[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 W. Byers*

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