[R-SIG-Finance] Performance Analytics: table.CAPM

[Joshua Ulrich]

I get no errors when running your code with the most recent versions
of xts and PerformanceAnalytics on CRAN.  Here's a simplified version
of your example:

library(PerformanceAnalytics)
ind <- as.yearmon(Sys.Date())-(4:1)/12
Ra <- xts(c(0.1,0.11,0.09,0.1), ind)
Rb <- xts(c(0.25,0.2,-0.4,0.01), ind)
CAPM.alpha(Ra, Rb)
table.CAPM(Ra, Rb)

Best,
--
Joshua Ulrich  |  about.me/joshuaulrich
FOSS Trading  |  www.fosstrading.com


On Wed, Oct 15, 2014 at 4:28 PM, Charles Duranceau <cduranceau at nial.ky> wrote:
> Hi,
> I noticed a problem with the function : table.CAPM when it return following error message: "Error in NextMethod(.Generic) : dims [product 4] do not match the length of object [0]"
> I noticed in a previous post the solution is to transform series in xts, but in this case the series is already a xts object.
> I don't understand as other similar functions works well as the following code shows
>
> library("xts", lib.loc="C:/Users/cduranceau/Documents/R/win-library/3.1")
> library("PerformanceAnalytics", lib.loc="C:/Users/cduranceau/Documents/R/win-library/3.1")
> # Define Returns
> pf1<-c(0.1,0.11,0.09,0.1)
> bm<-c(0.25,0.2,-0.4,0.01)
> time_index<-seq(as.Date("2003/05/01"), by = "month", length.out = 4)-1 # last day of the month
> pf1x<-as.xts(pf1,time_index)
> bmx<-as.xts(bm,time_index)
>
>
> CAPM.alpha(pf1x, bmx, Rf = 0) # works [1] 0.09965609
> table.CAPM(pf1x,bmx,Rf=0)    # error
>
> Is there a way to solve the issue?
> Thank you
>
> Best Regards,
>
>
> Version info
>
> platform       x86_64-w64-mingw32
> arch           x86_64
> os             mingw32
> system         x86_64, mingw32
> status
> major          3
> minor          1.0
> year           2014
> month          04
> day            10
> svn rev        65387
> language       R
> version.string R version 3.1.0 (2014-04-10)
> nickname       Spring Dance
>
>
> package:
>
> Package:
>
>  "PerformanceAnalytics" VERSION 1.4.3541 from CRAN   ---- project.org/bin/windows/contrib/3.1/PerformanceAnalytics_1.4.3541.zip
>
> Charles
>