[R] Conditional Weighted Average (ddply or any other function)

[Punit Anand]

Hello R community,

I am computing weighted average statistic by using ddply function:

My data set is:
N1  T1  S1  I1  C1 FY-4  ROE11  EPS11 MKT11
N1  T1  S1  I1  C1 FY-3  ROE12  EPS12 MKT12
N1  T1  S1  I1  C1 FY-2  ROE13  EPS13 MKT13
N1  T1  S1  I1  C1 FY-1  ROE14  EPS14 MKT14
N1  T1  S1  I1  C1 FY0   ROE15  EPS15 MKT15
N1  T1  S1  I1  C1 FY1   ROE16  EPS16 MKT16
N1  T1  S1  I1  C1 FY2   ROE17  EPS17 MKT17
N2  T2  S2  I2  C2 FY-4  ROE21  EPS21 MKT21
N2  T2  S2  I2  C2 FY-3  ROE22  EPS22 MKT22
N2  T2  S2  I2  C2 FY-2  ROE23  EPS23 MKT23
N2  T2  S2  I2  C2 FY-2  ROE24  EPS24 MKT24
N2  T2  S2  I2  C2 FY0   ROE25  EPS25 MKT25
N2  T2  S2  I2  C2 FY2   ROE26  EPS26 MKT26
N2  T2  S2  I2  C2 FY2   ROE27  EPS27 MKT27

with colnames:
(Name,Ticker,Sector,Industry,Country,Year,ROE,EPS,MKTCAP)

I want to compute
1) Weighted ROE based on Sector and Fiscal Year.
For firm N1 of Sector S1 and Fiscalyear FY-3 weight is
MKT1 / SUM(MKT, where Sector = S1, Fiscalyear FY-3)

2) Weighted ROE based on Country and Fiscal Year.
For firm N1 of Country C1 and Fiscalyear FY-3 weight is
MKT1 / SUM(MKT, where Country = C1, Fiscalyear FY-3)

3) Weighted ROE based on Country, Sector and  Fiscal Year.
For firm N1 of Country C1, Sector S1 and Fiscalyear FY-3
weight is MKT1 / SUM(MKT, where Country = C1, Sector = S1, Fiscalyear FY-3)

4) Weighted ROE based on Country, Industry and  Fiscal Year.
For firm N1 of Country C1, Industry I1 and Fiscalyear FY-3
weight is MKT1 / SUM(MKT, where Country = C1, Industry = I1, Fiscalyear FY-3)


I tried using ddply function:
ddply (dataread , .(Sector, FISCALYEAR), summarise, WROE=wavg(ROE, MKTCAP)))

where wavg <- function(x, wt) x %*% wt/sum(wt)
but this doesn't give me the right answer.

I could try subseting the data into different sectors and compute the
weighted average which doesn't look like an elegant solution and would
defeat the purpose of ddply

I coudn't think of properly using melt and cast functions to solve
this issue. Any help will be highly appreciated.

Thanks and Regards,
Punit