R PerformanceAnalytics CoVariance function merge.zoo error

Question

I am trying to calculate CoVariance on data frame:

cov_test <- CoVariance(returns, returns)

returns looks ~like that:

             A          B         C

28/02/1999 -0.018816 -0.011451 -0.026870

31/03/1999 0.004001 0.006580 0.002293

Error I get:

Error in merge.zoo(e1, e2, all = FALSE, retclass = NULL) : series cannot be merged with non-unique index entries in a series In addition: Warning messages: 1: In zoo(cd, order.by = index(x), ...) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique 2: In zoo(rval, index(x)[i]) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique 3: In zoo(rval, index(x)[i]) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique 4: In zoo(cd, order.by = index(x), ...) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique 5: In zoo(rval, index(x)[i]) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique 6: In zoo(rval, index(x)[i]) : some methods for “zoo” objects do not work if the index entries in ‘order.by’ are not unique

However, when I use simple cov function in R, it works just fine...

Could anyone advise what could be the issue? I checked for duplicated rows with anyDuplicated(returns) and it returned 0. Also, broadly speaking, what is the main difference between CoVariance function from PerformanceAnalytics and simple cov function? Thank you.

user2474226 user2474226 · Accepted Answer · 2019-10-15T08:02:56

This works for me in R 3.6.1 with PerformanceAnalytics 1.5.3 and zoo 1.8-6:

library(PerformanceAnalytics)
returns <- data.frame(dt = as.Date(c('1999/02/28', '1999/03/31')), A=c(-0.018816, 0.004001), B=c(-0.011451, 0.006580), C=c(-0.02687, 0.002293))

z <- zoo(returns[,-1], returns[,1])
CoVariance(z,z)
                         A            B            C
Covariance: A 0.0001301539 1.028533e-04 0.0001663530
Covariance: B 0.0001028533 8.127924e-05 0.0001314595
Covariance: C 0.0001663530 1.314595e-04 0.0002126201

Perhaps your zoo object has not got an ordered index? Check the format of the dates when you construct your zoo object.

R PerformanceAnalytics CoVariance function merge.zoo error

1 Answers