDrawdown.Rd: - minor updates
+ prior to CRAN release
+
+2014-09-11 peter_carl
+
+ * R/maxDrawdown.R: - changed row label to fit function name
+ * R/maxDrawdown.R, sandbox/refactored.Portfolio.rebalancing.R: -
+ added AverageLength function
+ - added documentation for additional drawdown functions
+ * man/PerformanceAnalytics-package.Rd: - minor changes to reflect
+ changes in release
+
+2014-09-11 braverock
+
+ * R/Return.portfolio.R, man/Return.portfolio.Rd: - update docs for
+ Return.portfolio
+ * DESCRIPTION, R/ActivePremium.R, R/AdjustedSharpeRatio.R,
+ R/AppraisalRatio.R, R/BernadoLedoitratio.R, R/BurkeRatio.R,
+ R/CAPM.alpha.R, R/CAPM.beta.R, R/CAPM.epsilon.R,
+ R/CAPM.jensenAlpha.R, R/CAPM.utils.R, R/CalmarRatio.R,
+ R/CoMoments.R, R/DRatio.R, R/DownsideDeviation.R,
+ R/DownsideFrequency.R, R/DrawdownPeak.R, R/ES.R, R/FamaBeta.R,
+ R/Frequency.R, R/InformationRatio.R, R/Kappa.R, R/KellyRatio.R,
+ R/M2Sortino.R, R/MSquared.R, R/MSquaredExcess.R, R/MartinRatio.R,
+ R/MeanAbsoluteDeviation.R, R/NetSelectivity.R, R/Omega.R,
+ R/OmegaExcessReturn.R, R/OmegaSharpeRatio.R, R/PainIndex.R,
+ R/PainRatio.R, R/ProspectRatio.R, R/Return.Geltner.R,
+ R/Return.annualized.R, R/Return.annualized.excess.R,
+ R/Return.calculate.R, R/Return.clean.R, R/Return.cumulative.R,
+ R/Return.excess.R, R/Return.portfolio.R, R/Return.read.R,
+ R/Return.relative.R, R/Selectivity.R, R/SharpeRatio.R,
+ R/SharpeRatio.annualized.R, R/SkewnessKurtosisRatio.R,
+ R/SmoothingIndex.R, R/SortinoRatio.R, R/SpecificRisk.R,
+ R/StdDev.R, R/StdDev.annualized.R, R/SystematicRisk.R,
+ R/TotalRisk.R, R/TrackingError.R, R/TreynorRatio.R,
+ R/UpDownRatios.R, R/UpsideFrequency.R, R/UpsidePotentialRatio.R,
+ R/UpsideRisk.R, R/VaR.R, R/VolatilitySkewness.R,
+ R/apply.fromstart.R, R/apply.rolling.R, R/chart.ACF.R,
+ R/chart.Bar.R, R/chart.BarVaR.R, R/chart.Boxplot.R,
+ R/chart.CaptureRatios.R, R/chart.Correlation.R,
+ R/chart.CumReturns.R, R/chart.Drawdown.R, R/chart.ECDF.R,
+ R/chart.Events.R, R/chart.Histogram.R, R/chart.QQPlot.R,
+ R/chart.Regression.R, R/chart.RelativePerformance.R,
+ R/chart.RiskReturnScatter.R, R/chart.RollingCorrelation.R,
+ R/chart.RollingMean.R, R/chart.RollingPerformance.R,
+ R/chart.RollingRegression.R, R/chart.Scatter.R,
+ R/chart.SnailTrail.R, R/chart.StackedBar.R, R/chart.TimeSeries.R,
+ R/chart.VaRSensitivity.R, R/charts.PerformanceSummary.R,
+ R/charts.RollingPerformance.R, R/checkData.R, R/findDrawdowns.R,
+ R/kurtosis.R, R/maxDrawdown.R, R/mean.utils.R, R/skewness.R,
+ R/sortDrawdowns.R, R/table.AnnualizedReturns.R,
+ R/table.Arbitrary.R, R/table.Autocorrelation.R, R/table.CAPM.R,
+ R/table.CalendarReturns.R, R/table.CaptureRatios.R,
+ R/table.Correlation.R, R/table.Distributions.R,
+ R/table.DownsideRisk.R, R/table.DownsideRiskRatio.R,
+ R/table.Drawdowns.R, R/table.DrawdownsRatio.R,
+ R/table.HigherMoments.R, R/table.InformationRatio.R,
+ R/table.MonthlyReturns.R, R/table.ProbOutperformance.R,
+ R/table.RollingPeriods.R, R/table.SpecificRisk.R,
+ R/table.Variability.R, R/textplot.R, man/ActivePremium.Rd,
+ man/AdjustedSharpeRatio.Rd, man/AppraisalRatio.Rd,
+ man/BernardoLedoitRatio.Rd, man/BetaCoMoments.Rd,
+ man/BurkeRatio.Rd, man/CAPM.RiskPremium.Rd, man/CAPM.alpha.Rd,
+ man/CAPM.beta.Rd, man/CAPM.epsilon.Rd, man/CAPM.jensenAlpha.Rd,
+ man/CDD.Rd, man/CalmarRatio.Rd, man/CoMoments.Rd, man/DRatio.Rd,
+ man/DownsideDeviation.Rd, man/DownsideFrequency.Rd,
+ man/DrawdownPeak.Rd, man/ES.Rd, man/FamaBeta.Rd,
