r - Error in to.period.contributions() from PerformanceAnalytics sandbox -


i've been trying calculate portfolio returns , individual stock contributions. stumbled along this post, appears guy write performanceanalytics.

at end of article posts link r-forge sandbox file functions.

so i'm trying convert daily returns summed monthly returns via to.monthly.contributions() function i'm running xts error!

here's code:

library(performanceanalytics) library(quantmod)  stock.weights <- c(.15, .20, .25, .225, .175) symbols <- c("goog", "amzn", "ba", "fb", "aapl") getsymbols(symbols, src = 'google', = "2016") #xts daily closing of each stock merged.closing <- merge(goog[,4], amzn[,4], ba[,4], fb[,4], aapl[,4]) #xts returns merged.return <- na.omit(return.calculate(merged.closing)) # weighted returns rebalanced quartely portfolio.returns = return.portfolio(merged.return, weights = stock.weights,                                      rebalance_on = "quarters", verbose = true) #to monthly contributions function to.monthly.contributions(portfolio.returns$contributions)

however when run last line following error message:

error in inherits(x, "xts") :    argument "contributions" missing, no default  5. inherits(x, "xts")  4. is.xts(x)  3. checkdata(contributions)  2. to.period.contributions(contributions = contributions, period = "months")  1. to.monthly.contributions(portfolio.returns$contributions)

i'm guessing error has portfolio.returns$contributions not being xts? i'm not sure how around that.

on side note, if has better ideas or sources calculating portfolio returns months/quarters/years i'm keen hear, bearing in mind need account weight changes, re-balances , contributions changes!

note performanceanalytics (and many other packages in r-forge repo) have moved brian peterson's github account. there see changes sandbox/to.period.contributions.r year ago. might causing issue(s).

another issue object returned return.portfolio() not have contributions element. element name want contribution (singular).

after addressing 2 issues, to.monthly.contributions() call works.

r> to.monthly.contributions(portfolio.returns$contribution)               goog.close    amzn.close     ba.close      fb.close    aapl.close portfolio return 2016-01-29  0.0002244419 -0.0156956938 -0.036245552  0.0219893367 -1.330565e-02     -0.043033115 2016-02-29 -0.0095461956 -0.0113127380 -0.003625779 -0.0121676134 -1.128288e-03     -0.037780614 2016-03-31  0.0103601952  0.0140210157  0.016927654  0.0171632715  2.218899e-02      0.080661130 2016-04-29 -0.0104584200  0.0222188532  0.015479754  0.0068624014 -2.448619e-02      0.009616397 2016-05-31  0.0085179936  0.0210895602 -0.016873347  0.0024024015  9.732993e-03      0.024869602 2016-06-30 -0.0084883795 -0.0023345382  0.007080427 -0.0086331655 -6.610526e-03     -0.018986182 2016-07-29  0.0166211530  0.0120706520  0.007295757  0.0190190760  1.576098e-02      0.070767622 2016-08-31 -0.0003521895  0.0027014233 -0.007568643  0.0040084230  3.231073e-03      0.002020086 2016-09-30  0.0020684771  0.0177517727  0.004108611  0.0039452914  1.185750e-02      0.039731657 2016-10-31  0.0013990917 -0.0113434690  0.020286170  0.0047711858  7.585139e-04      0.015871492 2016-11-30 -0.0050340240 -0.0092287866  0.015187074 -0.0217047070 -4.601884e-03     -0.025382327 2016-12-30  0.0026858660 -0.0001688763  0.009813394 -0.0059705490  8.286484e-03      0.014646319 2017-01-31  0.0048528154  0.0196327363  0.012429342  0.0298631030  8.355638e-03      0.075133635 2017-02-28  0.0047757941  0.0053484794  0.025108019  0.0094951963  2.198006e-02      0.066707545 2017-03-31  0.0010760715  0.0096512663 -0.004718775  0.0111011780  8.787645e-03      0.025897386 2017-04-28  0.0138145523  0.0086741715  0.011265973  0.0129883844 -1.218154e-05      0.046730900 2017-05-31  0.0101747490  0.0150069699  0.003781232  0.0018310137  1.060194e-02      0.041395909 2017-06-30 -0.0093108126 -0.0055092033  0.013123207 -0.0006974798 -9.767034e-03     -0.012161323 2017-07-31  0.0035934766  0.0040867769  0.056523388  0.0272271162  5.723163e-03      0.097153921 2017-08-31  0.0013284632 -0.0013521084 -0.003226369  0.0036945746  1.691168e-02      0.017356239 2017-09-19 -0.0025908954 -0.0019880088  0.014497492  0.0007343197 -5.737005e-03      0.004915902

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