Dom Pazzula wrote
>
> All,
> I'm attempting to run this:
> table.CAPM(series[,"Strat.Return",drop=FALSE],series[,"spy.Return",drop=FALSE])
>
>
> and getting this error
> Error in as.vector(data[, i]) : subscript out of bounds
>
>
> I've searched around and cannot find a solution to the problem. I've used
> this in the past without problem and I'm not sure what I did different
> this time.
>
> Other functions from that package like chat.CumReturns() work OK with this
> series. CAPM.Beta() does not.
>
> You can get the series timeSeries at
> http://www.pazzula.com/blog/series.rda
>
>
> Thanks in advance.
>
> Dominic J. Pazzula
> +-+-+-+-+-+-+-+-+-+-+-
> dompazz@
> [[alternative HTML version deleted]]
>
>
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>
Hi Dom
I notice that if I change your input series to an xts object things seem to
work ...
table.CAPM(as.xts(series[,"Strat.Return",drop=FALSE]),
as.xts(series[,"spy.Return",drop=FALSE]))
Strat.Return to spy.Return
Alpha 0.0013
Beta 0.1921
Beta+ 0.6830
Beta- -0.0803
R-squared 0.0374
Annualized Alpha 0.3990
Correlation 0.1934
Correlation p-value 0.0000
Tracking Error 0.7447
Active Premium 0.3694
Information Ratio 0.4960
Treynor Ratio 1.8885
HTH
Pete
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