I am new to R. I am using package PerformanceAnalytics to calculate Component VaR of portfolio.
If I use gaussian method, it returns contribution.
> VaR(edhec, p=.95, method="gaussian", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
$VaR
[,1]
[1,] 0.01193358
$contribution
Convertible Arbitrage CTA Global Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Income Arbitrage
0.0014400703 0.0003687009 0.0012961865 0.0032090406 0.0003479361 0.0013848605 0.0010051944
Global Macro Long/Short Equity Merger Arbitrage Relative Value Short Selling Funds of Funds
0.0011151866 0.0015860006 0.0004412756 0.0009265836 -0.0027498306 0.0015623733
$pct_contrib_VaR
Convertible Arbitrage CTA Global Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Income Arbitrage
0.12067381 0.03089608 0.10861675 0.26890849 0.02915606 0.11604738 0.08423244
Global Macro Long/Short Equity Merger Arbitrage Relative Value Short Selling Funds of Funds
0.09344947 0.13290235 0.03697764 0.07764507 -0.23042800 0.13092245
>
But If I use historical method it just returns a single portfolio level value
> VaR(edhec, p=.95, method="historical", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
[1] 0.01439231
>
Is this correct? Am I missing something?
EDIT
I want to calculate component VaR of each part using historical simulation method.
The 'historical' method is not a 'simulation' method. It is a measure of the realized historical loss quantile.
I have added historical contribution to PerformanceAnaltytics in v 1.4.3574 on R-Forge.
Your example now produces:
> VaR(edhec, p=.95, method="historical", portfolio_method="component")
no weights passed in, assuming equal weighted portfolio
$hVaR
hVaR 95%
0.01419502
$contribution
Convertible.Arbitrage CTA.Global Distressed.Securities Emerging.Markets Equity.Market.Neutral Event.Driven Fixed.Income.Arbitrage Global.Macro Long.Short.Equity
-0.0006396664 -0.0001887839 -0.0007621405 -0.0020091076 -0.0001331756 -0.0008771216 -0.0004113300 -0.0006202640 -0.0010782781
Merger.Arbitrage Relative.Value Short.Selling Funds.of.Funds
-0.0002735736 -0.0005046562 0.0012263158 -0.0008257281
$pct_contrib_hVaR
Convertible.Arbitrage CTA.Global Distressed.Securities Emerging.Markets Equity.Market.Neutral Event.Driven Fixed.Income.Arbitrage Global.Macro Long.Short.Equity
0.09012547 0.02659862 0.10738139 0.28307218 0.01876371 0.12358159 0.05795412 0.08739178 0.15192344
Merger.Arbitrage Relative.Value Short.Selling Funds.of.Funds
0.03854501 0.07110328 -0.17278113 0.11634054
It is available from SVN now, should be available in binary form 'soon', and will be included in the next release of PerformanceAnalytics