NEWS.md

In AssetAllocation: Backtesting Simple Asset Allocation Strategies

AssetAllocation 1.1.1

• This is a patch to fix an issue in one of the preloaded asset allocation strategies in the object asset_allocations. The field for the rebalancing function for the JPMorgan Efficiente 5 strategy had the wrong name.

AssetAllocation 1.1.0

• This is a minor update to the package which fixed some minor issues and adds some new strategies.

• A bug in daily_account_calc function was fixed which prevented strategies with a simple ticker to be used.

• The get_data_from_tickers function, which makes use of the quantmod package to retrieve data from online sources (Yahoo Finance) was changed to allow it to "fail gracefully" in case the server can't be reached.

• Three new dynamic asset allocation strategies were added:

  • Trend is Your Friend (original) (rebalance function: tactical_TrendFriend)

  • Trend is Your Friend (full risk parity) (rebalance function: tactical_TrendFriend_RP)

  • JPMorgan Efficiente 5 (rebalance function: tactical_JPM5)

AssetAllocation 1.0.0

• This is a major update to the package which includes changes to allow dynamic (tactical) asset allocation strategies.

• The backtest_allocation function now expects a list containing an element (a function) portfolio_rule_fn which contains the logic used in determining the weights on each rebalancing date.

• The backtest_allocation function now can take an optional input start_date in date format. If it is provided, the backtest starts from that date. Otherwise, it starts from the date from which data on all assets becomes available.

• Pre-loaded data is now in a list called ETFs, which has replaced the previous object ETFs_daily. Type ?ETFs to see details and ETFs$Description to see more information about the assets.

• Changed logic to calculate portfolio returns. The previous function daily_ret_calc has been replaced by the function daily_account_cal.

• Added a wrapper function get_data_from_tickers which retrieves adjusted prices from Yahoo Finance and calculates returns. The previous function get_return_data_from_tickers, which only returned the returns of the assets, has been replaced by the function get_data_from_tickers .

• The pre-loaded asset allocation strategies are now in an object called asset_allocations. It contains one list with static asset allocations, and one with tactical asset allocations.

• Added the following tactical asset allocation strategies:

  • Ivy portfolio (rebalance function: tactical_ivy)

  • Robust Asset Allocation portfolio (rebalance function: tactical_RAA)

  • Dual Momentum (rebalance function: tactical_DualMomentum)

  • Adaptive Asset Allocation (rebalance function: tactical_AAA)

• Added generic functions to calculate some portfolios that rely on optimization:

  • risk parity portfolios (rebalance function: risk_parity)

  • minimum variance portfolios (rebalance function: min_variance, uses minvar from NMOF package)

AssetAllocation 0.1.0

• Added a NEWS.md file to track changes to the package.
• Changed the package description to include reference and URL for webservices used by the package.

AssetAllocation documentation built on July 9, 2023, 5:25 p.m.