- using R version 4.0.5 (2021-03-31)
- using platform: x86_64-w64-mingw32 (64-bit)
- using session charset: ISO8859-1
- using option '--no-vignettes'
- checking for file 'PerformanceAnalytics/DESCRIPTION' ... OK
- checking extension type ... Package
- this is package 'PerformanceAnalytics' version '2.0.4'
- package encoding: UTF-8
- checking package namespace information ... OK
- checking package dependencies ... OK
- checking if this is a source package ... OK
- checking if there is a namespace ... OK
- checking for hidden files and directories ... OK
- checking for portable file names ... OK
- checking whether package 'PerformanceAnalytics' can be installed ... OK
- checking installed package size ... OK
- checking package directory ... OK
- checking 'build' directory ... OK
- checking DESCRIPTION meta-information ... OK
- checking top-level files ... OK
- checking for left-over files ... OK
- checking index information ... OK
- checking package subdirectories ... OK
- checking R files for non-ASCII characters ... OK
- checking R files for syntax errors ... OK
- loading checks for arch 'i386'
- checking whether the package can be loaded ... OK
- checking whether the package can be loaded with stated dependencies ... OK
- checking whether the package can be unloaded cleanly ... OK
- checking whether the namespace can be loaded with stated dependencies ... OK
- checking whether the namespace can be unloaded cleanly ... OK
- checking loading without being on the library search path ... OK
- checking use of S3 registration ... OK
- loading checks for arch 'x64'
- checking whether the package can be loaded ... OK
- checking whether the package can be loaded with stated dependencies ... OK
- checking whether the package can be unloaded cleanly ... OK
- checking whether the namespace can be loaded with stated dependencies ... OK
- checking whether the namespace can be unloaded cleanly ... OK
- checking loading without being on the library search path ... OK
- checking use of S3 registration ... OK
- checking dependencies in R code ... OK
- checking S3 generic/method consistency ... OK
- checking replacement functions ... OK
- checking foreign function calls ... OK
- checking R code for possible problems ... [43s] OK
- checking Rd files ... OK
- checking Rd metadata ... OK
- checking Rd cross-references ... OK
- checking for missing documentation entries ... OK
- checking for code/documentation mismatches ... OK
- checking Rd \usage sections ... OK
- checking Rd contents ... OK
- checking for unstated dependencies in examples ... OK
- checking contents of 'data' directory ... OK
- checking data for non-ASCII characters ... OK
- checking data for ASCII and uncompressed saves ... OK
- checking line endings in C/C++/Fortran sources/headers ... OK
- checking pragmas in C/C++ headers and code ... OK
- checking compiled code ... OK
- checking sizes of PDF files under 'inst/doc' ... OK
- checking installed files from 'inst/doc' ... OK
- checking files in 'vignettes' ... OK
- checking examples ...
- running examples for arch 'i386' ... [108s] OK
- checking differences from 'PerformanceAnalytics-Ex_i386.Rout' to 'PerformanceAnalytics-Ex.Rout.save' ... OK
780a781,808
> no weights passed in, assuming equal weighted portfolio
> $MES
> [1] 0.01802146
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0023173115 -0.0007628382 0.0022869133
> Emerging Markets Equity Market Neutral Event Driven
> 0.0043177630 0.0007071321 0.0022753610
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0016376263 0.0008665011 0.0027708304
