The performanceanalytics tag has no wiki summary.
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0answers
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Call options portfolio: what would the underlyings' moments to be maximized?
Let you have only three underlyings, like SPY, TLT and GLD, and you want to buy $n_{1}$ Call options on SPY, $n_{2}$ Call options on TLT and $n_{3}$ Call options on GLD... with a limited budget, that ...
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3answers
184 views
How to do performance attribution for a few characteristics?
Let's say the characteristics that I am interested in are
FX
Country
Security selection
I have the benchmark weights and returns, the FX returns, and the portfolio weights and returns. Can ...
2
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2answers
295 views
performance attribution
I am trying to do some performance attribution for a few portfolios we manage. What I am trying to examine are three different sources of returns:
The general asset allocation
Security Selection
The ...
7
votes
1answer
414 views
How to compute modified-CVaR in the PerformanceAnalytics package?
My objective is to measure the modified-CVAR for a portfolio given its weights and matrix of security returns. Luckily the wonderful package PerformanceAnalytics has an ES() function that does just ...
4
votes
2answers
486 views
Use Trades as Input for PerformanceAnalytics
I'd like to use the PerformanceAnalytics R package to view various metrics from a list of trades with profit values. From looking at the documentation from the PerformanceAnalytics package that most ...
