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POStoring function returns in a table in R (quant finance)
 

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  1. POStoring function returns in a table in R (quant finance)
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    <p>For the purposes of this question, I would like to construct a data frame or similar to be able to "stack rank" and sort various metrics that are generated from functions. </p> <p>Let's take an example from the <code>Performance Analytics</code> package:</p> <ul> <li>I have the close-close returns of 3 indices from 2001: SPX, NASDAQ (CCMP) and EuroStoxx (SX5E).</li> <li>I'd like to get the 95% 1day VaR for each of these, place them into a table and then sort them from high to low (or low to high etc).</li> </ul> <p>To illustrate my question, I will use the <code>table.DownsideRisk</code> function in the <code>Performance Analytics</code> package rather than just calling <code>VaR()</code>.</p> <p>So, I can get these results individually:</p> <pre><code> SPX.cc Semi Deviation 0.0095 Gain Deviation 0.0096 Loss Deviation 0.0102 Downside Deviation (MAR=210%) 0.0142 Downside Deviation (Rf=0%) 0.0094 Downside Deviation (0%) 0.0094 Maximum Drawdown 0.5678 Historical VaR (95%) -0.0203 Historical ES (95%) -0.0317 Modified VaR (95%) -0.0193 Modified ES (95%) -0.0273 </code></pre> <p>Or I can place them all in an <code>xts</code> object together and then run <code>table.DownsideRisk</code>:</p> <pre><code> SPX.cc CCMP.cc SX5E.cc Semi Deviation 0.0095 0.0114 0.0111 Gain Deviation 0.0096 0.0117 0.0114 Loss Deviation 0.0102 0.0116 0.0113 Downside Deviation (MAR=210%) 0.0142 0.0161 0.0161 Downside Deviation (Rf=0%) 0.0094 0.0113 0.0112 Downside Deviation (0%) 0.0094 0.0113 0.0112 Maximum Drawdown 0.5678 0.6103 0.6219 Historical VaR (95%) -0.0203 -0.0260 -0.0249 Historical ES (95%) -0.0317 -0.0370 -0.0372 Modified VaR (95%) -0.0193 -0.0231 -0.0237 Modified ES (95%) -0.0273 -0.0293 -0.0330 </code></pre> <p>but, let's say I ran the individual example either as an <code>lapply</code> or <code>for</code> loop as part of a broader analytical program - what I would like to do is extract each of the <code>Historical VaR (95%)</code> figures from the output of the <code>table.DownsideRisk</code> function <strong>as the loop / apply function is running on each element</strong> and place those extracted values in a table in the <code>.GlobalEnv()</code> and then sort that table along the lines of (Low to High)</p> <pre><code> Historical VaR (95%) SPX.ccl -.0203 SX5E.ccl -.0249 CCMP.ccl -.0260 </code></pre> <p>I know this will seem rather basic to data frame / table users but any assistance is much appreciated.</p> <p>Cheers.</p>
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    1. USn.e.w
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    1. COI downvoted this question because after reading it I still don't know what your exact goal is and how it relates to the Performance Analytics package. A bounty doesn't fix that.
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      1. USRoland
    2. CORoland, it's not about the PA package; it's just using PA as an illustration that I thought would be generally applicable to the community. All I'm trying to do is to 'loop over' a set of returns and - as each set of results is returned - extract a particular value from that set of results and then place the extracted result into a data.frame / table so that I can then view / sort those extracted results after the loop has finished running. I hope that clarifies.
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    3. COI also have no clue what it is you are trying to accomplish or what the need here is. Perhaps clarifying the question would get you more answers
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      1. USRicardo Saporta
 

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