GetWeight: Computing Portfolio Weights from a Weight Function
In RelValAnalysis: Relative Value Analysis
Description
Usage
Arguments
Details
Value
See Also
Examples
Description
Given the benchmark weights (say, derived from a toy market, see toymkt) and a function which maps benchmark weights to portfolio weights, the function GetWeight computes a matrix of portfolio weights.
Usage
1
Arguments
market
a toymkt object or a matrix/dataframe of benchmarket weights.
weight.function
a function object representing the weight function. The weight function depends only on the current market weights.
...
Additional parameters of weight.function. See the example below.
Details
A probability vector is a numeric vector with non-negative entries summing to one.
weight.function is a function which maps probability vectors to probability vectors. It represents a portfolio whose weights are deterministic functions of the current benchmark weights.
Value
A matrix where each row represents the portfolio weights for a period.
See Also
Examples
1
2
3
4
5
6
7
8
9
10
data(applestarbucks)
market <- toymkt(applestarbucks)
# This is the diversity-weighted portfolio
weight.function <- function(x, p) {
return(x^p / sum(x^p))
}
weight <- GetWeight(market, weight.function, p = 0.7)
Invest(market, weight)
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Warning message:
In toymkt(applestarbucks) :
Since initial.weight is not given, the benchmark is assumed to be equal-weighted initially.
$growth
portfolio Benchmark
1994 1.0000000 1.0000000
1994.0833 1.0457307 1.0457307
1994.1667 1.0177454 1.0162950
1994.25 1.0822524 1.0805894
1994.3333 1.0451254 1.0429781
1994.4167 0.9377734 0.9354809
1994.5 1.1299701 1.1250670
1994.5833 1.1549847 1.1485524
1994.6667 1.0089432 1.0028087
1994.75 1.2391000 1.2321839
1994.8333 1.1439224 1.1356884
1994.9167 1.1848919 1.1764238
1995 1.1326414 1.1253133
1995.0833 1.1174170 1.1099602
1995.1667 1.0566632 1.0476190
1995.25 1.0922369 1.0836401
1995.3333 1.2664427 1.2541397
1995.4167 1.4829580 1.4678852
1995.5 1.4947512 1.4798116
1995.5833 1.5200324 1.5061620
1995.6667 1.3817581 1.3711088
1995.75 1.3965124 1.3877323
1995.8333 1.4883862 1.4798764
1995.9167 1.3765270 1.3752355
1996 1.1377357 1.1329574
1996.0833 1.1683687 1.1655605
1996.1667 1.3412542 1.3571256
1996.25 1.4812063 1.5126134
1996.3333 1.5152928 1.5401824
1996.4167 1.4608945 1.5082577
1996.5 1.3992439 1.4308184
1996.5833 1.6918377 1.7452165
1996.6667 1.6596645 1.7236064
1996.75 1.6581299 1.7154481
1996.8333 1.7596207 1.8226471
1996.9167 1.4727868 1.5201711
1997 1.5958683 1.6916861
1997.0833 1.5633350 1.6578342
1997.1667 1.4665080 1.5236453
1997.25 1.4492308 1.5145666
1997.3333 1.4982619 1.5744447
1997.4167 1.7132421 1.8471956
1997.5 1.8647500 1.9847809
1997.5833 1.9628651 2.0511970
1997.6667 1.9910069 2.0844266
