[R] Performance Analytics Modigliani Code help

Jessy-Esther Missengue jessyesther.missengue2 at mail.dcu.ie
Fri Mar 25 14:10:53 CET 2016

Hi all,

I am researching performance of funds in the FTSE100 and am using the
Modigliani function in the PerformanceAnalytics package.

I have attached my raw data for your reference.

When I try to use the Modigliani code as follows:

Modigliani (a,b,c=0)
where a is my data set "1000 RANDOM...", b is the data of FTSE "FTSE
ALLSHARE..." returns, c is the risk free rate "LIBOR".

This code returns the data attached "Modigliani from R" which seems to be a
calculation for only the first 2 columns of my data set. I would have
expected to have R return the same amount of rows and columns when using
the Modigliani function i.e 108 rows and 1001 columns.

Is there something I need to add to the code to have it calculate for each

Jessy *very confused student*

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