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7

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 ...


7

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 ...


6

Approaches like FIFO and LIFO are most useful for tax accounting. If you don't have a tax accounting reason to do them, I'd recommend avoiding them, as they don't reflect actual realized gains (it's very rare for a position accounting system to move cash in and out of your account based on FIFO or LIFO). I'm going to discuss everything here in Gross of ...


4

I'll add my own experience here based on what we do at our firm, simply to provide more support for what Brian said in his answer. Fills that move a position further away from 0 contribute to the average price of the position. Fills that move a position closer to 0 "book profits" against the average price of the position to that point in time. Any fill ...


3

The PerformanceAnalytics library reflects several years worth of development by Brian Peterson and Peter Carl, as well as multiple collaborators. It is fairly widely used, tested and debugged. Basic software engineering practices suggest that you should strive to re-use it if possible. Options for that include accessing a remote R instance via RServe ...


2

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 ...


1

Long story short, thanks to Dirk Eddelbuettel's suggestion I played a bit with rredis and indeed it offers quite a number interesting solutions. However, I still decided to start to write my own performance analytics library (albeit obviously smaller and more specific to my use case) in combination with an established Math/Stats library because I need more ...


1

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 ...



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