[R-SIG-Finance] R-project and the risk measurement for mutual and hedge funds

[Bengoechea Bartolomé Enrique (SIES 73)]

Hi Fabrice,

> PS: I need to produce 500 risk management reports per month!!!

Not an issue, you can perfectly do that with R. 

> R project will enable me to have CVaR, Modified Sharpe Ratio, 
> etc. But, I guess that I cannot use R project to produce 
> "automatically" Risk management report and performance 
> attribution for the funds. Is it true? I will be happy to 
> know what software is appropriated for this task?

You can create a fully automated system with R. But, even if many libraries will simplify it, you will have to program a good part of the system yourself, at least for integration. This takes time and requires programming skills but will give you a lot of flexibility.

If (very high) speed is an issue, e.g. if you need to produce the 500 reports in half an hour, R may not be the tool of choice. But you can probably end up creating your 500 reports in one day...

Other people has mentioned Sweave for creating the reports. It's likely the best and fastest-generation tool, but I also use extensively R(D)COM to build a good number of Excel and Powerpoint reports on the fly.

Good luck,

Enrique