Hi everyone (& Brian),
I have been using the excellent package PerformanceAnalytics with success.
Yesterday I tried computing component and marginal VaR with the package on my
data and I get an error with marginal VaR. Component VaR is fine but marginal
VaR fails with either the default even-weights or when I pass in a weight
vector. Below is a simple recreation of the error with EDHEC dataset.
Can somebody help with the marginal VaR calculation? Thanks!
Henry
> data(edhec)
> VaR(edhec)
Convertible Arbitrage CTA Global Distressed Securities Emerging Markets
Equity Market Neutral Event Driven
VaR -0.03247395 -0.03380228 -0.02749240 -0.06363081
-0.01134637 -0.02812515
Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage
Relative Value Short Selling
VaR -0.0246791 -0.01548247 -0.03037494 -0.01486869
-0.01926435 -0.07431463
Funds of Funds
VaR -0.02502852
> VaR(edhec, portfolio_method='component')
no weights passed in, assuming equal weighted portfolio
$MVaR
[,1]
[1,] 0.01459739
$contribution
Convertible Arbitrage CTA Global Distressed Securities
Emerging Markets
2.167008e-03 -9.876816e-05 1.720857e-03
3.691141e-03
Equity Market Neutral Event Driven Fixed Income Arbitrage
Global Macro
4.935426e-04 1.780578e-03 1.486652e-03
9.209540e-04
Long/Short Equity Merger Arbitrage Relative Value
Short Selling
1.784986e-03 6.778369e-04 1.324299e-03
-3.150584e-03
Funds of Funds
1.798890e-03
$pct_contrib_MVaR
Convertible Arbitrage CTA Global Distressed Securities
Emerging Markets
0.148451703 -0.006766151 0.117887954
0.252863009
Equity Market Neutral Event Driven Fixed Income Arbitrage
Global Macro
0.033810326 0.121979204 0.101843703
0.063090308
Long/Short Equity Merger Arbitrage Relative Value
Short Selling
0.122281163 0.046435481 0.090721618
-0.215831957
Funds of Funds
0.123233638
> VaR(edhec, portfolio_method='marginal')
no weights passed in, assuming equal weighted portfolio
Error in `[.xts`(R, , names(weights)) : 'i' or 'j' out of range
>
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