Help extracting a number...

General
1

I am using quantmod and Performance Analytics to complete this...

maxDate <-"2000-01-01"
> AMZN.prices<-Ad(getSymbols("AMZN",auto.assign = FALSE, from=maxDate))
> AMZN.rets<-dailyReturn(AMZN.prices)
> VaR(AMZN.rets,p=0.95,method = "historical")
    daily.returns
VaR   -0.04416111
> VaR(AMZN.rets, p=0.99, method="historical")
    daily.returns
VaR   -0.08969521
> ES(AMZN.rets, p=0.99, method = "historical")
   daily.returns
ES    -0.1225124
> tickers <-c("AMZN","FB","MSFT")
> weights <- c(.50,.10,.40)
> getSymbols(tickers,from=maxDate)
[1] "AMZN" "FB"   "MSFT"
> Port.prices <- na.omit(merge(Ad(AMZN), Ad(FB),Ad(MSFT)))
> Port.returns <- ROC(Port.prices, type = "discrete")[-1,]                       
> colnames(Port.returns)<- tickers
> head(Port.returns)
                   AMZN          FB          MSFT
2012-05-21  0.019920481 -0.10986139  0.0163992312
2012-05-22 -0.012745858 -0.08903906  0.0003357195
2012-05-23  0.009055854  0.03225806 -0.0218411670
2012-05-24 -0.009388779  0.03218747 -0.0013741794
2012-05-25 -0.010918073 -0.03390854 -0.0003442763
2012-05-29  0.008736911 -0.09620809  0.0172060378
> VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "modified")
$MVaR
[1] 0.02098371

$contribution
       AMZN          FB        MSFT 
0.011423717 0.002670831 0.006889165 

$pct_contrib_MVaR
     AMZN        FB      MSFT 
0.5444088 0.1272811 0.3283101 

> VAR.Hist <- VaR(Port.returns, p=0.95, weights = NULL, portfolio_method = "single", method = "historical")
> head(VAR.Hist)
           AMZN          FB        MSFT
VaR -0.02650218 -0.03285992 -0.02232063
> VAR.Gaus <- VaR(Port.returns, p=0.95, weights = NULL, portfolio_method = "single", method = "gaussian")
> head(VAR.Gaus)
         AMZN          FB        MSFT
VaR -0.029776 -0.03751721 -0.02566986
> VAR.MOD <- VaR(Port.returns, p= 0.95, weights = NULL, portfolio_method = "single", method ="modified")
> head(VAR.MOD)
           AMZN          FB        MSFT
VaR -0.02439567 -0.02107829 -0.02154536
> ALL.VARS <- data.frame(rbind(VAR.Hist, VAR.Gaus, VAR.MOD))
> rownames(ALL.VAR) <- c("Hist", "Gaus", "MOD")
> head(ALL.VAR)
            AMZN          FB        MSFT
Hist -0.02650218 -0.03285992 -0.02232063
Gaus -0.02977600 -0.03751721 -0.02566986
MOD  -0.02439567 -0.02107829 -0.02154536
> **PortVAR.Hist <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "historical")[1]**
**> head(PortVAR.Hist)**
**$hVaR**                                              I need to get this to just the number and I have no idea how to 
**  hVaR 95% **                                     do it. I was able to figure it out for the Gaus and Modified. I just 
**0.02330049**                                      cannot get this one corrected. 

> PortVar.Gaus <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "gaussian")$VaR[1]
> head(PortVar.Gaus)
[1] 0.02402974
> PortVar.Mod <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "modified")$MVaR[1]
> head(PortVar.Mod)
[1] 0.02098371
> PortVAR.Hist <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "historical")
> head(PortVAR.Hist)
$hVaR
  hVaR 95% 
0.02330049 

$contribution
         AMZN            FB          MSFT 
-0.0076427240 -0.0009305948 -0.0030769242 

$pct_contrib_hVaR
      AMZN         FB       MSFT 
0.65601412 0.07987772 0.26410816 

> PortVar.Gaus <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "gaussian")$VaR[1]
> head(PortVar.Gaus)
[1] 0.02402974
> PortVar.Mod <- VaR(Port.returns, p=0.95, weights = weights, portfolio_method = "component", method = "modified")$MVaR[1]
> head(PortVar.Mod)
[1] 0.02098371
> ALL.VARS$Portfolio <- c(PortVAR.Hist,PortVar.Gaus,PortVar.Mod)
Error in `$<-.data.frame`(`*tmp*`, Portfolio, value = list(hVaR = c(`hVaR 95%` = 0.0233004861003799),  : 
  replacement has 5 rows, data has 3
2

Your question is well hidden inside this mass of code. I recommend that you edit the post to format it, it will likely increase your chance of receiving support.

4

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