1997.75 1.5687540 1.6427794
1997.8333 1.6533679 1.7333679
1997.9167 1.6783379 1.8089621
1998 1.7417789 1.8145536
1998.0833 1.9695692 2.0220249
1998.1667 2.2635624 2.3207329
1998.25 2.3667740 2.4389163
1998.3333 2.3449435 2.4207415
1998.4167 2.5896128 2.6802826
1998.5 2.2991294 2.2908824
1998.5833 1.8358638 1.8059632
1998.6667 2.1509857 2.1074626
1998.75 2.4122949 2.3917985
1998.8333 2.4124355 2.4247645
1998.9167 2.9785202 2.9823568
1999 2.8312656 2.8177772
1999.0833 2.7310206 2.7520093
1999.1667 2.8759949 2.9040360
1999.25 3.7587575 3.8033100
1999.3333 3.7140134 3.7697865
1999.4167 3.8123133 3.8600467
1999.5 2.9480995 2.8135598
1999.5833 3.1021095 2.9322747
1999.6667 3.2228451 3.0608202
1999.75 3.7377263 3.5239780
1999.8333 4.0160304 3.7504494
1999.9167 3.9066674 3.6344136
2000 4.5990284 4.2977271
2000.0833 5.0594802 4.7267738
2000.1667 6.2652894 5.8685723
2000.25 4.8289031 4.4671204
2000.3333 4.4482732 4.1537205
2000.4167 5.2016138 4.8306326
2000.5 5.0831346 4.7231397
2000.5833 5.3991950 4.9677686
2000.6667 4.3894257 4.1518451
2000.75 4.4743618 4.3438164
2000.8333 4.3879454 4.3203656
2000.9167 4.2004608 4.1592689
2001 5.0006196 4.8462838
2001.0833 4.6485664 4.5472906
2001.1667 4.4436674 4.2324821
2001.25 4.3148025 4.0292801
2001.3333 4.0862492 3.8839340
2001.4167 4.8028214 4.5694495
2001.5 3.7926842 3.5993173
2001.5833 3.5955696 3.3980684
2001.6667 3.1390984 2.9793190
2001.75 3.5878250 3.4087460
2001.8333 3.8665047 3.6259139
2001.9167 4.1081258 3.8654006
2002 5.0032961 4.7434016
2002.0833 4.7336384 4.5212039
2002.1667 4.8523293 4.6039236
2002.25 4.8323721 4.5709965
2002.3333 5.0192394 4.7851223
2002.4167 4.8296416 4.7034137
2002.5 3.8817937 3.7539322
2002.5833 3.9301407 3.8175784
2002.6667 4.0035692 3.9025365
2002.75 4.5839138 4.4824432
2002.8333 4.2286687 4.1166235
2002.9167 3.9524472 3.8520698
2003 4.3189124 4.2429781
2003.0833 4.4675448 4.3843445
2003.1667 4.7784164 4.7429825
2003.25 4.4360019 4.3696267
2003.3333 4.8240786 4.6798980
2003.4167 4.8666623 4.6971178
2003.5 5.4083952 5.2224700
2003.5833 5.6584629 5.4500259
2003.6667 5.6209335 5.4560194
2003.75 6.1767425 5.9926540
2003.8333 6.1614024 6.0271757
2003.9167 6.3422189 6.2077305
2004 6.9442712 6.8205600
2004.0833 7.1419080 6.9942010
2004.1667 7.3879966 7.1712557
2004.25 7.4820921 7.3041958
2004.3333 7.8711126 7.6583830
2004.4167 8.5660574 8.2814925
2004.5 9.1040338 8.8579855
2004.5833 8.6364242 8.3015167
2004.6667 9.2085339 8.8039409
2004.75 11.0879059 10.4691902
2004.8333 12.3614685 11.4939806
2004.9167 13.2254568 12.4278887
2005 12.4996830 11.4263892
2005.0833 12.7291277 11.4625011
2005.1667 12.4180893 11.2350402
2005.25 11.5558840 10.5283640
2005.3333 12.7723279 11.6395039
2005.4167 11.9786241 10.9305289
2005.5 12.6663223 11.4447196
2005.5833 12.4583497 11.1241768
2005.6667 13.2273375 11.7245398
2005.75 14.6835471 13.0532236
