[R-SIG-Finance] Portfolio Attributino example with one common benchmark

[Bos, Roger]

The help shows an example with one benchmark for each asset:

    library(PortfolioAttribution)
    data(attrib)
    Attribution(Rp = attrib.returns[, 1:10],
      wp = attrib.weights[1, ],
      Rb = attrib.returns[, 11:20],
      wb = attrib.weights[2, ],
      method = "top.down",
      linking = "carino")

I tried to create modify the example to use one benchmark, as the following error message hints is possible:

Error in Attribution(Rp = attrib.returns[, 1:10], wp = attrib.weights[1,  :
  Please use benchmark xts that has columns with benchmarks for each
            asset or one common benchmark for all assets

But this is not working, giving the following error:

   Attribution(Rp = attrib.returns[, 1:10],
      wp = attrib.weights[1, ],
      Rb = attrib.returns[, 11],
      wb = 1,
      method = "top.down",
      linking = "carino")

Error in checkData(R, method = "xts") :
  The data cannot be converted into a time series.  If you are trying to pass in names from a data object with one column, you should use the form 'data[rows, columns, drop = FALSE]'.  Rownames should have standard date formats, such as '1985-03-15'.

And for completeness, drop=FALSE  does not fix the error:

    Attribution(Rp = attrib.returns[, 1:10],
      wp = attrib.weights[1, ],
      Rb = attrib.returns[, 11, drop=FALSE],
      wb = 1,
      method = "top.down",
      linking = "carino")

Could anyone please show me how to do this?

Thanks, Roger




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