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 :) Regards, Matt
PortfolioAnalytics question re: showing results
4 messages · matt at considine.net, Ilya Kipnis, Brian G. Peterson
Matt, PerformanceAnalytics has all the tools you need for those things. EG Return.annualized, and so on. -Ilya
On Wed, Mar 16, 2016 at 2:06 PM, <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 :) Regards, Matt
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Hi Ilya, Thank you for the heads up on that. I'm thinking what I need to do is pass the functions calculated moments, as seen here http://stackoverflow.com/questions/26745976/create-efficient-frontier-in-portfolioanalytics-without-an-xts-object So I'll play with that. Regards, Matt
On 2016-03-16 13:12, Ilya Kipnis wrote:
Matt, PerformanceAnalytics has all the tools you need for those things. EG Return.annualized, and so on. -Ilya On Wed, Mar 16, 2016 at 2:06 PM, <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 :) Regards, Matt
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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