+ man/Frequency.Rd, man/InformationRatio.Rd, man/Kappa.Rd,
+ man/KellyRatio.Rd, man/M2Sortino.Rd, man/MSquared.Rd,
+ man/MSquaredExcess.Rd, man/MartinRatio.Rd,
+ man/MeanAbsoluteDeviation.Rd, man/NetSelectivity.Rd,
+ man/Omega.Rd, man/OmegaExcessReturn.Rd, man/OmegaSharpeRatio.Rd,
+ man/PainIndex.Rd, man/PainRatio.Rd, man/ProspectRatio.Rd,
+ man/Return.Geltner.Rd, man/Return.annualized.Rd,
+ man/Return.annualized.excess.Rd, man/Return.calculate.Rd,
+ man/Return.clean.Rd, man/Return.cumulative.Rd,
+ man/Return.excess.Rd, man/Return.portfolio.Rd,
+ man/Return.read.Rd, man/Return.relative.Rd, man/Selectivity.Rd,
+ man/SharpeRatio.Rd, man/SharpeRatio.annualized.Rd,
+ man/SkewnessKurtosisRatio.Rd, man/SmoothingIndex.Rd,
+ man/SortinoRatio.Rd, man/SpecificRisk.Rd, man/StdDev.Rd,
+ man/StdDev.annualized.Rd, man/SystematicRisk.Rd,
+ man/TotalRisk.Rd, man/TrackingError.Rd, man/TreynorRatio.Rd,
+ man/UpDownRatios.Rd, man/UpsideFrequency.Rd,
+ man/UpsidePotentialRatio.Rd, man/UpsideRisk.Rd, man/VaR.Rd,
+ man/VolatilitySkewness.Rd, man/apply.fromstart.Rd,
+ man/apply.rolling.Rd, man/centeredmoments.Rd, man/chart.ACF.Rd,
+ man/chart.Bar.Rd, man/chart.BarVaR.Rd, man/chart.Boxplot.Rd,
+ man/chart.CaptureRatios.Rd, man/chart.Correlation.Rd,
+ man/chart.CumReturns.Rd, man/chart.Drawdown.Rd,
+ man/chart.ECDF.Rd, man/chart.Events.Rd, man/chart.Histogram.Rd,
+ man/chart.QQPlot.Rd, man/chart.Regression.Rd,
+ man/chart.RelativePerformance.Rd, man/chart.RiskReturnScatter.Rd,
+ man/chart.RollingCorrelation.Rd, man/chart.RollingMean.Rd,
+ man/chart.RollingPerformance.Rd, man/chart.RollingRegression.Rd,
+ man/chart.Scatter.Rd, man/chart.SnailTrail.Rd,
+ man/chart.StackedBar.Rd, man/chart.TimeSeries.Rd,
+ man/chart.VaRSensitivity.Rd, man/charts.PerformanceSummary.Rd,
+ man/charts.RollingPerformance.Rd, man/checkData.Rd,
+ man/clean.boudt.Rd, man/edhec.Rd, man/findDrawdowns.Rd,
+ man/kurtosis.Rd, man/maxDrawdown.Rd, man/mean.geometric.Rd,
+ man/portfolio_bacon.Rd, man/prices.Rd, man/skewness.Rd,
+ man/sortDrawdowns.Rd, man/table.AnnualizedReturns.Rd,
+ man/table.Arbitrary.Rd, man/table.Autocorrelation.Rd,
+ man/table.CAPM.Rd, man/table.CalendarReturns.Rd,
+ man/table.CaptureRatios.Rd, man/table.Correlation.Rd,
+ man/table.Distributions.Rd, man/table.DownsideRisk.Rd,
+ man/table.DownsideRiskRatio.Rd, man/table.Drawdowns.Rd,
+ man/table.DrawdownsRatio.Rd, man/table.HigherMoments.Rd,
+ man/table.InformationRatio.Rd, man/table.MonthlyReturns.Rd,
+ man/table.ProbOutPerformance.Rd, man/table.RollingPeriods.Rd,
+ man/table.SpecificRisk.Rd, man/table.Variability.Rd,
+ man/textplot.Rd, man/weights.Rd,
+ tests/Examples/PerformanceAnalytics-Ex.Rout.save: - updates to
+ pass R CMD check --as-cran
+
+2014-09-08 peter_carl
+
+ * NEWS: - added comments on version number method
+
+2014-09-07 braverock
+
+ * ChangeLog, DESCRIPTION, R/Return.clean.R, R/chart.Histogram.R,
+ R/chart.QQPlot.R, R/chart.RollingQuantileRegression.R: - updates
+ to pass R CMD check on r-devel
+
2014-09-05 bodanker
* R/VaR.R: - Fix error in reasonableness check when tmp is not
Modified: pkg/PerformanceAnalytics/DESCRIPTION
===================================================================
--- pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 16:07:58 UTC (rev 3533)
+++ pkg/PerformanceAnalytics/DESCRIPTION 2014-09-12 22:12:20 UTC (rev 3534)
@@ -1,7 +1,7 @@
Package: PerformanceAnalytics
Type: Package
Title: Econometric tools for performance and risk analysis.
