Performance Analytics: table.CAPM
I get no errors when running your code with the most recent versions of xts and PerformanceAnalytics on CRAN. Here's a simplified version of your example: library(PerformanceAnalytics) ind <- as.yearmon(Sys.Date())-(4:1)/12 Ra <- xts(c(0.1,0.11,0.09,0.1), ind) Rb <- xts(c(0.25,0.2,-0.4,0.01), ind) CAPM.alpha(Ra, Rb) table.CAPM(Ra, Rb) Best, -- Joshua Ulrich | about.me/joshuaulrich FOSS Trading | www.fosstrading.com
On Wed, Oct 15, 2014 at 4:28 PM, Charles Duranceau <cduranceau at nial.ky> wrote:
Hi,
I noticed a problem with the function : table.CAPM when it return following error message: "Error in NextMethod(.Generic) : dims [product 4] do not match the length of object [0]"
I noticed in a previous post the solution is to transform series in xts, but in this case the series is already a xts object.
I don't understand as other similar functions works well as the following code shows
library("xts", lib.loc="C:/Users/cduranceau/Documents/R/win-library/3.1")
library("PerformanceAnalytics", lib.loc="C:/Users/cduranceau/Documents/R/win-library/3.1")
# Define Returns
pf1<-c(0.1,0.11,0.09,0.1)
bm<-c(0.25,0.2,-0.4,0.01)
time_index<-seq(as.Date("2003/05/01"), by = "month", length.out = 4)-1 # last day of the month
pf1x<-as.xts(pf1,time_index)
bmx<-as.xts(bm,time_index)
CAPM.alpha(pf1x, bmx, Rf = 0) # works [1] 0.09965609
table.CAPM(pf1x,bmx,Rf=0) # error
Is there a way to solve the issue?
Thank you
Best Regards,
Version info
platform x86_64-w64-mingw32
arch x86_64
os mingw32
system x86_64, mingw32
status
major 3
minor 1.0
year 2014
month 04
day 10
svn rev 65387
language R
version.string R version 3.1.0 (2014-04-10)
nickname Spring Dance
package:
Package:
"PerformanceAnalytics" VERSION 1.4.3541 from CRAN ---- project.org/bin/windows/contrib/3.1/PerformanceAnalytics_1.4.3541.zip
Charles