[R-SIG-Finance] PortfolioAnalytics question re: showing results
Brian G. Peterson
brian at braverock.com
Wed Mar 16 20:43:58 CET 2016
On Wed, 2016-03-16 at 13:06 -0500, matt at considine.net wrote:
> I have a sense I have overlooked something pretty basic here, but I'll
> risk asking an obvious question. I am trying to use PortfolioAnalytics
> as a complement to information provided by an investment consultant.
> They are presenting their efficient frontier results with annualized
> expected return data. I'm feeding PortfolioAnalytics monthly historical
> data, so the resulting chart/summary data is on a monthly basis (I
> Is there a flag for results to be presented on an annualized basis?
> Thank in advance - and apologies for overlooking something clear. I did
> try to search the docs first :)
It's simple, but not as simple as a flag.
You need to add the annualized metrics to the portfolio specification
with a multiplier of 0.
Then you can plot your efficient frontier using all the standard
PortfolioAnalytics tools calling those metrics as axes of your plots.
Let me know if you need a fully worked out example, but I think there
are examples in some of the vignettes and presentations that do
something similar with annualized standard deviation.
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