performance analysis in r

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Performance Analysis in R

Peter CarlBrian Peterson

Authors of PerformanceAnalytics

April 24, 2009

Chicago, IL

R/inance !or"shop


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#utline

Intro$uction

A%out PerformanceAnalytics

Performance Analysis

&ypes of Analysis

'easures an$ Calculations

'easuring Return Assessing Ris"

()aluating Relati)e Performance

(*amining +tyle (*posures

Appen$i* Buil$ing Bloc"s -ata

.raphics

&a%les


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A%out PerformanceAnalytics

Li%rary of econometric functions for performance an$ ris"analysis of financial portfolios

Aims to %e useful to %oth practitioners an$ researchersali"e

Analysis of return streams, hether $istri%ute$ normally ornot

In $e)elopment since early 2001, pac"age$ an$ firstrelease$ to CRA in 2003

o contains more than 50 functions an$ more than,000 lines of co$e an$ 3,600 lines of $ocumentation

Colla%oration, patches an$ suggestions from users inin$ustry an$ aca$emia orl$i$e


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PerformanceAnalytics

CRAN Version 0.9.7.1

+harpe7s +tyle Analysis

+nailtrail chart

8aR +ensiti)ity chart

'o$ifie$ (*pecte$ +hortfall

'ulti)ariate moments an$ris" metrics

igher co:moments

Ro%ust $ata cleaning

'any feer $epen$encies

#ther ne functions, %ugfi*es

Release 1.0

Component 8aR an$

Component (*pecte$+hortfall

!rappers of 8aR an$ (+functions for consistency

A$option of *ts for timeseries

Impro)e$ *:a*is han$ling incharts

ormatte$ ta%les in $e)ices Capture ratios an$ other

metrics

Bug fi*es, ne functions


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Analy;ing Performance in inance

!hat


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Performance Analysis in inance

!hat are e trying to accomplishhi$$en? ris"s, your mileage may )ary, more than one ayto s"in a cat, etc


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Performance +ummary

o has the fun$/ strategy/portfolio performe$ in the pastnormal? losses %een in a $on perio$< At hat le)elshoul$ e set alarms for re:e)aluation of an asset in a portfolioormali;e$? is the same, %ut the coefficientssum to &he Kconstraine$K a$$s that the coefficientsmust %e %eteen 0 an$ &hat re=uires a =ua$raticprogramming algorithm, using solve.*Pfrom the@=ua$prog@ pac"age

ses R2for )aria%le selection Alternati)ely, e ha)e animplementation that uses AIC as a criterion:%ase$ metho$

for selecting style eights (mail us if you@re intereste$


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+harpe@s +tyle Analysis

G$atae$hecD

GchartRolling+tylemanagers,2,$ropHAL+(J,e$hec,J,

metho$HKconstraine$K, le)erageHAL+(, i$thH1, ce*legen$H 3, colorsetHrain%o2e=ual, lasHD

Apologies in a$)ance for the stac"e$ %ar chart

A much %etter alternati)e is to graph each factor eightseparately so that the )alues can %e rea$ easily an$ are

easier to compare


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&hings Left &o -o

&urther Research

Performance attri%ution an$ Portfolio Analytics

Ris" Bu$geting

Applications of Component Ris" to large portfolios

istorical portfolio frameor" in R

&ransactions an$ positions ith profit an$ loss Instrument properties an$ mo$el

Interfaces to $ata pro)i$er pac"ages

Practical Bayesian applications

Anything Y# ant to or" ith us on

!ank "ou for your attention


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Appen$i* &he Buil$ing Bloc"s

o

I t ll $ P f A l ti


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Install an$ se PerformanceAnalytics

&here are se)eral ays to install pac"ages, %ut theprefera%le ay to install them is through the CRA

repository !ithin an R session, you can type

G installpac"ages@PerformanceAnalytics@, $epH&R(D

#nce the pac"age is installe$, you nee$ to loa$ it into the

current or"space to use it seG li%raryPerformanceAnalyticsD

to loa$ the pac"age

Alternati)ely, un$er !in$os, use the @Pac"age@ menu an$

select @Li%rary@

R $i - t


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Rea$ing -ata

o $o I rea$ $ata from an (*cel sprea$sheet

performance analysis in r

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