Error with tq_performance function

[mbanco]

Hi,
This is the error that occurs with the latest version of the 'PerformanceAnalytics' package, version 2.0.8:

library(dplyr)

Ra <- FANG %>%

• group_by(symbol) %>%
  

• tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Ra")
  

Rb <- "^GSPC" %>%

• tq_get(get  = "stock.prices",
  

•        from = "2010-01-01",
  

•        to   = "2015-12-31") %>%
  

• tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Rb")
  

RaRb <- left_join(Ra, Rb, by = c("date" = "date"))
RaRb %>%

• tq_performance(Ra = Ra, Rb = Rb, performance_fun = table.CAPM)
  

Error in dplyr::mutate():
ℹ In argument: nested.col = purrr::map(...).
ℹ In group 1: symbol = "AMZN".
Caused by error in purrr::map():
ℹ In index: 1.
Caused by error in .coefficients():
! "package:RobStatTM" %in% search() || requireNamespace("RobStatTM", .... is not TRUE
Run rlang::last_trace() to see where the error occurred.

Best regards,

Mauricio

[mdancho84]

Looks like this is happening due to a new dependency that is not being automatically loaded with PerformanceAnalytics. RobStatTM is now required. I've added this as a dependency to Tidyquant. Try out the development version.