Error from CAPM.alpha in PerformanceAnalytics - r

Question

When I try to run the example from page 22 of the PerformanceAnalytics reference, I get an error message. See below.
PS I am a beginner & this has never worked for me. Also, my underlying issue is that I'm getting exactly the same error when trying to use table.CAPM with my own data.
Thanks for any assistance.
> search()
[1] ".GlobalEnv" "package:PerformanceAnalytics"
[3] "package:xts" "package:zoo"
[5] "package:stats" "package:graphics"
[7] "package:grDevices" "package:utils"
[9] "package:datasets" "package:methods"
[11] "Autoloads" "package:base"
> version
_
platform x86_64-w64-mingw32
arch x86_64
os mingw32
system x86_64, mingw32
status
major 2
minor 15.2
year 2012
month 10
day 26
svn rev 61015
language R
version.string R version 2.15.2 (2012-10-26)
nickname Trick or Treat
> data(managers)
> CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
Error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) :
0 (non-NA) cases
>

Answer 1

The bug is not in your code, it is in the R package itself. It it is shown on the package validation check here and it can be reproduced with:
library(PerformanceAnalytics)
example(CAPM.alpha)
The error seems to be on line 40 of Return.excess.R. It should be replaced with:
xR = coredata(as.xts(R))-coredata(as.xts(Rf))
The easiest way of fixing this in practice is to run:
require(utils)
assignInNamespace(
"Return.excess",
function (R, Rf = 0)
{ # #author Peter Carl
# edited by orizon
# .. additional comments removed
R = checkData(R)
if(!is.null(dim(Rf))){
Rf = checkData(Rf)
indexseries=index(cbind(R,Rf))
columnname.Rf=colnames(Rf)
}
else {
indexseries=index(R)
columnname.Rf=Rf
Rf=xts(rep(Rf, length(indexseries)),order.by=indexseries)
}
return.excess <- function (R,Rf)
{
xR = coredata(as.xts(R))-coredata(as.xts(Rf)) #fixed
}
result = apply(R, MARGIN=2, FUN=return.excess, Rf=Rf)
colnames(result) = paste(colnames(R), ">", columnname.Rf)
result = reclass(result, R)
return(result)
},
"PerformanceAnalytics"
)
Then your original command works:
> data(managers)
> CAPM.alpha(managers[,1,drop=FALSE], managers[,8,drop=FALSE], Rf=.035/12)
[1] 0.005960609
Be aware that I have not verified that the function does what it purports to do.