최적화 결과 분석

R로 배우는 중급 포트폴리오 분석

Ross Bennett

Instructor

워크플로: 결과 분석

시각화	데이터 추출
`plot()`	`extractObjectiveMeasures()`
`chart.Concentration()`	`extractStats()`
`chart.EfficientFrontier()`	`extractWeights()`
`chart.RiskReward()`	`print()`
`chart.RiskBudget()`	`summary()`
`chart.Weights()`

예시: 가중치 추출

# Extract the optimal weights
extractWeights(opt)

Convertible Arbitrage   CTA Global      Distressed Securities    
         0.000000e+00   6.515184e-02         5.840055e-18                     

Emerging Markets     Equity Market Neutral      Event Driven
  -8.501425e-18           9.348482e-01          4.105887e-18

예시: 가중치 추출

head(extractWeights(opt_rebal), n = 3)

         Convertible Arbitrage   CTA Global   Distressed Securities
2001-12-31          0.12986589   0.06849445            0.00000000
2002-12-31          0.08738164   0.08645814            0.00000000
2003-12-31          0.09177469   0.03192720            0.02419038 
           Emerging Markets  Equity Market Neutral  Event Driven
2001-12-31     7.113112e-18             0.8016397  -1.608927e-16
2002-12-31    -2.553006e-19             0.8261602  -3.837233e-17
2003-12-31     0.000000e+00             0.8521077   2.991493e-19

예시: 가중치 추출

# Extract the optimal weights
extractWeights(opt)

Convertible Arbitrage   CTA Global      Distressed Securities    
         0.000000e+00   6.515184e-02         5.840055e-18                     

Emerging Markets     Equity Market Neutral      Event Driven
  -8.501425e-18           9.348482e-01          4.105887e-18

예시: 가중치 추출

head(extractWeights(opt_rebal), n = 3)
           Convertible Arbitrage CTA Global

         Convertible Arbitrage   CTA Global   Distressed Securities
2001-12-31          0.12986589   0.06849445            0.00000000
2002-12-31          0.08738164   0.08645814            0.00000000
2003-12-31          0.09177469   0.03192720            0.02419038 
           Emerging Markets  Equity Market Neutral  Event Driven
2001-12-31     7.113112e-18             0.8016397  -1.608927e-16
2002-12-31    -2.553006e-19             0.8261602  -3.837233e-17
2003-12-31     0.000000e+00             0.8521077   2.991493e-19

예시: 가중치 차트

# Chart the weights
chart.Weights(opt)
chart.Weights(opt_rebal)

가중치 차트 플롯

예시: 가중치 차트

# Chart the weights
chart.Weights(opt)
chart.Weights(opt_rebal)

리밸런싱 주기 플롯

# Extract the objective measures
extractObjectiveMeasures(opt)

$StdDev
     StdDev 
0.008855401

head(extractObjectiveMeasures(opt_rebal))

                StdDev
2001-12-31 0.006521328
2002-12-31 0.005886103
2003-12-31 0.005656744
2004-12-31 0.005855993
2005-12-31 0.004308911
2006-12-31 0.004198900

예시: 최적화 분석

# Compute the rebalancing returns
rr <- Return.portfolio(ret, weights = extractWeights(opt_rebal))
charts.PerformanceSummary(rr)

성과 요약 플롯

연습해 봅시다!

R로 배우는 중급 포트폴리오 분석