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

[alexios ghalanos]

I've come across this problem before, and found that by setting the 
colnames of each variable (so they are not NULL) resolves it.

Alexios

On 21/10/2014 22:09, Charles Duranceau wrote:
> Thank you Joshua,
> Yes you are right I get also no error running the same code in a second attempt.
>
> But the day after, I ran the same code and I got the same error message so I'm confused.
> In order to make the estimation work, I directly define the xts object in the formula as in the following
>
> table.CAPM(as.xts(al[,1,drop=FALSE]),as.xts(al[,2,drop=FALSE]),Rf=as.xts(al[,3,drop=FALSE]))
> where "al" is a multivariate xts class object. This is the only way I get it to work
>
> while the day before, I didn't have any problem running more simply table.CAPM (p1,p2 ,p3) where p1,p2,p3 where previously defined as univariate xts object.
>
> There's something in these functions that seems to be sensitive to the way the "xts" is entered or specified. I noticed the problem occur more often when passing the xts in the risk free rate parameter "Rf".
>
> I don't think it's critical as I found a way to overcome but a little less straightforward.
>
> Sorry for the code, I will try making it simpler next time
> Regards,
>
> -----Original Message-----
> From: Joshua Ulrich [mailto:josh.m.ulrich at gmail.com]
> Sent: Thursday, October 16, 2014 7:34 PM
> To: Charles Duranceau
> Cc: r-sig-finance at r-project.org
> Subject: Re: [R-SIG-Finance] Performance Analytics: table.CAPM
>
> 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
>>
>
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