risk.attribution {PortRisk}

Risk Attribution of a Portfolio

Description

Combined representation of the risk attributes MCTR, CCTR, CCTR percentage, Portfolio Volatility and individual Volatility of the stocks in a given portfolio for a given weight and time period.

Usage

risk.attribution(tickers, weights = rep(1,length(tickers)),
                  start, end, data, CompanyList = NULL)

Arguments

tickers

A character vector of ticker names of companies in the portfolio.

weights

A numeric vector of weights assigned to the stocks corresponding to the ticker names in tickers. The sum of the weights need not to be 1 or 100 (in percentage). By default, equal weights to all the stocks are assigned (i.e., by rep(1, length(tickers))).

start

Start date in the format "yyyy-mm-dd".

end

End date in the format "yyyy-mm-dd".

data

A zoo object whose rownames are dates and colnames are ticker names of the companies. Values of the table corresponds to the daily returns of the stocks of corresponding ticker names.

CompanyList

A dataframe containing all the Company names corresponding to the ticker names as its rownames. The input for this argument is optional.

Details

For details of the risk attributes refer to the corresponding functions. See volatility for individual volatility of the stocks and portvol for portfolio volatility, MCTR & CCTR. CCTR percentage for a stock in the portfolio is defined as the percentage of the portfolio volatility contributed by that stock for the given weight. i.e.,

CCTR(\%) = \frac{CCTR}{\sigma}*100

where \sigma is the portfolio volatility.

Value

Returns a dataframe with rownames as the ticker names as given in the input tickers with the last row corresponding to the portfolio values. The result contains the following columns:

Company Name

Optional. Available only if the dataframe with the company names corresponding to the ticker names as rownames is supplied as input in risk.attribution for the argument CompanyList.

Weight

Standardized value of the weights assigned to the stocks in the portfolio. Value of this column corresponding to portfolio is the sum of the weights (i.e. 1).

MCTR

Marginal Contribution to Total Risk (MCTR) in percentage. MCTR corresponding to the portfolio will be shown as NA, since it is meaningless.

CCTR

Conditional Contribution to Total Risk (CCTR) in percentage. CCTR corresponding to the portfolio is the sum of the CCTR values, which is the portfolio volatility.

CCTR(%)

Percentage of the portfolio volatility contributed by the stock for the given weight. Clearly, CCTR percentage corresponding to the portfolio is 100.

Volatility

Individual volatility of the stocks in percentage. Note that, the value of this column corresponding to the portfolio is not the sum of this column. It is the portfolio volatility.

Note

In the result or output (see example), both the values of the last row (Portfolio) corresponding to the columns CCTR and Volatility are same (Portfolio Volatility). It should also be noted that, Portfolio Volatility is the sum of CCTR values corresponding to all the stocks but not the sum of individual Volatility of the stocks.

See Also

volatility, portvol, mctr, cctr, zoo

Examples

# load the data 'SnP500Returns'
data(SnP500Returns)

# consider the portfolio containing the stocks of the companies
# Apple, IBM, Intel, Microsoft
pf <- c("AAPL","IBM","INTC","MSFT")

# suppose the amount of investments in the above stocks are
# $10,000, $40,000, $20,000 & $30,000 respectively
wt <- c(10000,40000,20000,30000) # weights

# risk attribution for the portfolio 'pf' with weights 'wt'
# for the time period January 1, 2013 - January 31, 2013
risk.attribution(tickers = pf, weights = wt,
                  start = "2013-01-01", end = "2013-01-31",
                  data = SnP500Returns)

# to attach the company names corresponding to the ticker names
# load the dataset containing the company names
data(SnP500List)
risk.attribution(tickers = pf, weights = wt,
                  start = "2013-01-01", end = "2013-01-31",
                  data = SnP500Returns, CompanyList = SnP500List)