PerformanceAnalytics package

hi,

I've been trying to familiarize myself with the PerformanceAnalytics
package.

As I go through the examples (in the attached file), I faced a hiccup.
When I run the following code, it only prints the first chart

charts.PerformanceSummary(
managers[, c(manager.col,
indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)

and gives me the following error:

Error in UseMethod("time<-") :
?no applicable method for 'time<-' applied to an object of class
"c('xts', 'zoo')"

Can you please let me know how I can fix it.

Thanks!

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

  no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

thanks, Brian
will do so.

Date: Sat, 22 Oct 2011 17:20:04 -0500
From: brian at braverock.com
To: fin_engr at hotmail.com
CC: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package

This is most likely a conflict between xts/zoo and the various f* Rmetrics
packages 
(or possibly the timeSeries package from Rmetrics).  You'll like see a
warning that function 'time' is being masked.

the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
sort out a modle that will avoid trhe conflict.

For now, the most likely way for you to avoid this issue is to not load
the Rmetrics packages, or to load zoo/xts *after* you've loaded any
Rmetrics packages you need. 

On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
<fin_engr at hotmail.com> wrote:

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

 no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

                        
   [[alternative HTML version deleted]]

Jeff,

here's the output you requested.

R version 2.12.1 (2010-12-16)
Platform: i686-pc-linux-gnu (32-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C              
 [3] LC_TIME=en_US.UTF-8        LC_COLLATE=en_US.UTF-8    
 [5] LC_MONETARY=C              LC_MESSAGES=en_US.UTF-8   
 [7] LC_PAPER=en_US.UTF-8       LC_NAME=C                 
 [9] LC_ADDRESS=C               LC_TELEPHONE=C            
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C       

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

loaded via a namespace (and not attached):
[1] portfolio_0.4-5      portfolioSim_0.2-6   scatterplot3d_0.3-33

If I need to upgrade, please let me know. thanks!

CC: brian at braverock.com; r-sig-finance at r-project.org
From: jeff.a.ryan at gmail.com
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
Date: Sat, 22 Oct 2011 17:47:39 -0500
To: fin_engr at hotmail.com

Can you include your sessionInfo() output as well. 

You may be running old packages or some strange combination. Without knowing your context a guess is all that we can muster. 

Best,
Jeff

PS. StackOverflow may be the current 'cool' but it is mostly fracturing the answer base when it comes to R and Finance. In general that's a very bad thing. Unless of course those SO points you accumulate have some sort of store you can cash them in at. I think the store is Joel's pocket. 



Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com

www.lemnica.com

On Oct 22, 2011, at 5:34 PM, financial engineer <fin_engr at hotmail.com> wrote:

thanks, Brian
will do so.

Date: Sat, 22 Oct 2011 17:20:04 -0500
From: brian at braverock.com
To: fin_engr at hotmail.com
CC: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package

This is most likely a conflict between xts/zoo and the various f* Rmetrics
packages 
(or possibly the timeSeries package from Rmetrics). You'll like see a
warning that function 'time' is being masked.

the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
sort out a modle that will avoid trhe conflict.

For now, the most likely way for you to avoid this issue is to not load
the Rmetrics packages, or to load zoo/xts *after* you've loaded any
Rmetrics packages you need. 

On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
<fin_engr at hotmail.com> wrote:

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

[[alternative HTML version deleted]]

I closed my old session, after saving it. then, opened a new session and ran the commands. this time I only had library(PerformanceAnalytics) and none others, and now it worked fine. So, it seems like the conflict that Brian mentioned is the issue.
regardless, here's the sessionInfo()

sessionInfo()

R version 2.12.1 (2010-12-16)
Platform: i686-pc-linux-gnu (32-bit)

locale:
 [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C              
 [3] LC_TIME=en_US.UTF-8        LC_COLLATE=en_US.UTF-8    
 [5] LC_MONETARY=C              LC_MESSAGES=en_US.UTF-8   
 [7] LC_PAPER=en_US.UTF-8       LC_NAME=C                 
 [9] LC_ADDRESS=C               LC_TELEPHONE=C            
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C       

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] PerformanceAnalytics_1.0.3.2 xts_0.8-2                   
[3] zoo_1.7-4                   

loaded via a namespace (and not attached):
[1] grid_2.12.1          lattice_0.19-13      portfolio_0.4-5     
[4] portfolioSim_0.2-6   scatterplot3d_0.3-33 tools_2.12.1 

CC: brian at braverock.com; r-sig-finance at r-project.org
From: jeff.a.ryan at gmail.com
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
Date: Sat, 22 Oct 2011 18:57:52 -0500
To: fin_engr at hotmail.com

Something is obviously not consistent, as the sessionInfo you just sent doesn't even include PerformanceAnalytics. 