2005.8333 16.3099923 14.4183390
2005.9167 16.5002705 14.5250756
2006 17.3949829 15.3174099
2006.0833 18.4226510 16.4189396
2006.1667 18.3654960 16.4953418
2006.25 18.9330190 16.8552286
2006.3333 17.4465874 15.6484357
2006.4167 17.9387960 16.1986907
2006.5 17.7349367 15.6891798
2006.5833 16.6132800 14.6064255
2006.6667 18.4523418 16.1922738
2006.75 20.0978955 17.6870971
2006.8333 20.1464390 17.5258664
2006.9167 19.6293412 17.1433757
2007 19.5330324 17.0370711
2007.0833 18.0113717 15.6186198
2007.1667 18.8590229 16.2938424
2007.25 19.2933432 16.6117535
2007.3333 20.1920368 17.2140481
2007.4167 19.2814956 16.4086855
2007.5 20.1836903 17.1659839
2007.5833 21.0214718 17.8766917
2007.6667 21.6092481 18.3641906
2007.75 24.4560331 20.8119739
2007.8333 22.5510154 19.2276381
2007.9167 22.4393665 19.2455103
2008 17.4767012 14.7949961
2008.0833 16.3551728 13.8367816
2008.1667 17.4801868 14.8360557
2008.25 19.0729128 16.3198125
2008.3333 20.9505077 17.8988549
2008.4167 18.4101054 15.7464005
2008.5 17.3673333 14.8661697
2008.5833 18.4738125 15.8187322
2008.6667 14.3734975 12.0870711
2008.75 13.2039512 11.1239867
2008.8333 10.3580206 8.7891496
2008.9167 10.0906723 8.5063651
2009 10.4157177 8.7989672
2009.0833 10.2313782 8.6510371
2009.1667 12.1940656 10.2968110
2009.25 15.1053664 12.7116714
2009.3333 15.7748914 13.3128468
2009.4167 16.0171948 13.5621165
2009.5 19.1635552 16.1478135
2009.5833 20.0659671 16.8808530
2009.6667 21.9919874 18.5099602
2009.75 21.4825803 18.1487080
2009.8333 23.5713433 19.8394823
2009.9167 24.8344742 20.9036341
2010 22.9727434 19.3096967
2010.0833 24.3447853 20.4725261
2010.1667 27.0651773 22.8277591
2010.25 29.6818161 25.0693674
2010.3333 29.3491630 24.7745484
2010.4167 28.2717430 23.9083009
2010.5 28.9112591 24.4494555
2010.5833 27.1493637 22.9766572
2010.6667 31.1112509 26.3891669
2010.75 33.6716779 28.4859822
2010.8333 35.3549825 29.8542347
2010.9167 36.8348599 31.0863884
2011 37.7252148 31.9330654
2011.0833 39.4011807 33.3378489
2011.1667 40.8985058 34.3950869
2011.25 40.6756949 34.2414182
2011.3333 40.8393021 34.3421355
2011.4167 41.2014958 34.5009204
2011.5 45.3487921 38.1385792
2011.5833 44.3515864 37.3293968
2011.6667 43.5020580 36.6542995
2011.75 47.4515088 39.8621554
2011.8333 46.4549273 38.8887477
2011.9167 49.1971100 41.1862847
2012 53.6890364 45.0670210
2012.0833 60.0775858 50.7322963
2012.1667 67.4413814 56.8382033
2012.25 67.0528195 56.3729842
$R
portfolio Benchmark
1994 4.573071e-02 0.0457307061
1994.0833 -2.676147e-02 -0.0281484114
1994.1667 6.338226e-02 0.0632634752
1994.25 -3.430528e-02 -0.0348062542
1994.3333 -1.027169e-01 -0.1030675406
1994.4167 2.049501e-01 0.2026615671
1994.5 2.213740e-02 0.0208747019
1994.5833 -1.264445e-01 -0.1268933551
1994.6667 2.281167e-01 0.2287327100
1994.75 -7.681191e-02 -0.0783126192
1994.8333 3.581493e-02 0.0358685189
