Questions tagged [performanceanalytics]
R package of Econometric tools for performance and risk analysis.
40 questions
2 votes
0 answers
205 views
Is there a proper analysis of how profitable Technical Analysis is?
I often get spammed with tips about hammers, fibonacci sequences, ceilings etc. Usually they come with a single example of where it worked great. Given how many people keep focus on this I suspect ...
0 votes
0 answers
89 views
Brinson Attribution - Overweight Underweight
I am looking to perform a geometric Brinson type attribution that is able to separate out the effects of underweights and overweight's of individual securities and groups individually. From an ...
- 101
2 votes
0 answers
100 views
Why does Beta of a stock not correlate well with market sell off
I posted a question a few days back: (Quantatively identifying stocks to short when overall market starts to roll-over) @rubikscube09 suggested that stock beta ...
- 141
1 vote
4 answers
3k views
Multi-Period Contribution
I've read multiple research papers but can't find a good answer as to why multi-period contributions don't add up to the returns of a portfolio. I understand that arithmetic sums miss the compounding ...
- 125
0 votes
1 answer
37 views
What does it mean when cumulative return intersects or is below the risk free rate? [closed]
I am learning about the basics of Risk Adjust Performance when I stumble upon something odd with some sample data about UPS. Clearly, the UPS stock's cumulative return is underperforming the market; ...
- 1
1 vote
1 answer
112 views
How to maintain VaR at 5% and max return in Portfolio Analytics
For Asset Allocation in R using Portfolio Analytics, is there a way to set risk as constant number, then optimize portfolio returns? For example, to maintain VaR always at 5% (conservative), how do ...
- 11
1 vote
0 answers
144 views
Framework for analyzing transaction history
After many years of being discretionary trader I'm finally moving to systematized trading. I have all the transaction history from my broker I want to be the basis of my models. Is there a framework ...
- 161
1 vote
0 answers
102 views
Can we get the portfolio size approximation from the PnL? [closed]
Im wondering if we can get the portfolio size approximation, if we have the volatility and -/+ pnl of the portfolio ? Is there a method or a formula ? Example the annual volatility of 3% and daily ...
- 696
2 votes
1 answer
1k views
portfolio information ratio calculation on daily returns including hedged strategy results interpretation
I am tasked with calculating the portfolio information ratio on ~15 years of daily portfolio returns and I am finding several approaches online which is quite confusing. The first approach simply ...
- 135
2 votes
0 answers
239 views
Issue with chart.RiskReturnScatter in performance analytics, need finite 'ylim' values error
I am currently trying to create a Risk Return Scatter plot using the following code ...
- 21
0 votes
2 answers
270 views
r: analyse series of historical positions as portfolio using 'standard' tools
I have a series of historical trading positions in the form Symbol OpenPrice OpenDate InvestmentInDollars CloseDate ReturnInDollars I need to evaluate the ...
0 votes
1 answer
435 views
performance attribution - security selection= wB*(Rp-RB) or wP*(Rp-RB)?
Really confused. Finding various different ways of calculating security selection alpha. I believe it matters from whose perspective one is looking at. I am a portfolio manager and I want to know ...
- 3
0 votes
1 answer
369 views
Return.portfolio function for re-balancing with time series of weights
I am using the Return.portfolio function from the PerformanceAnalytics R package in order to re-balance the portfolio based on different frequencies (i.e. daily, weekly monthly, etc.) using a time ...
- 11
2 votes
1 answer
171 views
How to correctly use SharpeRatio.annualized function with daily returns and proxy for daily risk free rate
I am not sure if am correctly using SharpeRatio.annualized function. I am passing following parameters (dailyRet, dailyRF, scale = 252), where dailyRet is an XTS type for daily returns, dailyRF is an ...
- 23
7 votes
2 answers
285 views
Portfolio returns with unequal asset return histories
Using the package PerformanceAnalytics in R, I am trying to calculate the return of an equal-weighted portfolio that contains 30 assets. However, these assets do not have the same starting point in ...
- 71