Question

On R version 2.15.2, while using the ES function in PerformanceAnalytics:

ES(R=indexes, weights=w)

I get the following error:

Error in t(w) %*% M3 : requires numeric/complex matrix/vector arguments

where w is

      [,1]
[1,]  0.5
[2,]  0.5

both is.matrix(w) and is.numeric(w) return TRUE

Calling the function without passing weights (i.e. ES(R=indexes) ) works.

How do I resolve this?

Answer 1

Using this edhec data (given with package) and the weights vector I can reproduce the error ( Please give a reproducible example next time, otherwise we will not be sure to give sense to the following answer)

weights <- c(0.2, 0.2, 0.1, 0.1, 0.5)       ## must be to number of columns in R"
ES(R = edhec[,1:5], weights= weights)
Error in t(w) %*% M3 : requires numeric/complex matrix/vector arguments

The error because the M3 matrix is null. You need to change the argument portfolio_method from the default single to component. The help talk about weights in the Component ES part, so this make sense. Otherwise , I think you need to suplly m3,m4, mu…(painful)

Try this

ES(R = edhec[,1:5], weights= weights,
       portfolio_method= 'component')

$MES
          [,1]
[1,] 0.0331994

$contribution
Convertible Arbitrage            CTA Global Distressed Securities      Emerging Markets Equity Market Neutral 
          0.015504952          -0.006116166           0.004702236           0.007760899           0.011347477 

$pct_contrib_MES
Convertible Arbitrage            CTA Global Distressed Securities      Emerging Markets Equity Market Neutral 
            0.4670251            -0.1842252             0.1416362             0.2337662             0.3417977