1994.9167 -4.409724e-02 -0.0434456819
1995 -1.344154e-02 -0.0136433454
1995.0833 -5.436982e-02 -0.0561652528
1995.1667 3.366601e-02 0.0343837651
1995.25 1.594946e-01 0.1573396178
1995.3333 1.709633e-01 0.1704320322
1995.4167 7.952488e-03 0.0081248638
1995.5 1.691334e-02 0.0178065631
1995.5833 -9.096798e-02 -0.0896670836
1995.6667 1.067787e-02 0.0121240963
1995.75 6.578802e-02 0.0663990858
1995.8333 -7.515465e-02 -0.0707092238
1995.9167 -1.734738e-01 -0.1761720873
1996 2.692453e-02 0.0287769510
1996.0833 1.479717e-01 0.1643545122
1996.1667 1.043441e-01 0.1145714595
1996.25 2.301266e-02 0.0182260198
1996.3333 -3.589953e-02 -0.0207278308
1996.4167 -4.220054e-02 -0.0513435384
1996.5 2.091085e-01 0.2197330273
1996.5833 -1.901672e-02 -0.0123824521
1996.6667 -9.246019e-04 -0.0047332887
1996.75 6.120798e-02 0.0624903965
1996.8333 -1.630089e-01 -0.1659542387
1996.9167 8.357044e-02 0.1128261104
1997 -2.038597e-02 -0.0200107282
1997.0833 -6.193613e-02 -0.0809423025
1997.1667 -1.178120e-02 -0.0059585595
1997.25 3.383248e-02 0.0395348373
1997.3333 1.434864e-01 0.1732362127
1997.4167 8.843344e-02 0.0744833652
1997.5 5.261569e-02 0.0334626555
1997.5833 1.433708e-02 0.0162001146
1997.6667 -2.120801e-01 -0.2118794804
1997.75 5.393701e-02 0.0551434614
1997.8333 1.510248e-02 0.0436111444
1997.9167 3.779995e-02 0.0030910350
1998 1.307802e-01 0.1143373563
1998.0833 1.492678e-01 0.1477271513
1998.1667 4.559700e-02 0.0509250294
1998.25 -9.223759e-03 -0.0074519767
1998.3333 1.043391e-01 0.1072155342
1998.4167 -1.121725e-01 -0.1452832713
1998.5 -2.014961e-01 -0.2116735451
1998.5833 1.716478e-01 0.1669466138
1998.6667 1.214834e-01 0.1349185682
1998.75 5.831539e-05 0.0137829488
1998.8333 2.346528e-01 0.2299572833
1998.9167 -4.943884e-02 -0.0551843947
1999 -3.540643e-02 -0.0233403365
1999.0833 5.308429e-02 0.0552420431
1999.1667 3.069416e-01 0.3096635379
1999.25 -1.190397e-02 -0.0088142865
1999.3333 2.646730e-02 0.0239430356
1999.4167 -2.266901e-01 -0.2711073199
1999.5 5.224044e-02 0.0421938401
1999.5833 3.892048e-02 0.0438381519
1999.6667 1.597598e-01 0.1513182322
1999.75 7.445812e-02 0.0642658234
1999.8333 -2.723160e-02 -0.0309391667
1999.9167 1.772255e-01 0.1825090717
2000 1.001194e-01 0.0998310845
2000.0833 2.383267e-01 0.2415597832
2000.1667 -2.292610e-01 -0.2388062779
2000.25 -7.882326e-02 -0.0701570255
2000.3333 1.693557e-01 0.1629652516
2000.4167 -2.277740e-02 -0.0222523381
2000.5 6.217826e-02 0.0517936853
2000.5833 -1.870222e-01 -0.1642434464
2000.6667 1.935016e-02 0.0462375887
2000.75 -1.931369e-02 -0.0053986785
2000.8333 -4.272718e-02 -0.0372877491
2000.9167 1.904931e-01 0.1651768554
2001 -7.040192e-02 -0.0616953493
2001.0833 -4.407788e-02 -0.0692299213
2001.1667 -2.899968e-02 -0.0480101196
2001.25 -5.296960e-02 -0.0360724796
2001.3333 1.753619e-01 0.1765003004
2001.4167 -2.103216e-01 -0.2123083383