-Version: 1.3.3533
+Version: 1.4.3534
Date: $Date$
Author: Peter Carl, Brian G. Peterson
Maintainer: Brian G. Peterson <brian at braverock.com>
Modified: pkg/PerformanceAnalytics/NEWS
===================================================================
--- pkg/PerformanceAnalytics/NEWS 2014-09-12 16:07:58 UTC (rev 3533)
+++ pkg/PerformanceAnalytics/NEWS 2014-09-12 22:12:20 UTC (rev 3534)
@@ -1,13 +1,19 @@
PerformanceAnalytics 1.4 Release Notes
-This release mostly adds some functionality from Bacon, and
-makes visible some features that were previously internal to
-the package. We've also completely re-written Return.portfolio.
+We've completely re-written Return.portfolio to make more of the
+internals available for those who have the need to disassemble the
+various components of the portfolio return. Return.portfolio and
+Return.rebalancing are now the same function, with Return.portfolio
+being preferred for new code.
-We've also moved to using roxygen2 to generate the NAMESPACE file,
+This release also adds some functionality from Bacon, and
+makes visible some functions that were previously internal to
+the package.
+
+We've moved to using roxygen2 to generate the NAMESPACE file,
which required touching basically every single generated .Rd file.
-We're also altering out version numbering system. We'll be using a
+We're also altering our version numbering system. We'll be using a
"major.cran-release.r-forge-rev" form to make it easier for us to track
where reported issues may have been introduced. Major releases will continue
to indicate that significant changes to the interfaces of the functions
Modified: pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save
===================================================================
--- pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-12 16:07:58 UTC (rev 3533)
+++ pkg/PerformanceAnalytics/tests/Examples/PerformanceAnalytics-Ex.Rout.save 2014-09-12 22:12:20 UTC (rev 3534)
@@ -3804,7 +3804,7 @@
> ### ** Examples
>
> data(edhec)
-> Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters") # returns time series
+> Return.portfolio(edhec["1997",1:5], rebalance_on="quarters") # returns time series
portfolio.returns
1997-01-31 0.033400000
1997-02-28 0.023762011
@@ -3818,7 +3818,7 @@
1997-10-31 -0.010780000
1997-11-30 -0.002621013
1997-12-31 0.012985944
-> Return.rebalancing(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list
+> Return.portfolio(edhec["1997",1:5], rebalance_on="quarters", verbose=TRUE) # returns list
$returns
portfolio.returns
1997-01-31 0.033400000
@@ -3977,7 +3977,7 @@
> # with a weights object
> data(weights) # rebalance at the beginning of the year to various weights through time
> chart.StackedBar(weights)
-> x <- Return.rebalancing(edhec["2000::",1:11], weights=weights,verbose=TRUE)
+> x <- Return.portfolio(edhec["2000::",1:11], weights=weights,verbose=TRUE)
> chart.CumReturns(x$returns)
> chart.StackedBar(x$BOP.Weight)
> chart.StackedBar(x$BOP.Value)
@@ -8176,7 +8176,7 @@
> ###
> options(digits = 7L)
> base::cat("Time elapsed: ", proc.time() - base::get("ptime", pos = 'CheckExEnv'),"\n")
-Time elapsed: 63.363 1.601 84.903 0 0
+Time elapsed: 62.721 1.582 85.601 0 0
> grDevices::dev.off()
pdf
2
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