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

Question

I've been trying to calculate my portfolio returns and the individual stock contributions. I stumbled along this post, which appears to be from the guy who help write PerformanceAnalytics.

At the end of the article he posts a link to r-forge with a sandbox file for some functions.

So I'm trying to convert my daily returns to the summed monthly returns via the to.monthly.contributions() function but I'm running into an xts error!

Here's my code:

library(PerformanceAnalytics)
library(quantmod)

stock.weights <- c(.15, .20, .25, .225, .175)
symbols <- c("GOOG", "AMZN", "BA", "FB", "AAPL")
getSymbols(symbols, src = 'google', from = "2016")
#xts with daily closing of each stock
merged.closing <- merge(GOOG[,4], AMZN[,4], BA[,4], FB[,4], AAPL[,4])
#xts with 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 I run the last line I get the following error message:

Error in inherits(x, "xts") : 
  argument "Contributions" is missing, with 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 that the error has something to do with the portfolio.returns$contributions not being an xts? But I'm not sure how to get around that.

On the side note, if anyone has any better ideas or sources for calculating portfolio returns by months/quarters/years I'm keen to hear, bearing in mind they need to account for weight changes, re-balances and contributions to changes!

Answer 1

Note that PerformanceAnalytics (and many other packages in that R-Forge repo) have moved to Brian Peterson's GitHub account. There you will see some changes to sandbox/to.period.contributions.R about a year ago. That might be causing you some issue(s).

Another issue is that the object returned by Return.portfolio() does not have a contributions element. The element name you want is contribution (singular).

After addressing those two issues, your 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