2001.5 -5.197231e-02 -0.0559130516
2001.5833 -1.269538e-01 -0.1232316142
2001.6667 1.429476e-01 0.1441359645
2001.75 7.767371e-02 0.0637090354
2001.8333 6.249084e-02 0.0660486302
2001.9167 2.179023e-01 0.2271436093
2002 -5.389601e-02 -0.0468435427
2002.0833 2.507392e-02 0.0182959523
2002.1667 -4.112910e-03 -0.0071519748
2002.25 3.866990e-02 0.0468444537
2002.3333 -3.777422e-02 -0.0170755473
2002.4167 -1.962564e-01 -0.2018707096
2002.5 1.245482e-02 0.0169545373
2002.5833 1.868343e-02 0.0222544439
2002.6667 1.449568e-01 0.1485973702
2002.75 -7.749821e-02 -0.0816116808
2002.8333 -6.532113e-02 -0.0642647131
2002.9167 9.271855e-02 0.1014800672
2003 3.441431e-02 0.0333177175
2003.0833 6.958445e-02 0.0817996797
2003.1667 -7.165858e-02 -0.0787175172
2003.25 8.748343e-02 0.0710063794
2003.3333 8.827332e-03 0.0036795190
2003.4167 1.113151e-01 0.1118456459
2003.5 4.623695e-02 0.0435724782
2003.5833 -6.632442e-03 0.0010997070
2003.6667 9.888198e-02 0.0983564491
2003.75 -2.483531e-03 0.0057606611
2003.8333 2.934665e-02 0.0299567898
2003.9167 9.492770e-02 0.0987203752
2004 2.846042e-02 0.0254584665
2004.0833 3.445698e-02 0.0253145006
2004.1667 1.273626e-02 0.0185379122
2004.25 5.199355e-02 0.0484909222
2004.3333 8.829054e-02 0.0813630626
2004.4167 6.280326e-02 0.0696122051
2004.5 -5.136290e-02 -0.0628211414
2004.5833 6.624381e-02 0.0605219721
2004.6667 2.040903e-01 0.1891481726
2004.75 1.148605e-01 0.0978863124
2004.8333 6.989367e-02 0.0812519244
2004.9167 -5.487704e-02 -0.0805848414
2005 1.835604e-02 0.0031603887
2005.0833 -2.443517e-02 -0.0198439147
2005.1667 -6.943139e-02 -0.0628993009
2005.25 1.052662e-01 0.1055377566
2005.3333 -6.214246e-02 -0.0609111031
2005.4167 5.741045e-02 0.0470416988
2005.5 -1.641934e-02 -0.0280079153
2005.5833 6.172469e-02 0.0539692047
2005.6667 1.100909e-01 0.1133250261
2005.75 1.107665e-01 0.1045807089
2005.8333 1.166636e-02 0.0074028409
2005.9167 5.422411e-02 0.0545494085
2006 5.907842e-02 0.0719135737
2006.0833 -3.102434e-03 0.0046532976
2006.1667 3.090159e-02 0.0218174798
2006.25 -7.851002e-02 -0.0715975365
2006.3333 2.821232e-02 0.0351635752
2006.4167 -1.136416e-02 -0.0314538289
2006.5 -6.324560e-02 -0.0690128044
2006.5833 1.106983e-01 0.1085719594
2006.6667 8.917858e-02 0.0923170695
2006.75 2.415354e-03 -0.0091157222
2006.8333 -2.566696e-02 -0.0218243538
2006.9167 -4.906368e-03 -0.0062009114
2007 -7.790192e-02 -0.0832567576
2007.0833 4.706200e-02 0.0432318954
2007.1667 2.302984e-02 0.0195111227
2007.25 4.658050e-02 0.0362571314
2007.3333 -4.509407e-02 -0.0467851921
2007.4167 4.679070e-02 0.0461522904
2007.5 4.150784e-02 0.0414021012
2007.5833 2.796076e-02 0.0272700859
2007.6667 1.317392e-01 0.1332911043
2007.75 -7.789561e-02 -0.0761261689
2007.8333 -4.950947e-03 0.0009295092
2007.9167 -2.211589e-01 -0.2312494780
2008 -6.417278e-02 -0.0647661206
