[R-SIG-Finance] PerformanceAnalytics - Style Analysis- plotting R squared over time

Peter Carl peter at braverock.com
Wed Sep 7 13:13:48 CEST 2011 

Phil,

I think the error message is clear - the data series you're using as the
"fund" data, Rfund.z, isn't being recognized as a format that is
convertible to a time series object (for conversion into an xts object). 
Look at ?as.xts and consider constructing xts objects for both timeseries.
 Or you might use Return.read from PerformanceAnalytics to load the series
in from a csv file.

pcc
-- 
Peter Carl
http://www.braverock.com/~peter

> Many thanks. I tried to implement this, but still seem to miss something.
>
> Here's a contrived example.Using 10.5 years of monthly fund data, I use
> a stock market and a real estate index to "explain" the returns of the
> fund. What I would like to do is to plot the R-squared over time with the
> function.RollingStyle I proceed as follows:
>  
> head(Rfund.z)
>   2000-01-31   2000-03-02   2000-03-31   2000-05-01  
> 2000-05-31   2000-07-01
> -0.033951898  0.052783466 -0.020335698 -0.006613730  0.008663712 
> 0.091497179
>
>  head(Rstyle.z)
>                Stocks.z        RE.z
> 2000-01-31 -0.058851033  0.01968497
> 2000-03-02  0.002817568 -0.03427083
> 2000-03-31  0.066951099  0.06969885
>
> Applying the page.RollingStyle function yields an error message
>
>> page.RollingStyle (Rfund.z, Rstyle.z, method="constrained",
> leverage=FALSE)
>
> Error in checkData(R.fund) :
>   The data cannot be converted into a time series.  If you are trying to
> pass in names from a data object with one column, you should use the form
> 'data[rows, columns, drop = FALSE]'.  Rownames should have standard date
> formats, such as '1985-03-15'.
> In addition: Warning message:
> In rollapply.zoo(data = merged.assets, FUN = function(x) { :
>   na.pad argument is deprecated
>
>
> Would be great, if someone could provide me with a brief explanation of
> what exactly is going wrong here. Many thanks, Cheers,
> Phil
>
>
>
>
>>
>> -------- Original-Nachricht --------
>> Datum: Tue, 6 Sep 2011 16:01:14 -0500
>> Von: "Peter Carl" <peter at braverock.com>
>> An: "Philipp Haumueller" <phaumueller at gmx.net>
>> CC: r-sig-finance at r-project.org
>> Betreff: Re: [R-SIG-Finance] PerformanceAnalytics - Style Analysis-
>> plotting R squared over time
>>
>>             Take a look at the code itself - it implements what you are
>> asking for.
>> In particular, pay attention to the rollapply functions.
>>
>> > page.RollingStyle
>> function (R.fund, R.style, method = c("constrained", "unconstrained",
>>     "normalized"), leverage = FALSE, selection = "none", width = 12,
>>     main = paste(colnames(R.fund)[1], " Rolling ", width, "-Month Style
>> Weights",
>>         sep = ""), space = 0, ...)
>> {
>>     R.fund = checkData(R.fund[, 1, drop = FALSE], method = "zoo")
>>     R.style = checkData(R.style, method = "zoo")
>>     method = method[1]
>>     columns.fund = ncol(R.fund)
>>     columns.style = ncol(R.style)
>>     columnnames.fund = colnames(R.fund)
>>     columnnames.style = colnames(R.style)
>>     merged.assets = na.omit(merge(R.fund, R.style))
>>     result = rollapply(data = merged.assets, FUN = function(x) {
>>         t(style.fit(R.fund = x[, 1, drop = FALSE], R.style = x[,
>>             -1, drop = FALSE], method = method, leverage = leverage,
>>             selection = selection)$weights)
>>     }, width = width, by = 1, by.column = FALSE, na.pad = FALSE,
>>         align = "right")
>>     fit = rollapply(data = merged.assets, FUN = function(x) {
>>         t(style.fit(R.fund = x[, 1, drop = FALSE], R.style = x[,
>>             -1, drop = FALSE], method = method, leverage = leverage,
>>             selection = selection)$R.squared)
>>     }, width = width, by = 1, by.column = FALSE, na.pad = FALSE,
>>         align = "right")
>>     colnames(result) = columnnames.style
>>     rows = nrow(result)
>>     ymax = max(c(1, result))
>>     ymin = min(c(-1, result))
>>     op <- par(oma = c(2, 0, 4, 0), mar = c(0, 4, 0, 4))
>>     layout(matrix(c(1:columns.style, columns.style + 1, columns.style +
>>         2), nc = 1, byrow = TRUE))
>>     for (i in 1:columns.style) {
