PortfolioAnalytics question re: showing results
On Wed, 2016-03-16 at 13:06 -0500, matt at considine.net wrote:
Hi, I have a sense I have overlooked something pretty basic here, but I'll risk asking an obvious question. I am trying to use PortfolioAnalytics as a complement to information provided by an investment consultant. They are presenting their efficient frontier results with annualized expected return data. I'm feeding PortfolioAnalytics monthly historical data, so the resulting chart/summary data is on a monthly basis (I believe). Is there a flag for results to be presented on an annualized basis? Thank in advance - and apologies for overlooking something clear. I did try to search the docs first :)
Matt, It's simple, but not as simple as a flag. You need to add the annualized metrics to the portfolio specification with a multiplier of 0. Then you can plot your efficient frontier using all the standard PortfolioAnalytics tools calling those metrics as axes of your plots. Let me know if you need a fully worked out example, but I think there are examples in some of the vignettes and presentations that do something similar with annualized standard deviation. Regards, Brian