[R-SIG-Finance] Performance Analytics PA-Bacon vignette
Joe W. Byers
ecjbo@u @end|ng |rom @o|@com
Thu Feb 27 20:18:54 CET 2020
I have been reviewing the PA-Bacon.rnw.
I wanted to ask about differences between actual and expected. For instance
SharpeRatio(managers[,1,drop=FALSE], Rf=.035/12, FUN="StdDev") *no
expected provied*
???????????????????????????????????????????????????????????????????????? HAM1
StdDev Sharpe (Rf=0.3%, p=95%): 0.3201889
> data(portfolio_bacon)
> print(MSquared(portfolio_bacon[,1], portfolio_bacon[,2])) #expected
0.1068 *expected differs*
???????????????????????????????????????? benchmark.return....
benchmark.return....?????????????????????????? 0.10062
> data(portfolio_bacon)
> print(MSquaredExcess(portfolio_bacon[,1], portfolio_bacon[,2]))
#expected -0.00998 *expected differs*
???????????????????????????????????????? benchmark.return....
benchmark.return....?????????????????? -0.01553103
> print(MSquaredExcess(portfolio_bacon[,1], portfolio_bacon[,2],
Method="arithmetic")) #expected -0.011 *expected differs*
???????????????????????????????????????? benchmark.return....
benchmark.return....?????????????????? -0.01736344
These are the first few R examples.?? The rest of the vignette, some
differ, so are same, some differ on rounding.?? The data files are the
same on my cloned repository.
I was planning?? awhile back to create a beamer presentation from this
vignette that I could use in classes.
Do you want me to updated the expected values in the in the vignettes?
Joe
--
*Joe W. Byers*
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