> Merger Arbitrage Relative Value Short Selling
> 0.0009625944 0.0015044225 -0.0034071301
> Funds of Funds
> 0.0025449680
>
> $pct_contrib_MES
> Convertible Arbitrage CTA Global Distressed Securities
> 0.12858626 -0.04232945 0.12689948
> Emerging Markets Equity Market Neutral Event Driven
> 0.23959014 0.03923835 0.12625845
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.09087092 0.04808164 0.15375176
> Merger Arbitrage Relative Value Short Selling
> 0.05341380 0.08347953 -0.18905966
> Funds of Funds
> 0.14121878
>
4885a4914,4941
> no weights passed in, assuming equal weighted portfolio
> $StdDev
> [1] 0.009325917
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0007585836 0.0006873297 0.0009746614
> Emerging Markets Equity Market Neutral Event Driven
> 0.0018145551 0.0004069524 0.0010089543
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0004972070 0.0008967015 0.0011954578
> Merger Arbitrage Relative Value Short Selling
> 0.0004679488 0.0006602732 -0.0010665165
> Funds of Funds
> 0.0010238087
>
> $pct_contrib_StdDev
> Convertible Arbitrage CTA Global Distressed Securities
> 0.08134145 0.07370104 0.10451105
> Emerging Markets Equity Market Neutral Event Driven
> 0.19457123 0.04363672 0.10818821
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.05331454 0.09615156 0.12818663
> Merger Arbitrage Relative Value Short Selling
> 0.05017724 0.07079981 -0.11436050
> Funds of Funds
> 0.10978102
>
5308a5365,5392
> no weights passed in, assuming equal weighted portfolio
> $MVaR
> [1] 0.01084104
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0010092186 0.0004903554 0.0012835448
> Emerging Markets Equity Market Neutral Event Driven
> 0.0025735180 0.0003700333 0.0013705614
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0006306300 0.0008432148 0.0016349444
> Merger Arbitrage Relative Value Short Selling
> 0.0004780464 0.0007845666 -0.0021050419
> Funds of Funds
> 0.0014774456
>
> $pct_contrib_MVaR
> Convertible Arbitrage CTA Global Distressed Securities
> 0.09309244 0.04523141 0.11839686
> Emerging Markets Equity Market Neutral Event Driven
> 0.23738669 0.03413265 0.12642345
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.05817063 0.07777990 0.15081070
> Merger Arbitrage Relative Value Short Selling
> 0.04409601 0.07237007 -0.19417348
> Funds of Funds
> 0.13628268
>
6705c6789
< [1] "matrix" "array"
---
> [1] "matrix"
7500c7584
< Mar 1.6 0.9 3.6 4.6 5.8 -1.0 0.6 3.6 0.9 -2.1 4.0
---
> Mar 1.6 0.9 3.6 4.6 5.8 -1.1 0.6 3.6 0.9 -2.1 4.0
7502c7586
< May 0.8 4.4 -2.3 1.6 3.4 5.8 -0.1 3.4 0.8 0.4 -2.7
---
> May 0.8 4.4 -2.3 1.6 3.4 5.8 -0.2 3.4 0.8 0.4 -2.7
7504c7588
< Jul -2.3 1.5 -2.1 1.0 0.5 2.1 -7.6 1.8 0.0 0.9 -1.4
---
> Jul -2.3 1.5 -2.1 1.0 0.5 2.1 -7.5 1.8 0.0 0.9 -1.4
8078c8162
< Quartile 3 0.0134 0.0203 0.0175
---
> Quartile 3 0.0134 0.0202 0.0175
8100c8184
< Short Selling 275 0 -0.1340 -0.0265 -0.0053
---
> Short Selling 275 0 -0.1340 -0.0264 -0.0053
8104c8188
< CTA Global 0.0042 0.0039 0.0203 0.0691
---
> CTA Global 0.0042 0.0039 0.0202 0.0691
- running examples for arch 'x64' ... [110s] OK
- checking differences from 'PerformanceAnalytics-Ex_x64.Rout' to 'PerformanceAnalytics-Ex.Rout.save' ... OK
780a781,808
> no weights passed in, assuming equal weighted portfolio
> $MES
> [1] 0.01802146
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0023173115 -0.0007628382 0.0022869133
> Emerging Markets Equity Market Neutral Event Driven
> 0.0043177630 0.0007071321 0.0022753610
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0016376263 0.0008665011 0.0027708304