Can you try and run your example again to the point of breakage and send the sessionInfo() from that one?

Thanks
Jeff

Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com

www.lemnica.com

On Oct 22, 2011, at 6:08 PM, financial engineer <fin_engr at hotmail.com> wrote:

Jeff,

here's the output you requested.

R version 2.12.1 (2010-12-16)
Platform: i686-pc-linux-gnu (32-bit)

locale:
[1] LC_CTYPE=en_US.UTF-8 LC_NUMERIC=C 
[3] LC_TIME=en_US.UTF-8 LC_COLLATE=en_US.UTF-8 
[5] LC_MONETARY=C LC_MESSAGES=en_US.UTF-8 
[7] LC_PAPER=en_US.UTF-8 LC_NAME=C 
[9] LC_ADDRESS=C LC_TELEPHONE=C 
[11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C 

attached base packages:
[1] stats graphics grDevices utils datasets methods base 

loaded via a namespace (and not attached):
[1] portfolio_0.4-5 portfolioSim_0.2-6 scatterplot3d_0.3-33

If I need to upgrade, please let me know. thanks!

CC: brian at braverock.com; r-sig-finance at r-project.org
From: jeff.a.ryan at gmail.com
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package
Date: Sat, 22 Oct 2011 17:47:39 -0500
To: fin_engr at hotmail.com

Can you include your sessionInfo() output as well. 

You may be running old packages or some strange combination. Without knowing your context a guess is all that we can muster. 

Best,
Jeff

PS. StackOverflow may be the current 'cool' but it is mostly fracturing the answer base when it comes to R and Finance. In general that's a very bad thing. Unless of course those SO points you accumulate have some sort of store you can cash them in at. I think the store is Joel's pocket. 



Jeffrey Ryan | Founder | jeffrey.ryan at lemnica.com

www.lemnica.com

On Oct 22, 2011, at 5:34 PM, financial engineer <fin_engr at hotmail.com> wrote:

thanks, Brian
will do so.

Date: Sat, 22 Oct 2011 17:20:04 -0500
From: brian at braverock.com
To: fin_engr at hotmail.com
CC: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package

This is most likely a conflict between xts/zoo and the various f* Rmetrics
packages 
(or possibly the timeSeries package from Rmetrics). You'll like see a
warning that function 'time' is being masked.

the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
sort out a modle that will avoid trhe conflict.

For now, the most likely way for you to avoid this issue is to not load
the Rmetrics packages, or to load zoo/xts *after* you've loaded any
Rmetrics packages you need. 

On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
<fin_engr at hotmail.com> wrote:

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

[[alternative HTML version deleted]]

hi,

As I continue working through the functions with my time series of daily returns(R.MCO), most of the functions have been working fine, except the following(so far):

VaR.mean.MCO=VaR.mean(R.MCO,p=0.95)
Error: could not find function "VaR.mean"

VaR.traditional.MCO=VaR.traditional(R.MCO,p=0.95)

Error: could not find function "VaR.traditional"

modifiedVaR.MCO=modifiedVaR(R.MCO,p=0.99)

Error: could not find function "modifiedVaR"

table.MonthlyReturns(R.MCO,ci=0.95,digits=4)

Error: could not find function "table.MonthlyReturns"

Can you please let me know how I can fix these errors, as I am keen to use these functions for computing the daily VaR and also generate tables of monthly returns.

Thanks!

Date: Sat, 22 Oct 2011 17:20:04 -0500
From: brian at braverock.com
To: fin_engr at hotmail.com
CC: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package

This is most likely a conflict between xts/zoo and the various f* Rmetrics
packages
(or possibly the timeSeries package from Rmetrics). ?You'll like see a
warning that function 'time' is being masked.

the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
sort out a modle that will avoid trhe conflict.

For now, the most likely way for you to avoid this issue is to not load
the Rmetrics packages, or to load zoo/xts *after* you've loaded any
Rmetrics packages you need.

On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
<fin_engr at hotmail.com> wrote:

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

? no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

? ? ? ?[[alternative HTML version deleted]]

I ran the VaR and ES using the below, and am trying to understand why the VaR(99%) 
is exactly equal to ES(99%). Is that how it is supposed to be.....

From the documentation:

I don't know if Josh/Brian/Jeff got you an answer on this, but on my
version of PerformanceAnalytics (1.0.3.2), these different VaR methods
seem to have been collapsed into VaR with different methods available.
Perhaps your reference is for an older version of the package in which
these have been deprecated.

I also don't see table.MonthlyReturns() only table.AnnualizedReturns()
available. I believe I read somewhere that the package is designed
with monthly data in mind (though most of the analytical techniques
are scale invariant) so it's perhaps not surprising that there's no
aggregation tool to monthly.

