[R-SIG-Finance] PerformanceAnalytics v0.9.7.1 released
Brian G. Peterson
brian at braverock.com
Sun Oct 12 15:49:46 CEST 2008
As I promised in the last release announcement,
we are pleased to announce the availability on CRAN
of PerformanceAnalytics version 0.9.7.1.
This version contains three minor bugfixes
received after 0.9.7 had been sent to CRAN, and some
documentation updates.
Version: 0.9.7.1
Date: 2008-10-10
License: GPL
Copyright: (c) 2004-2008 Brian G. Peterson and Peter Carl
URL: http://cran.r-project.org/web/packages/PerformanceAnalytics/index.html
URL: http://braverock.com/R/
PerformanceAnalytics is a library of econometric functions for
performance and risk analysis of financial portfolios. This
library aims to aid practitioners and researchers in using the
latest research in analysis of both normal and non-normal return
streams.
This release (along with v0.9.7) adds 39 new public functions,
an example dataset, and utilizes R's namespace capability.
New Functionality:
Risk functionality
We have extended the risk metrics provided by
Performanceanalytics to include multivariate portfolio measures
of Gaussian and Cornish fisher VaR and Expected Shortfall.
Functions:
* GES.MM
* GVaR.MM
* mES.MM
* mVaR.MM
Modified Sharpe Ratios
Earlier versions of PerformanceAnalytics contained the modified
Sharpe Ration based on the Cornish fisher expansion. we have
added additional modified Sharpe ratios to calculate portfolio
ratios for both Gaussian and modified Cornish Fisher Var and
Expected Shortfall of the multivariate portfolio distribution.
Functions:
* SR.GES.MM
* SR.GVaR.MM
* SR.mES.MM
* SR.mVaR.MM
* SR.StdDev.MM
TODO: need to wrap the SharpeRatio function to take a "method"
argument and return one or all.
Style Analysis
We are happy to announce that style analysis, long a goal of this
package, has made significant progress in this release, with the
addition of four new functions.
These functions calculate style weights using an asset class
style model as described in detail in Sharpe (1992). The use of
quadratic programming to determine a fund's exposures to the
changes in returns of major asset classes is usually referred to
as "style analysis".
Functions:
* chart.RollingStyle
calculates and displays those weights in
rolling windows through time.
* chart.Style
calculates and displays style weights calculated
over a single period.
* style.fit
manages the calculation of the factor weights by method
* style.QPfit
calculates the specific constraint case that requires
quadratic programming
Charts
We've added three new graph functions in this release:
chart.VaRSensitivity
Creates a chart of Value-at-Risk estimates by confidence
interval
for multiple methods. Possibly useful for comparing a calculated
VaR method to the historical VaR.
chart.SnailTrail
A scatter chart that shows how rolling calculations of
annualized
return and annualized standard deviation have proceeded through
time. The color of lines and dots on the chart diminishes with
respect to time. May be helpful for showing the trend of the
return/risk characteristics of the fund over time.
chart.StackedBar
This creates a stacked column chart with time on the horizontal
axis and values in categories. This kind of chart is commonly
used for showing portfolio 'weights' through time, although the
function will plot any values by category. This is a primitive
function and is expected to improve.
Moments of a distribution
We have added several functions to calculate standardized moments
and multivariate moments of an asset or multivariate portfolio
distribution. When working with multivariate series, the joint
distribution of the returns is to be preferred over the simple
univariate distribution of the resulting return vector of a
portfolio. Once the multivariate moments are available, it is
possible to compute the comoments, comoment matrices, and beta or
systematic comoments.
skewness
kurtosis
skewness.MM
kurtosis.MM
We've ported and reimplemented skewness and kurtosis from
Rmetrics to allow for additional data classes as well as
multivariate series.
StdDev.MM
multivariate_mean
Return.centered
M3.MM
M4.MM
We've additionally implemented the multivariate moment
calculations for the first two portfolio moments (mean and
standard deviation) as well as the third and forth mathematical
moments.
CoVariance
CoKurtosis
CoSkewness
Calculates the covariance, coskewness. or cokurtosis of one
asset
with relation to another (scalar measure) utilizing the
standardized central mathematical moments of the distribution.
CoKurtosisMatrix
CoSkewnessMatrix
Calculates the N x N^2 co-moment matrix of assets to one
another,
can be utilized in a portfolio context. This is a complete
reimplementation of the prior functions in PerformanceAnalytics
to calculate moments, and has been validated by our research
work
as superior to the prior implementation.
centeredmoment
centeredcomoment
Used internally by PerformanceAnalytics to calculate centered
moments for a multivariate distribution as well as the
standardized moments of a portfolio distribution. They are
exposed here for users who wish to use them directly
BetaCoVariance
BetaCoSkewness
BetaCoKurtosis
Calculates the systematic or beta comoment of two assets or an
asset versus a portfolio. used to assess diversification
potential in a portfolio, or in multivariate multimoment
portfolio optimization.
Robust Data Cleaning
We have added the robust data cleaning functions we've used in our
upcoming JoR and RISK papers to clean the return series prior to
calculating multivariate moments and the corresponding risk
measures.
The method implemented here reduces sensitivity to large
outliers while
not "ignoring" or "throwing away" any data, and not touching any
data
below the specified confidence interval. Khan(2007) calls the
technique
utilized in the limiting procedure ``multivariate Winsorization'.
Functions:
Return.clean
clean.boudt
Significant Changes to existing functions:
chart.BarVaR
* Incorporates 'Return.clean' methods for using cleaning methods
when charting forecasted VaR values.
* Handles multiple columns OR multiple VaR calculation methods
* Can show cleaned returns overlaid on original data
* Added horizontal line to show exceedences to most recent risk
estimate
Co-moments and Beta/Systematic Co-moments have been completely
reimplemented, and are discussed above.
As always, we are indebted to the R-SIG-Finance community for your
testing, suggestions, and support.
We hope that you find this package useful.
Please let us know how you are using it, it helps motivate us to keep
releasing code.
Regards,
- Brian
--
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
If you've read this far, I'll note that one of us (Brian) is currently
seeking a new permanent position.
If you find PerformanceAnalytics and R useful in your work, and need a
senior quant, risk analyst, and technical architect on your team, please
give me a call.
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