Summary: Add Measures and Attribution to PerformanceAnalytics and PortfolioAnalytics based on Bacon (2008)

Description: PerformanceAnalytics is an R package that provides a collection of econometric functions for performance and risk analysis. It applies current research on return-based analysis of strategy or fund returns for risk, autocorrelation and illiquidity, persistence, style analysis and drift, clustering, quantile regression, and other topics.

PerformanceAnalytics has long enjoyed contributions from users who would like to see specific functionality included. In particular, Diethelm Wuertz of ETHZ (and the well-known R/Metrics packages) has very generously contributed a very large set of functions based on Bacon (2008). It is a great starting point, but many of these functions need to be finished and converted such that the functions and interfaces are consistent with other PerformanceAnalytics functions, and are appropriately documented.

In addition, certain functions useful for optimization will need to be converted to be used in PortfolioAnalytics, an extensible business-focused framework for portfolio optimization and analysis. That package focuses on numeric approaches for solving non-quadratic problems useful, for example, in risk budgeting.

Assuming the prior work goes well, there will be an opportunity to extend PortfolioAnalytics to cover portfolio attribution as described in Bacon (2008). This is frequently-requested functionality from the finance community that uses R. We would use FinancialInstrument, an R package for defining and storing meta-data for tradeable contracts (referred to as instruments, such as for stocks, futures, options, etc.), to define relationships among securities to be used by attribution functions.


Test: The successful applicant will demonstrate proficiency with R, and specifically with xts and PerformanceAnalytics or PortfolioAnalytics. This could be via identifying a patch or extension, providing a new demo script for the one of the packages that would show understanding of the functionality provided, or by doing a detailed proposal with pseudocode for one or more potential enhancements to the toolchain. The ideal candidate would also demonstrate prior interest or experience in finance.

Mentor: Peter Carl is one of the primary authors of these related packages, and would mentor the GSOC participant. 2012-02-18

Brian Peterson is one of the primary authors of these packages, has previously mentored GSoC projects, and would be backup mentor for this project.

developers/projects/gsoc2012/performanceanalytics.txt · Last modified: 2012/03/21 by braverock
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