2008.0833 6.878644e-02 0.0722186759
2008.1667 9.111608e-02 0.1000101941
2008.25 9.844300e-02 0.0967561629
2008.3333 -1.212573e-01 -0.1202565429
2008.4167 -5.664129e-02 -0.0559004421
2008.5 6.371037e-02 0.0640758486
2008.5833 -2.219528e-01 -0.2359013989
2008.6667 -8.136824e-02 -0.0796788920
2008.75 -2.155363e-01 -0.2098921149
2008.8333 -2.581075e-02 -0.0321742786
2008.9167 3.221246e-02 0.0343980294
2009 -1.769821e-02 -0.0168122197
2009.0833 1.918302e-01 0.1902400722
2009.1667 2.387474e-01 0.2345250805
2009.25 4.432365e-02 0.0472931790
2009.3333 1.536007e-02 0.0187239987
2009.4167 1.964364e-01 0.1906558612
2009.5 4.709001e-02 0.0453955884
2009.5833 9.598443e-02 0.0965062163
2009.6667 -2.316331e-02 -0.0195166421
2009.75 9.723055e-02 0.0931622434
2009.8333 5.358757e-02 0.0536380809
2009.9167 -7.496558e-02 -0.0762516902
2010 5.972477e-02 0.0602199770
2010.0833 1.117443e-01 0.1150435903
2010.1667 9.667917e-02 0.0981966003
2010.25 -1.120731e-02 -0.0117601270
2010.3333 -3.671042e-02 -0.0349652191
2010.4167 2.262033e-02 0.0226345909
2010.5 -6.094150e-02 -0.0602384938
2010.5833 1.459293e-01 0.1485207225
2010.6667 8.229907e-02 0.0794574275
2010.75 4.999171e-02 0.0480324855
2010.8333 4.185768e-02 0.0412723244
2010.9167 2.417153e-02 0.0272362626
2011 4.442561e-02 0.0439915020
2011.0833 3.800204e-02 0.0317128416
2011.1667 -5.447898e-03 -0.0044677501
2011.25 4.022235e-03 0.0029413884
2011.3333 8.868752e-03 0.0046236173
2011.4167 1.006589e-01 0.1054365727
2011.5 -2.198968e-02 -0.0212169005
2011.5833 -1.915441e-02 -0.0180848683
2011.6667 9.078768e-02 0.0875164957
2011.75 -2.100210e-02 -0.0244193433
2011.8333 5.902889e-02 0.0590797359
2011.9167 9.130468e-02 0.0942239960
2012 1.189917e-01 0.1257077821
2012.0833 1.225714e-01 0.1203554237
2012.1667 -5.761477e-03 -0.0081849716
2012.25 4.573071e-02 0.0457307061
$r
portfolio Benchmark
1994 4.471588e-02 0.0447158813
1994.0833 -2.712608e-02 -0.0285521728
1994.1667 6.145464e-02 0.0613429287
1994.25 -3.490752e-02 -0.0354264250
1994.3333 -1.083839e-01 -0.1087747158
1994.4167 1.864381e-01 0.1845370733
1994.5 2.189592e-02 0.0206598107
1994.5833 -1.351836e-01 -0.1356975715
1994.6667 2.054818e-01 0.2059833211
1994.75 -7.992228e-02 -0.0815491793
1994.8333 3.518849e-02 0.0352402235
1994.9167 -4.509908e-02 -0.0444177033
1995 -1.353269e-02 -0.0137372711
1995.0833 -5.590372e-02 -0.0578041841
1995.1667 3.311171e-02 0.0338058533
1995.25 1.479842e-01 0.1461239383
1995.3333 1.578267e-01 0.1573729389
1995.4167 7.921034e-03 0.0080920348
1995.5 1.677190e-02 0.0176498835
1995.5833 -9.537496e-02 -0.0939449042
1995.6667 1.062126e-02 0.0120511881
1995.75 6.371445e-02 0.0642876326
1995.8333 -7.812875e-02 -0.0733335900
1995.9167 -1.905236e-01 -0.1937936147
1996 2.656844e-02 0.0283706705
1996.0833 1.379967e-01 0.1521668667
1996.1667 9.925162e-02 0.1084699898
