As I promised in the last release announcement, we are pleased to announce the availability on CRAN of PerformanceAnalytics version 0.9.7.1. This version contains three minor bugfixes received after 0.9.7 had been sent to CRAN, and some documentation updates. Version: 0.9.7.1 Date: 2008-10-10 License: GPL Copyright: (c) 2004-2008 Brian G. Peterson and Peter Carl URL: http://cran.r-project.org/web/packages/PerformanceAnalytics/index.html URL: http://braverock.com/R/ PerformanceAnalytics is a library of econometric functions for performance and risk analysis of financial portfolios. This library aims to aid practitioners and researchers in using the latest research in analysis of both normal and non-normal return streams. This release (along with v0.9.7) adds 39 new public functions, an example dataset, and utilizes R's namespace capability. New Functionality: Risk functionality We have extended the risk metrics provided by Performanceanalytics to include multivariate portfolio measures of Gaussian and Cornish fisher VaR and Expected Shortfall. Functions: * GES.MM * GVaR.MM * mES.MM * mVaR.MM Modified Sharpe Ratios Earlier versions of PerformanceAnalytics contained the modified Sharpe Ration based on the Cornish fisher expansion. we have added additional modified Sharpe ratios to calculate portfolio ratios for both Gaussian and modified Cornish Fisher Var and Expected Shortfall of the multivariate portfolio distribution. Functions: * SR.GES.MM * SR.GVaR.MM * SR.mES.MM * SR.mVaR.MM * SR.StdDev.MM TODO: need to wrap the SharpeRatio function to take a "method" argument and return one or all. Style Analysis We are happy to announce that style analysis, long a goal of this package, has made significant progress in this release, with the addition of four new functions. These functions calculate style weights using an asset class style model as described in detail in Sharpe (1992). The use of quadratic programming to determine a fund's exposures to the changes in returns of major asset classes is usually referred to as "style analysis". Functions: * chart.RollingStyle calculates and displays those weights in rolling windows through time. * chart.Style calculates and displays style weights calculated over a single period. * style.fit manages the calculation of the factor weights by method * style.QPfit calculates the specific constraint case that requires quadratic programming Charts We've added three new graph functions in this release: chart.VaRSensitivity Creates a chart of Value-at-Risk estimates by confidence interval for multiple methods. Possibly useful for comparing a calculated VaR method to the historical VaR. chart.SnailTrail A scatter chart that shows how rolling calculations of annualized return and annualized standard deviation have proceeded through time. The color of lines and dots on the chart diminishes with respect to time. May be helpful for showing the trend of the return/risk characteristics of the fund over time. chart.StackedBar This creates a stacked column chart with time on the horizontal axis and values in categories. This kind of chart is commonly used for showing portfolio 'weights' through time, although the function will plot any values by category. This is a primitive function and is expected to improve. Moments of a distribution We have added several functions to calculate standardized moments and multivariate moments of an asset or multivariate portfolio distribution. When working with multivariate series, the joint distribution of the returns is to be preferred over the simple univariate distribution of the resulting return vector of a portfolio. Once the multivariate moments are available, it is possible to compute the comoments, comoment matrices, and beta or systematic comoments. skewness kurtosis skewness.MM kurtosis.MM We've ported and reimplemented skewness and kurtosis from Rmetrics to allow for additional data classes as well as multivariate series. StdDev.MM multivariate_mean Return.centered M3.MM M4.MM We've additionally implemented the multivariate moment calculations for the first two portfolio moments (mean and standard deviation) as well as the third and forth mathematical moments. CoVariance CoKurtosis CoSkewness Calculates the covariance, coskewness. or cokurtosis of one asset with relation to another (scalar measure) utilizing the standardized central mathematical moments of the distribution. CoKurtosisMatrix CoSkewnessMatrix Calculates the N x N^2 co-moment matrix of assets to one another, can be utilized in a portfolio context. This is a complete reimplementation of the prior functions in PerformanceAnalytics to calculate moments, and has been validated by our research work as superior to the prior implementation. centeredmoment centeredcomoment Used internally by PerformanceAnalytics to calculate centered moments for a multivariate distribution as well as the standardized moments of a portfolio distribution. They are exposed here for users who wish to use them directly BetaCoVariance BetaCoSkewness BetaCoKurtosis Calculates the systematic or beta comoment of two assets or an asset versus a portfolio. used to assess diversification potential in a portfolio, or in multivariate multimoment portfolio optimization. Robust Data Cleaning We have added the robust data cleaning functions we've used in our upcoming JoR and RISK papers to clean the return series prior to calculating multivariate moments and the corresponding risk measures. The method implemented here reduces sensitivity to large outliers while not "ignoring" or "throwing away" any data, and not touching any data below the specified confidence interval. Khan(2007) calls the technique utilized in the limiting procedure ``multivariate Winsorization'. Functions: Return.clean clean.boudt Significant Changes to existing functions: chart.BarVaR * Incorporates 'Return.clean' methods for using cleaning methods when charting forecasted VaR values. * Handles multiple columns OR multiple VaR calculation methods * Can show cleaned returns overlaid on original data * Added horizontal line to show exceedences to most recent risk estimate Co-moments and Beta/Systematic Co-moments have been completely reimplemented, and are discussed above. As always, we are indebted to the R-SIG-Finance community for your testing, suggestions, and support. We hope that you find this package useful. Please let us know how you are using it, it helps motivate us to keep releasing code. Regards, - Brian -- http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock If you've read this far, I'll note that one of us (Brian) is currently seeking a new permanent position. If you find PerformanceAnalytics and R useful in your work, and need a senior quant, risk analyst, and technical architect on your team, please give me a call.
PerformanceAnalytics v0.9.7.1 released
1 message · Brian G. Peterson