Tag Info

The "Component ES" section of ?ES says: For the decomposition of Gaussian ES, the estimated mean and covariance matrix are needed. For the decomposition of modified ES, also estimates of the coskewness and cokurtosis matrices are needed. The estimate of the coskewness and cokurtosis matrices are what take such a long time. You can calculate them ...

If you've got a list of trades, I would first suggest using the blotter package to enter those transactions and compute your cash P&L. Then you can use the tradeStats function to see trade related statistics, or the portfReturns function to extract percent returns for your portfolio of symbols as a contribution to total account equity returns. After ...

There are a number of issues here. First, there are a number of methodologies called “performance attribution” each providing answers to different questions. So I am not sure what type of question you wish to address. I will here assume that you wish to evaluate the effects of investment decisions as opposed to the effects of market factors. I will also ...

You can approach this in two ways: You could calculate what is known as a naive currency attribution to measure the value added due to currency decisions. This would give you one portion of the manager's value added. You could then use a single factor Brinson model to calculate attribution in the local markets, which would give you a country allocation ...