1996.25 2.275187e-02 0.0180619169
1996.3333 -3.655976e-02 -0.0209456677
1996.4167 -4.311685e-02 -0.0527085464
1996.5 1.898833e-01 0.1986320047
1996.5833 -1.919987e-02 -0.0124597535
1996.6667 -9.250296e-04 -0.0047445262
1996.75 5.940786e-02 0.0606155831
1996.8333 -1.779419e-01 -0.1814670084
1996.9167 8.026155e-02 0.1069028251
1997 -2.059663e-02 -0.0202136546
1997.0833 -6.393724e-02 -0.0844063757
1997.1667 -1.185115e-02 -0.0059763826
1997.25 3.327275e-02 0.0387733412
1997.3333 1.340819e-01 0.1597659243
1997.4167 8.473946e-02 0.0718399556
1997.5 5.127820e-02 0.0329149655
1997.5833 1.423528e-02 0.0160702930
1997.6667 -2.383588e-01 -0.2381042572
1997.75 5.253269e-02 0.0536767400
1997.8333 1.498957e-02 0.0426869530
1997.9167 3.710304e-02 0.0030862676
1998 1.229079e-01 0.1082599289
1998.0833 1.391250e-01 0.1377835966
1998.1667 4.458802e-02 0.0496707567
1998.25 -9.266561e-03 -0.0074798814
1998.3333 9.924707e-02 0.1018483360
1998.4167 -1.189778e-01 -0.1569851765
1998.5 -2.250154e-01 -0.2378429921
1998.5833 1.584111e-01 0.1543906058
1998.6667 1.146523e-01 0.1265609023
1998.75 5.831369e-05 0.0136888278
1998.8333 2.107898e-01 0.2069794398
1998.9167 -5.070278e-02 -0.0567654972
1999 -3.604844e-02 -0.0236170361
1999.0833 5.172328e-02 0.0537701654
1999.1667 2.676898e-01 0.2697702630
1999.25 -1.197539e-02 -0.0088533621
1999.3333 2.612311e-02 0.0236608957
1999.4167 -2.570755e-01 -0.3162287730
1999.5 5.092164e-02 0.0413279530
1999.5833 3.818218e-02 0.0429044506
1999.6667 1.482129e-01 0.1409075748
1999.75 7.181646e-02 0.0622851937
1999.8333 -2.760925e-02 -0.0314278896
1999.9167 1.631604e-01 0.1676385130
2000 9.541869e-02 0.0951566084
2000.0833 2.137610e-01 0.2163684788
2000.1667 -2.604054e-01 -0.2728673909
2000.25 -8.210336e-02 -0.0727395517
2000.3333 1.564529e-01 0.1509729949
2000.4167 -2.304082e-02 -0.0225036566
2000.5 6.032176e-02 0.0504969784
2000.5833 -2.070515e-01 -0.1794179122
2000.6667 1.916532e-02 0.0452004801
2000.75 -1.950263e-02 -0.0054133041
2000.8333 -4.366685e-02 -0.0380007167
2000.9167 1.743676e-01 0.1528728827
2001 -7.300296e-02 -0.0636805952
2001.0833 -4.507884e-02 -0.0717429939
2001.1667 -2.942848e-02 -0.0492008741
2001.25 -5.442408e-02 -0.0367391735
2001.3333 1.615761e-01 0.1625441845
2001.4167 -2.361295e-01 -0.2386485579
2001.5 -5.337157e-02 -0.0575370107
2001.5833 -1.357668e-01 -0.1315124198
2001.6667 1.336106e-01 0.1346497360
2001.75 7.480475e-02 0.0617618906
2001.8333 6.061600e-02 0.0639589440
2001.9167 1.971300e-01 0.2046891999
2002 -5.540279e-02 -0.0479762153
2002.0833 2.476473e-02 0.0181305952
2002.1667 -4.121392e-03 -0.0071776727
2002.25 3.794095e-02 0.0457803570
2002.3333 -3.850616e-02 -0.0172230156
2002.4167 -2.184749e-01 -0.2254846765
2002.5 1.237789e-02 0.0168124134
2002.5833 1.851104e-02 0.0220104274
2002.6667 1.353669e-01 0.1385415199
2002.75 -8.066597e-02 -0.0851349721
