Articles by Peter Carl

Find the last day of the month

October 17, 2014 | Peter Carl

I have different sets of monthly data that I want to align and evaluate once a month. The different sources report the timestamp of the monthly data differently – one reports the date without the day, another as the last business day, and another as the last day of the month. ... [Read more...]

Aggregate portfolio contributions through time

September 25, 2014 | Peter Carl

The last CRAN release didn’t have much new functionality, but Ross Bennett and I have completely re-written the Return.portfolio function to fix some issues and make the calculations more transparent.  The function calculates the returns of a portfolio given asset returns, weights, and rebalancing periods – which, although not ... [Read more...]

PerformanceAnalytics update released to CRAN

September 16, 2014 | Peter Carl

Version number 1.4.3541 of PerformanceAnalytics was released on CRAN today. If you’ve been following along, you’ll note that we’re altering our version numbering system.  From here on out, we’ll be using a “major.cran-release.r-forge-rev” form so that when issues are reported it will be easier for ... [Read more...]

GSOC 2014: Let’s do it again!

March 11, 2014 | Peter Carl

Google Summer of Code opened for students on Monday, March 10, more than a month earlier than last year.  If you weren’t following the announcements and that deadline caught you wrong-footed, all I can say is that the good news is that students will know their fate by April 21, well ... [Read more...]

Some belated spring cleaning

August 11, 2013 | Peter Carl

A very busy spring has transitioned into a very busy summer, so let me recap a few topics that probably deserve more time than I’ll give them here. Here are the things I’m overdue on, in no particular order: Publications In the March edition of the Journal of ... [Read more...]

R/Finance 2013 Is Coming Quickly…

May 5, 2013 | Peter Carl

There is about two weeks remaining until R/Finance 2013 - being held on May 17th and 18th at UIC in Chicago.  Make sure you register beforehand to ensure you have a spot, and – yes - you do want to come to the conference dinner on Friday.   I am particularly excited ... [Read more...]

Writing from R to Excel with xlsx

May 1, 2013 | Peter Carl

Paul Teetor, who is doing yeoman’s duty as one of the organizers of the Chicago R User Group (CRUG), asked recently if I would do a short presentation about a “favorite package”.  I picked xlsx, one of the many packages that provides a bridge between spreadsheets and R.  Here ... [Read more...]

GSoC and R: Off to the Races

April 25, 2013 | Peter Carl

Google Summer of Code has now opened for student applications, and the R Project has once again been selected as a mentoring organization.  I’ve discussed before that a variety of mentors have proposed a number of projects for students to work on during this summer, but I wanted to ... [Read more...]

GSoC 2013: At the starting line

April 18, 2013 | Peter Carl

Google Summer of Code will be open for students on Monday, April 22.  The R Project has once again been selected as a mentoring organization , and a variety of mentors have proposed a number of projects for students to work on during this summer.  Here’s a bit about the program, ... [Read more...]

GSOC 2013: IID Assumptions in Performance Measurement

March 9, 2013 | Peter Carl

Google Summer of Code for 2013 has been announced and organizations such as R are beginning to assemble ideas for student projects this summer. If you’re an interested student, there’s a list of project proposals on the R wiki. If you’re considering being a mentor, post a project ... [Read more...]

The Paul Tol 21-color salute

February 27, 2013 | Peter Carl

You may or may not know that PerformanceAnalytics contains a number of specific color schemes designed for charting data in R (they aren’t documented well, but they show up in some of the chart examples). I’ve been collecting color palates for years in search of good combinations of ... [Read more...]

Visually Comparing Return Distributions

January 18, 2013 | Peter Carl

Here is a spot of code to create a series of small multiples for comparing return distributions. You may have spotted this in a presentation I posted about earlier, but I’ve been using it here and there and am finally satisfied that it is a generally useful view, so ... [Read more...]

R/Finance 2013 Call for Papers

January 5, 2013 | Peter Carl

It’s that time of year again – we’ve just posted our Call for Papers for the R/Finance 2013 conference, which focuses on applied finance using R. This is our fifth annual conference, again organized by a group of R package authors and community contributors and hosted by the International ... [Read more...]

xts and GSOC 2012

November 23, 2012 | Peter Carl

Josh Ulrich and Jeff Ryan mentored a Google Summer of Code (GSOC) project this summer focused on experimental functionality for xts in collaboration with R. Michael Weylandt, a student in operations research and financial engineering from Princeton. You might recognize Michael from his presentation at R/Finance this year, where ... [Read more...]

FinancialInstrument Moves to CRAN

September 19, 2012 | Peter Carl

I thought I would break up the posts about GSOC (no, I’m not done yet – there are a few more to do) with a quick note about FinancialInstrument. The FinancialInstrument package provides a construct for defining and storing meta-data for tradable contracts (referred to as instruments, e.g., stocks, ... [Read more...]

Conversion of Meucci’s MatLab Code

September 7, 2012 | Peter Carl

You might remember a second proposal I put forward for this summer’s Google Summer of Code (GSoC). This project was ambitious, looking to convert a subset of Attillio Meucci’s MatLab code to R. Thankfully, Brian Peterson took the lead mentor position for this particular project. Coincidently, the day ... [Read more...]

New Attribution Functions for PortfolioAnalytics

September 1, 2012 | Peter Carl

Another Google Summer of Code (GSoC) project this summer focused on creating functions for doing returns-based performance attribution. I’ve always been a little puzzled about why this functionality wasn’t covered already, but I think that most analysts do this kind of work in Excel. That, of course, has ... [Read more...]

…Now With More Bacon (2008)!

August 29, 2012 | Peter Carl

I’m sure that Carl Bacon[1] sighs deeply when he reads such headlines, but it is clearly appropriate in this case. Perhaps you remember that I proposed a Google Summer of Code project for 2012 around a considerable code contribution to PerformanceAnalytics from Diethelm Wuertz at ETHZ. That code was focused ... [Read more...]

Download and parse EDHEC hedge fund indexes

June 4, 2012 | Peter Carl

In our pre-conference workshop, Brian Peterson and I worked with the EDHEC hedge fund indexes as a way to demonstrate how to use PortfolioAnalytics within the context of long-term allocation problems. Although they are not investible, these indexes are probably more representative than most given that they are, in fact, ... [Read more...]
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