Performance Analytics Modigliani Code help
Hi Jessy, I had a look at: http://www.rdocumentation.org/packages/PerformanceAnalytics/functions/Modigliani and it doesn't include a "Value" section, so I don't know what the return value should be. Have you tried running the examples to see what they return? Jim On Sat, Mar 26, 2016 at 12:10 AM, Jessy-Esther Missengue
<jessyesther.missengue2 at mail.dcu.ie> wrote:
Hi all, I am researching performance of funds in the FTSE100 and am using the Modigliani function in the PerformanceAnalytics package. I have attached my raw data for your reference. When I try to use the Modigliani code as follows: Modigliani (a,b,c=0) where a is my data set "1000 RANDOM...", b is the data of FTSE "FTSE ALLSHARE..." returns, c is the risk free rate "LIBOR". This code returns the data attached "Modigliani from R" which seems to be a calculation for only the first 2 columns of my data set. I would have expected to have R return the same amount of rows and columns when using the Modigliani function i.e 108 rows and 1001 columns. Is there something I need to add to the code to have it calculate for each row/column? Thanks, Jessy *very confused student*
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