[R] problem with table.CAPM in PerformanceAnalytics
All, I'm attempting to run this: table.CAPM(series[,Strat.Return,drop=FALSE],series[,spy.Return,drop=FALSE]) and getting this error Error in as.vector(data[, i]) : subscript out of bounds I've searched around and cannot find a solution to the problem. I've used this in the past without problem and I'm not sure what I did different this time. Other functions from that package like chat.CumReturns() work OK with this series. CAPM.Beta() does not. You can get the series timeSeries at http://www.pazzula.com/blog/series.rda Thanks in advance. Dominic J. Pazzula +-+-+-+-+-+-+-+-+-+-+- domp...@yahoo.com [[alternative HTML version deleted]] __ R-help@r-project.org mailing list 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.
Re: [R] problem with table.CAPM in PerformanceAnalytics
Dom Pazzula wrote All, I'm attempting to run this: table.CAPM(series[,Strat.Return,drop=FALSE],series[,spy.Return,drop=FALSE]) and getting this error Error in as.vector(data[, i]) : subscript out of bounds I've searched around and cannot find a solution to the problem. I've used this in the past without problem and I'm not sure what I did different this time. Other functions from that package like chat.CumReturns() work OK with this series. CAPM.Beta() does not. You can get the series timeSeries at http://www.pazzula.com/blog/series.rda Thanks in advance. Dominic J. Pazzula +-+-+-+-+-+-+-+-+-+-+- dompazz@ [[alternative HTML version deleted]] __ R-help@ mailing list 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. Hi Dom I notice that if I change your input series to an xts object things seem to work ... table.CAPM(as.xts(series[,Strat.Return,drop=FALSE]), as.xts(series[,spy.Return,drop=FALSE])) Strat.Return to spy.Return Alpha 0.0013 Beta0.1921 Beta+ 0.6830 Beta- -0.0803 R-squared 0.0374 Annualized Alpha0.3990 Correlation 0.1934 Correlation p-value 0. Tracking Error 0.7447 Active Premium 0.3694 Information Ratio 0.4960 Treynor Ratio 1.8885 HTH Pete -- View this message in context: http://r.789695.n4.nabble.com/problem-with-table-CAPM-in-PerformanceAnalytics-tp4298267p4298351.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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.
Re: [R] problem with table.CAPM in PerformanceAnalytics
Pete, That seems to work. I wonder what the problem was. Thanks, Dom Dominic J. Pazzula +-+-+-+-+-+-+-+-+-+-+- domp...@yahoo.com From: Pete Brecknock peter.breckn...@bp.com To: r-help@r-project.org Sent: Sunday, January 15, 2012 8:13 PM Subject: Re: [R] problem with table.CAPM in PerformanceAnalytics Dom Pazzula wrote All, I'm attempting to run this: table.CAPM(series[,Strat.Return,drop=FALSE],series[,spy.Return,drop=FALSE]) and getting this error Error in as.vector(data[, i]) : subscript out of bounds I've searched around and cannot find a solution to the problem. I've used this in the past without problem and I'm not sure what I did different this time. Other functions from that package like chat.CumReturns() work OK with this series. CAPM.Beta() does not. You can get the series timeSeries at http://www.pazzula.com/blog/series.rda Thanks in advance. Dominic J. Pazzula +-+-+-+-+-+-+-+-+-+-+- dompazz@ [[alternative HTML version deleted]] __ R-help@ mailing list 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. Hi Dom I notice that if I change your input series to an xts object things seem to work ... table.CAPM(as.xts(series[,Strat.Return,drop=FALSE]), as.xts(series[,spy.Return,drop=FALSE])) Strat.Return to spy.Return Alpha 0.0013 Beta 0.1921 Beta+ 0.6830 Beta- -0.0803 R-squared 0.0374 Annualized Alpha 0.3990 Correlation 0.1934 Correlation p-value 0. Tracking Error 0.7447 Active Premium 0.3694 Information Ratio 0.4960 Treynor Ratio 1.8885 HTH Pete -- View this message in context: http://r.789695.n4.nabble.com/problem-with-table-CAPM-in-PerformanceAnalytics-tp4298267p4298351.html Sent from the R help mailing list archive at Nabble.com. __ R-help@r-project.org mailing list 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. [[alternative HTML version deleted]] __ R-help@r-project.org mailing list 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.