>>         if (even(i))
>>             yaxis.right = TRUE
>>         else yaxis.right = FALSE
>>         chart.TimeSeries(result[, i, drop = F], type = "h", lend =
>> "butt",
>>             xaxis = FALSE, main = "", ylab = colnames(result)[i],
>>             ylim = c(ymin, ymax), yaxis.right = yaxis.right,
>>             ...)
>>     }
>>     positives = result
>>     for (column in 1:ncol(result)) {
>>         for (row in 1:nrow(result)) {
>>             positives[row, column] = max(0, result[row, column])
>>         }
>>     }
>>     negatives = result
>>     for (column in 1:ncol(result)) {
>>         for (row in 1:nrow(result)) {
>>             negatives[row, column] = min(0, result[row, column])
>>         }
>>     }
>>     sumpositives = zoo(apply(positives, 1, sum), order.by =
>> index(positives))
>>     sumnegatives = zoo(apply(negatives, 1, sum), order.by =
>> index(negatives))
>>     net = apply(result, 1, sum)
>>     if (even(columns.style + 1))
>>         yaxis.right = TRUE
>>     else yaxis.right = FALSE
>>     chart.TimeSeries(cbind(sumpositives, sumnegatives), type = "h",
>>         lend = "butt", xaxis = FALSE, main = "", ylab = "Total",
>>         yaxis.right = yaxis.right, ...)
>>     lines(1:rows, net)
>>     if (even(columns.style + 2))
>>         yaxis.right = TRUE
>>     else yaxis.right = FALSE
>>     chart.TimeSeries(fit, type = "l", xaxis = TRUE, main = "",
>>         ylab = "AdjR^2", ylim = c(0, 1), yaxis.right = yaxis.right,
>>         ...)
>>     mtext(main, side = 3, outer = TRUE, font = 2, cex = 1.2,
>>         line = 1)
>>     par(op)
>> }
>>
>> --
>> Peter Carl
>> http://www.braverock.com/~peter
>>
>> > Hi Carl,
>> >
>> >  Many thanks for your quick reply. Just a follow up on  this. While I
>> have
>> > installed PA pages I wasn't too successful in finding  further
>> information
>> > in respect of implementing the function.page RollingStyle which would
>> > allow
>> > me to plot the R-squared over time for my returns based analysis
>> > (Sharpe-model).Would you mind pointing me to some further information?
>> >
>> >   Also, is there a straightforward way to chart or calculate each
>> factor
>> > weight
>> >  so  that the values can be read easily (while chart.RollingStyle.
>> gives a
>> > good graphical impression of the styles, I'd also be interested in
>> > obtaining  an idea of the exact weightings at some point in time, e.g.
>> > showing  min/max over time and potentially also some kind of summary
>> > statistics like avg or sd of the style attributes)
>> >
>> >  Some help on this would be awesome - thks.
>> >
>> >  Phil
>> >>         -------- Original-Nachricht --------
>> >> Datum: Tue, 6 Sep 2011 09:38:37 -0500
>> >> Von: "Peter Carl" <peter at braverock.com>
>> >> An: "Philipp Haumueller" <phaumueller at gmx.net>
>> >> CC: r-sig-finance at r-project.org
>> >> Betreff: Re: [R-SIG-Finance] PerformanceAnalytics - Style Analysis-
>> >> plotting R squared over time
>> >>
>> >>         Phil,
>> >>
>> >> The function page.RollingStyle in PApages (also on RForge) shows
>> >> something
>> >> of a brute-force way to do it.  I'm sure there's a better way, but
>> that
>> >> should work for you.
>> >>
>> >> pcc
>> >> --
>> >> Peter Carl
>> >> http://www.braverock.com/~peter
>> >>
>> >> > Dear all,
>> >> >
>> >> > I am running some analysis based on an asset factor model (Sharpe
>> >> model
>> >> -
>> >> > Style Analyses) in the Package PerformanceAnalytics/R-Forge.While
>> >> > calculating weights etc. works fine I would also like to
>> >> calculate/plot
>> >> > rolling R-squared values of the Sharpe model over time? Are there
>> any
>> >> > suggestions how to run this?
>> >> >
>> >> > Your help is greatly appreciated - thx,
>> >> >
>> >> > Phil
>> >> > --
>> >> >
>> >> >
>> >> >
>> >> > 	[[alternative HTML version deleted]]
>> >> >
>> >> > _______________________________________________
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>> >> > -- Also note that this is not the r-help list where general R
>> >> questions
>> >> > should go.
>> >> >
>> >>
>> >>
>> >>
>> >
>> > --
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>>
>>
>>
>
> --
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