> Merger Arbitrage Relative Value Short Selling
> 0.0009625944 0.0015044225 -0.0034071301
> Funds of Funds
> 0.0025449680
>
> $pct_contrib_MES
> Convertible Arbitrage CTA Global Distressed Securities
> 0.12858626 -0.04232945 0.12689948
> Emerging Markets Equity Market Neutral Event Driven
> 0.23959014 0.03923835 0.12625845
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.09087092 0.04808164 0.15375176
> Merger Arbitrage Relative Value Short Selling
> 0.05341380 0.08347953 -0.18905966
> Funds of Funds
> 0.14121878
>
4885a4914,4941
> no weights passed in, assuming equal weighted portfolio
> $StdDev
> [1] 0.009325917
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0007585836 0.0006873297 0.0009746614
> Emerging Markets Equity Market Neutral Event Driven
> 0.0018145551 0.0004069524 0.0010089543
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0004972070 0.0008967015 0.0011954578
> Merger Arbitrage Relative Value Short Selling
> 0.0004679488 0.0006602732 -0.0010665165
> Funds of Funds
> 0.0010238087
>
> $pct_contrib_StdDev
> Convertible Arbitrage CTA Global Distressed Securities
> 0.08134145 0.07370104 0.10451105
> Emerging Markets Equity Market Neutral Event Driven
> 0.19457123 0.04363672 0.10818821
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.05331454 0.09615156 0.12818663
> Merger Arbitrage Relative Value Short Selling
> 0.05017724 0.07079981 -0.11436050
> Funds of Funds
> 0.10978102
>
5308a5365,5392
> no weights passed in, assuming equal weighted portfolio
> $MVaR
> [1] 0.01084104
>
> $contribution
> Convertible Arbitrage CTA Global Distressed Securities
> 0.0010092186 0.0004903554 0.0012835448
> Emerging Markets Equity Market Neutral Event Driven
> 0.0025735180 0.0003700333 0.0013705614
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.0006306300 0.0008432148 0.0016349444
> Merger Arbitrage Relative Value Short Selling
> 0.0004780464 0.0007845666 -0.0021050419
> Funds of Funds
> 0.0014774456
>
> $pct_contrib_MVaR
> Convertible Arbitrage CTA Global Distressed Securities
> 0.09309244 0.04523141 0.11839686
> Emerging Markets Equity Market Neutral Event Driven
> 0.23738669 0.03413265 0.12642345
> Fixed Income Arbitrage Global Macro Long/Short Equity
> 0.05817063 0.07777990 0.15081070
> Merger Arbitrage Relative Value Short Selling
> 0.04409601 0.07237007 -0.19417348
> Funds of Funds
> 0.13628268
>
6705c6789
< [1] "matrix" "array"
---
> [1] "matrix"
7500c7584
< Mar 1.6 0.9 3.6 4.6 5.8 -1.0 0.6 3.6 0.9 -2.1 4.0
---
> Mar 1.6 0.9 3.6 4.6 5.8 -1.1 0.6 3.6 0.9 -2.1 4.0
7502c7586
< May 0.8 4.4 -2.3 1.6 3.4 5.8 -0.1 3.4 0.8 0.4 -2.7
---
> May 0.8 4.4 -2.3 1.6 3.4 5.8 -0.2 3.4 0.8 0.4 -2.7
7504c7588
< Jul -2.3 1.5 -2.1 1.0 0.5 2.1 -7.6 1.8 0.0 0.9 -1.4
---
> Jul -2.3 1.5 -2.1 1.0 0.5 2.1 -7.5 1.8 0.0 0.9 -1.4
8078c8162
< Quartile 3 0.0134 0.0203 0.0175
---
> Quartile 3 0.0134 0.0202 0.0175
8100c8184
< Short Selling 275 0 -0.1340 -0.0265 -0.0053
---
> Short Selling 275 0 -0.1340 -0.0264 -0.0053
8104c8188
< CTA Global 0.0042 0.0039 0.0203 0.0691
---
> CTA Global 0.0042 0.0039 0.0202 0.0691
- checking for unstated dependencies in 'tests' ... OK
- checking tests ...
- running tests for arch 'i386' ... [2s] OK
Running 'tinytest.R' [1s]
- running tests for arch 'x64' ... [2s] OK
Running 'tinytest.R' [1s]
- checking for unstated dependencies in vignettes ... OK
- checking package vignettes in 'inst/doc' ... OK
- checking running R code from vignettes ... SKIPPED
- checking re-building of vignette outputs ... SKIPPED
- checking PDF version of manual ... OK
- DONE
Status: OK