PerformanceAnalytics

Introduction to Portfolio Analysis in R

Kris Boudt

Professor, Free University Brussels & Amsterdam

The practitioner's challenge

  • In practice, time series of portfolio returns
  • Longer history → more info on portfolio
  • Good package = PerformanceAnalytics
Introduction to Portfolio Analysis in R

The creators

  • PerformanceAnalytics is the go-to package for portfolio return analysis in R

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Peter Carl

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Brian Peterson

1 https://tradeblotter.files.wordpress.com/2012/02/bwauthorpcc.jpeg
Introduction to Portfolio Analysis in R

Calculating returns

  • Return.calculate: to compute the asset returns

  • Return.portfolio: to compute the portfolio return

  • Return.calculate(prices)

    • xts-object

  • Dates structure: YYYY-MM-DD

Introduction to Portfolio Analysis in R

Calculating returns

  • Return.calculate
returns <- Return.calculate(prices)

returns <- returns[(-1),]

head(prices)

AAPL   MSFT
2006-01-03 9.829465  21.07395
2006-01-04 9.858394  21.17603
2006-01-05 9.780810  21.19173
...

head(returns)

            AAPL         MSFT 
2006-01-03  NA           NA
2006-01-04  0.002943090  0.0048434670
2006-01-05 -0.007869842  0.0007415934
...
Introduction to Portfolio Analysis in R

Dynamics of portfolio weights

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Introduction to Portfolio Analysis in R

Dynamics of portfolio weights

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Introduction to Portfolio Analysis in R

Portfolio returns

Return.portfolio <- function(R, weights = NULL, 
    rebalance_on = c(NA, "years", "quarters", 
                         "months", "weeks", "days"))
  • Three arguments to be specified:
    • return data
    • weights
    • rebalancing
Introduction to Portfolio Analysis in R

Let's practice!

Introduction to Portfolio Analysis in R

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