Michael

On Sun, Oct 23, 2011 at 3:56 PM, financial engineer
<fin_engr at hotmail.com> wrote:

hi,

As I continue working through the functions with my time series of daily returns(R.MCO), most of the functions have been working fine, except the following(so far):

VaR.mean.MCO=VaR.mean(R.MCO,p=0.95)
Error: could not find function "VaR.mean"

VaR.traditional.MCO=VaR.traditional(R.MCO,p=0.95)

Error: could not find function "VaR.traditional"

modifiedVaR.MCO=modifiedVaR(R.MCO,p=0.99)

Error: could not find function "modifiedVaR"

table.MonthlyReturns(R.MCO,ci=0.95,digits=4)

Error: could not find function "table.MonthlyReturns"

Can you please let me know how I can fix these errors, as I am keen to use these functions for computing the daily VaR and also generate tables of monthly returns.

Thanks!

Date: Sat, 22 Oct 2011 17:20:04 -0500
From: brian at braverock.com
To: fin_engr at hotmail.com
CC: r-sig-finance at r-project.org
Subject: Re: [R-SIG-Finance] PerformanceAnalytics package

This is most likely a conflict between xts/zoo and the various f* Rmetrics
packages
(or possibly the timeSeries package from Rmetrics).  You'll like see a
warning that function 'time' is being masked.

the zoo/xts and Rmetrics teams are aware of the issue, and are trying to
sort out a modle that will avoid trhe conflict.

For now, the most likely way for you to avoid this issue is to not load
the Rmetrics packages, or to load zoo/xts *after* you've loaded any
Rmetrics packages you need.

On Sat, 22 Oct 2011 18:10:15 -0400, financial engineer
<fin_engr at hotmail.com> wrote:

hi,



I've been trying to familiarize myself with the PerformanceAnalytics
package.



As I go through the examples (in the attached file), I faced a hiccup.

When I run the following code, it only prints the first chart



charts.PerformanceSummary(managers[, c(manager.col,

indexes.cols)],colorset = rich6equal, lwd = 2, ylog = TRUE)



and gives me the following error:


Error in UseMethod("time<-") :

  no applicable method for 'time<-' applied to an object of class

"c('xts', 'zoo')"



Can you please let me know how I can fix it.



Thanks!

On Mon, 2011-10-24 at 11:49 -0400, financial engineer wrote:

I ran the VaR and ES using the below, and am trying to understand why the VaR(99%)
is exactly equal to ES(99%). Is that how it is supposed to be.....

You didn't include your data to make this reproducible, so I need to
speak in generalities.

From the documentation:

?Modified expected shortfall should always be higher than modified
?Value at Risk. Due to estimation problems, this might not always
?be the case. Set operational = TRUE to replace modified ES with
?modified VaR in the (exceptional) case where the modified ES is
?smaller than modified VaR.

If you're seeing this, I expect your data is highly skewed and/or
kurtotic.

Cornish Fisher Modified VaR can exhibit what Jorion referred to as
'wrong tailed ?behavior', migrating rapidly to zero or infinity. ?While
this is a problem, it is only a problem if you aren't paying attention.
I use this as an indicator that I either don't have enough data or that
my data is likely unreliable. ?It is also often an indication that your
preferred probability (99%) is too high for a reliable answer.

Look at function chart.VaRSensitivity to see how the VaR and ES play out
at different probability thresholds.

The good news is that it's really obvious when this happens, you can
easily see it in the chart, and tell where you don't and probably
shouldn't have confidence in your estimating powers.

Just because some other methodologies will give you an answer that
claims to be precise doesn't mean that they are truly doing so. ?Many
many people have written about the pitfalls of looking for too high a
precision in VaR/ES estimates. ?I, for example, find 95% to be a good
number on daily return data, as this indicates a 1 in 20 'bad day', so
you can interpret the 95% ES as approximately your 'average one really
bad day a month' on daily return data. ?I have a colleague who uses 92%
on monthly return data to estimate the 'average really bad month once a
year' on his portfolios.

I prefer 'approximately correct' to 'precisely wrong' statistics.

I could speak in more specifics about the characteristics of your data
with a reproducible example.

Regards,

?- Brian

--
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

I appreciate your response and the clarification. I shall ponder over
it.

Meanwhile, rather than sending a data file, I am attaching the code I
ran to generate R.MCO which I used in the calcs. below

MCO = get.hist.quote("MCO", start = "2010-01-04", end = "2011-10-17",
quote = "AdjClose", compression = "d")
R.MCO = Return.calculate(MCO, method="compound")
R.MCO = as.xts(R.MCO)

I'd be keen to read your specific response.