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
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PerformanceAnalytics - Style Analysis- plotting R squared over time

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