The help shows an example with one benchmark for each asset:
library(PortfolioAttribution)
data(attrib)
Attribution(Rp = attrib.returns[, 1:10],
wp = attrib.weights[1, ],
Rb = attrib.returns[, 11:20],
wb = attrib.weights[2, ],
method = "top.down",
linking = "carino")
I tried to create modify the example to use one benchmark, as the following
error message hints is possible:
Error in Attribution(Rp = attrib.returns[, 1:10], wp = attrib.weights[1, :
Please use benchmark xts that has columns with benchmarks for each
asset or one common benchmark for all assets
But this is not working, giving the following error:
Attribution(Rp = attrib.returns[, 1:10],
wp = attrib.weights[1, ],
Rb = attrib.returns[, 11],
wb = 1,
method = "top.down",
linking = "carino")
Error in checkData(R, method = "xts") :
The data cannot be converted into a time series. If you are trying to pass
in names from a data object with one column, you should use the form
'data[rows, columns, drop = FALSE]'. Rownames should have standard date
formats, such as '1985-03-15'.
And for completeness, drop=FALSE does not fix the error:
Attribution(Rp = attrib.returns[, 1:10],
wp = attrib.weights[1, ],
Rb = attrib.returns[, 11, drop=FALSE],
wb = 1,
method = "top.down",
linking = "carino")
Could anyone please show me how to do this?
Thanks, Roger
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