4 votes

Multi-Period Contribution

Thanks for the example. It is exactly like my comment. Look at your weights after the first period. Are they really 80% and 20%? Lets say you have £100 to invest. £80 is invested in product A. That ...
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  • 4,493
3 votes

Looking for C# library that provides/contains performance analytics

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. ...
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3 votes

Portfolio returns with unequal asset return histories

You can use Bayesian methods. Missing data is not an intrinsic problem for Bayesian methods, however, you do need to understand why the data is missing before you use Bayesian methods. In your case, ...
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  • 4,092
3 votes
Accepted

R, Performance Analytics, How to chart continuous line with non continuous data?

I think your question draws on a larger issue: How to compare the performance of financial time series with missing data? The situation is indeed quite common that you have missing values for certain ...
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  • 26.9k
3 votes
Accepted

In R, Performance Analytics package, chart.Drawdown, plot several drawdowns curves on the same plot

No problem, just have a look at the following example from the documentation (p. 49): ...
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  • 26.9k
2 votes

Market Timing Performance for a single stock

For analyzing a series of trades on a single stock over a period of time. You can understand your market timing contribution by comparing your actual return to the return from consistently holding ...
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  • 1,541
2 votes
Accepted

Why annualized return and cumultive return aren't equal over 1-year period with Performance Analytics package in R?

The documentation of the R package PerformanceAnalytics provides examples for both the Return.annualized() and ...
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  • 450
2 votes
Accepted

What value should the risk free monthly return rate be (Sharpe ratio calculation)?

The Daily Treasury Yield Curve Rates are a commonly used metric for the "risk-free" rate of return. Currently, the 1-month risk-free rate is 0.19%, and the 1-year risk-free rate is 0.50%. ...
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  • 215
2 votes

Downside Market Capture Ratio: compute with sum or product?

David Addison's discussion of log versus simple(arithmetic) returns in his answer is correct, but this particular calculation has nothing to do with arithmetic versus log returns. Up Capture is ...
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2 votes
Accepted

Downside Market Capture Ratio: compute with sum or product?

I am not familiar with that R package, but I've written a few performance tracking libraries in my past life, so I might be able to add some insight. While it is indeed true that logarithmic returns ...
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2 votes

Multi-Period Contribution

If you use geometric period returns (aka "continous", "exponential"), you can calculate an arithmetic average and this will give you the same result as if you would calculate this ...
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  • 61
1 vote

Portfolio returns with unequal asset return histories

You've two options: Just use dates for which data is available for all assets Transform the price vectors to xts format ...
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1 vote
Accepted

R returns numeric(0) when putting p=0.995 for calculating VaR

The problem arises due to your data. Some of your columns do not have a negative value in that percentile (check for example XS1463101680 and ...
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  • 1,708
1 vote

What does it mean when cumulative return intersects or is below the risk free rate?

In essence, risky assets can perform awfully bad some of the time. What the theory says, intuitively, is that the distinct possibilities of large swings should, on average, command a commensurate ...
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  • 2,356
1 vote

How to maintain VaR at 5% and max return in Portfolio Analytics

You can use the ‘portfolio.optimization' Package with this you can optimize your portfolio with a VaR set at 5% Max target and try to find the right allocation by using the function : optimal....
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  • 466
1 vote

r: analyse series of historical positions as portfolio using 'standard' tools

Yes assuming this is a strategy where you are holding for multiple days you need to combine the data to get your entire portfolios return series: Get the daily price history for each asset you traded ...
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1 vote
Accepted

performance attribution - security selection= wB*(Rp-RB) or wP*(Rp-RB)?

Brinson-Fachler attribution separates performance into three factors: a sector allocation, a security selection component and an interaction component. The interaction component measures the ...
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  • 1,356
1 vote

Return.portfolio function for re-balancing with time series of weights

It actually works if you convert the (time series) weight matrix to the frequency you want to use for re-balancing using, e.g. apply.weekly(weight_matrix). The ...
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1 vote

What value should the risk free monthly return rate be (Sharpe ratio calculation)?

The squareroot rule stems from the assumption, that the returns scale linear in time and the standard deviation scale with the squareroot of time. That means for the return of 1 year, that it should ...
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  • 828
1 vote

What value should the risk free monthly return rate be (Sharpe ratio calculation)?

First, it never made sense to me to "annualize" the Sharpe ratio if the input data is monthly. But yes, if you want to annualize you multiply by sqrt(12), and for three years you should multiply by ...
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  • 206
1 vote

Performance attribution for personal portfolio - weight attribution

Effective PA is dependent on the correct description of the investment process. I am not sure, from what you say, what exactly is your investment process. But let me presume that it is the following: ...
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1 vote

Return.portfolio error from PerformanceAnalytics package

Just ran into and solved this problem. Convert the timeSeries object into an xts object then change the indexClass to "Date" ...
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1 vote
Accepted

Chart Correlation warnings

Nothing to be worried about: Method is the type of correlation which is not a graphical parameter. The method argument is being passed to the pairs function... The function is saying this not a ...
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1 vote

Risk free rate for Performance Analytics

This is a feature, when you pass a vector it's because the risk free rate has changed over time. E.g. you can assume a constant or changing risk free rate as each period of returns can have an ...
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1 vote

Is there a way to adjust R PerformanceAnalytics function VaR with EWMA or GARCH method?

You can pass in the parameters are you estimating with EWMA or GARCH using the mu (mean), sigma (co/variance) m3 (co/skewness) and m4(co/kurtosis) arguments. e.g. blahblah = EWMA(my_time_series) ...
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1 vote
Accepted

Looking for C# library that provides/contains performance analytics

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 ...
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  • 14.1k

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