[R-SIG-Finance] PerformanceAnalytics - Sharpes Style Analysis- but with intercept?

[Peter Carl]

Sharpe didn't actually include an intercept in the paper referenced for
that function, and so the residual component is treated as the excess
return relative to the composite benchmark.  That could be interpreted to
represent the ability of the fund to outperform or underperform the
portfolio constructed of the factors.

I'm not sure exactly what exactly you want to do, but you might find the
commented code for that function helpful if you're thinking about
extending the function:

https://r-forge.r-project.org/scm/viewvc.php/pkg/FactorAnalytics/R/style.QPfit.R?view=markup&root=returnanalytics

HTH,

pcc
-- 
Peter Carl
http://www.braverock.com/~peter

> Dear all,
>
> I am running some analysis based on an asset factor model (Sharpe model -
> Style Analyses) in the Package PerformanceAnalytics/R-Forge. I used the
> cnstained method for the style.fit function, because I need the
> restriction
> sum(paramter)=1, parameter>=0. Everything worked fine, I created a xts
> object with my Data and the results were ok. But now I noticed that I have
> to include an intercept in the estimation. This is based on Sharpes Style
> analysis not included in the style.QPfit function. I try to understand how
> style.Qpfit works, I understood that the constrained is in bvec. And this
> also ok. The intercept has not to be included in the restriction
> (sum(parameter)=1, parameter>=0). So I have maybe to fix Dmat and dvec,
> but
> I really don not know how. Is there a solution possible?
>
> Your help is greatly appreciated - thx,
>
> Phillip
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/PerformanceAnalytics-Sharpes-Style-Analysis-but-with-intercept-tp4125767p4125767.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
>
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>