Jessy-Esther Missengue
2016-Mar-25 13:10 UTC
[R] Performance Analytics Modigliani Code help
Hi all, I am researching performance of funds in the FTSE100 and am using the Modigliani function in the PerformanceAnalytics package. I have attached my raw data for your reference. When I try to use the Modigliani code as follows: Modigliani (a,b,c=0) where a is my data set "1000 RANDOM...", b is the data of FTSE "FTSE ALLSHARE..." returns, c is the risk free rate "LIBOR". This code returns the data attached "Modigliani from R" which seems to be a calculation for only the first 2 columns of my data set. I would have expected to have R return the same amount of rows and columns when using the Modigliani function i.e 108 rows and 1001 columns. Is there something I need to add to the code to have it calculate for each row/column? Thanks, Jessy *very confused student*
Hi Jessy, I had a look at: http://www.rdocumentation.org/packages/PerformanceAnalytics/functions/Modigliani and it doesn't include a "Value" section, so I don't know what the return value should be. Have you tried running the examples to see what they return? Jim On Sat, Mar 26, 2016 at 12:10 AM, Jessy-Esther Missengue <jessyesther.missengue2 at mail.dcu.ie> wrote:> Hi all, > > I am researching performance of funds in the FTSE100 and am using the > Modigliani function in the PerformanceAnalytics package. > > I have attached my raw data for your reference. > > When I try to use the Modigliani code as follows: > > Modigliani (a,b,c=0) > where a is my data set "1000 RANDOM...", b is the data of FTSE "FTSE > ALLSHARE..." returns, c is the risk free rate "LIBOR". > > This code returns the data attached "Modigliani from R" which seems to be a > calculation for only the first 2 columns of my data set. I would have > expected to have R return the same amount of rows and columns when using > the Modigliani function i.e 108 rows and 1001 columns. > > Is there something I need to add to the code to have it calculate for each > row/column? > > Thanks, > Jessy *very confused student* > ______________________________________________ > R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code.