NAVseries: Net-Asset-Value (NAV) Series

In PMwR: Portfolio Management with R

Net-Asset-Value (NAV) Series

Description

Create a net-asset-value (NAV) series.

Usage

NAVseries(NAV, timestamp,
          instrument = NULL, title = NULL,
          description = NULL,
          drop.NA = NULL)

as.NAVseries(x, ...)

## S3 method for class 'NAVseries'
print(x, ... , na.rm = FALSE)

## S3 method for class 'NAVseries'
summary(object, ..., monthly.vol = TRUE,
        bm = NULL, monthly.te = TRUE,
        na.rm = FALSE, assume.daily = FALSE)

## S3 method for class 'NAVseries'
plot(x, y, ..., xlab = "", ylab = "", type = "l")

## S3 method for class 'NAVseries'
window(x, start = NULL, end = NULL, ...)

Arguments

NAV	numeric
timestamp	time stamp, typically Date or POSIXct
instrument	character
title	character
description	character
x	an NAVseries or an object to be coerced to NAVseries
object	an NAVseries
...	further arguments. For summary, these can be NAVseries.
drop.NA	logical. If NAV is the result of calling btest, then this controls whether unused initial observations (‘burnin’) are dropped.
bm	an optional NAVseries. If bm does not inherit from NAVseries, as.NAVseries is tried.
monthly.vol	if TRUE (default), volatility computations are done on monthly returns
monthly.te	if TRUE (default), tracking-error computations are done on monthly returns
assume.daily	logical
na.rm	logical
y	a second NAVseries to be plotted. Not supported yet.
xlab	character. See plot.
ylab	character. See plot.
type	character. See plot.
start	same class as timestamp; NULL means the first timestamp
end	same class as timestamp; NULL means the last timestamp

Details

NAV series

An NAV series is a numeric vector (the actual series) and additional information, attached as attributes: timestamp, instrument, title, description. Of these attributes, timestamp is the most useful, as it is used for several computations (e.g. when calling summary) or for plotting.

The ‘instrument’ is typically an internal label used to identify the series, such as a ticker; ‘title’ is a label, too, but is intended to be human-readable; ‘description’ finally should be human-readable as well, but may be longer than ‘title’.

Summaries

The summary method returns a list of the original NAVseries plus various statistics, such as return per year and volatility. The method may receive several NAV series as input.

Value

an NAVseries: see Details.

an NAVseries summary: a list of lists. If a benchmark series is present, the summary has an attribute bm: an integer, specifying the position of the benchmark.

Note

The semantics of handling NAVseries are not stable yet. Currently, objects of class NAVseries are univariate: you create a single NAVseries, summarise it, plot it, and so one. In the future, at least some of the methods will support the multi-variate case, i.e. be able to handle several series at once.

Author(s)

Enrico Schumann <[e-mail]>

References

Schumann, E. (2024) Portfolio Management with R. https://enricoschumann.net/PMwR/; in particular, see
https://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#NAVseries

See Also

btest, journal

For handling external cashflows, see unit_prices, split_adjust and div_adjust.

Examples

summary(NAVseries(DAX[[1]], as.Date(row.names(DAX)), title = "DAX"))

PMwR documentation built on Oct. 20, 2024, 1:08 a.m.