2002.8333 -6.755226e-02 -0.0664226557
2002.9167 8.866868e-02 0.0966547911
2003 3.383538e-02 0.0327747106
2003.0833 6.727020e-02 0.0786260244
2003.1667 -7.435571e-02 -0.0819885767
2003.25 8.386625e-02 0.0685987480
2003.3333 8.788598e-03 0.0036727661
2003.4167 1.055441e-01 0.1060213785
2003.5 4.519987e-02 0.0426499020
2003.5833 -6.654534e-03 0.0010991028
2003.6667 9.429328e-02 0.0938149253
2003.75 -2.486620e-03 0.0057441319
2003.8333 2.892428e-02 0.0295168497
2003.9167 9.068833e-02 0.0941462074
2004 2.806295e-02 0.0251397970
2004.0833 3.387663e-02 0.0249993954
2004.1667 1.265584e-02 0.0183681795
2004.25 5.068698e-02 0.0473519135
2004.3333 8.460816e-02 0.0782223404
2004.4167 6.091000e-02 0.0672961577
2004.5 -5.272895e-02 -0.0648811306
2004.5833 6.414202e-02 0.0587612135
2004.6667 1.857243e-01 0.1732372294
2004.75 1.087293e-01 0.0933867971
2004.8333 6.755927e-02 0.0781195590
2004.9167 -5.644024e-02 -0.0840175082
2005 1.818961e-02 0.0031554052
2005.0833 -2.473866e-02 -0.0200434493
2005.1667 -7.195947e-02 -0.0649645328
2005.25 1.000862e-01 0.1003318742
2005.3333 -6.415722e-02 -0.0628451323
2005.4167 5.582295e-02 0.0459687581
2005.5 -1.655563e-02 -0.0284076179
2005.5833 5.989465e-02 0.0525632322
2005.6667 1.044419e-01 0.1073510567
2005.75 1.050503e-01 0.0994658140
2005.8333 1.159883e-02 0.0073755744
2005.9167 5.280505e-02 0.0531135748
2006 5.739911e-02 0.0694454379
2006.0833 -3.107256e-03 0.0046425045
2006.1667 3.043375e-02 0.0215828846
2006.25 -8.176337e-02 -0.0742899511
2006.3333 2.782168e-02 0.0345594579
2006.4167 -1.142923e-02 -0.0319591245
2006.5 -6.533414e-02 -0.0715097552
2006.5833 1.049889e-01 0.1030726640
2006.6667 8.542381e-02 0.0883011919
2006.75 2.412442e-03 -0.0091575246
2006.8333 -2.600210e-02 -0.0220660278
2006.9167 -4.918443e-03 -0.0062202169
2007 -8.110369e-02 -0.0869278433
2007.0833 4.598815e-02 0.0423234863
2007.1667 2.276866e-02 0.0193232209
2007.25 4.552818e-02 0.0356153093
2007.3333 -4.614245e-02 -0.0479149989
2007.4167 4.572901e-02 0.0451189482
2007.5 4.066951e-02 0.0405679794
2007.5833 2.757699e-02 0.0269048817
2007.6667 1.237556e-01 0.1251258814
2007.75 -8.109685e-02 -0.0791797631
2007.8333 -4.963244e-03 0.0009290775
2007.9167 -2.499482e-01 -0.2629887808
2008 -6.632441e-02 -0.0669586425
2008.0833 6.652383e-02 0.0697300306
2008.1667 8.720109e-02 0.0953194471
2008.25 9.389373e-02 0.0923568803
2008.3333 -1.292632e-01 -0.1281249401
2008.4167 -5.830867e-02 -0.0575236546
2008.5 6.176314e-02 0.0621066746
2008.5833 -2.509681e-01 -0.2690584391
2008.6667 -8.486994e-02 -0.0830326394
2008.75 -2.427550e-01 -0.2355857794
2008.8333 -2.614969e-02 -0.0327032478
2008.9167 3.170452e-02 0.0338196434
2009 -1.785669e-02 -0.0169551493
2009.0833 1.754901e-01 0.1741550281
2009.1667 2.141007e-01 0.2106863459
2009.25 4.336945e-02 0.0462089109
2009.3333 1.524330e-02 0.0185508625
2009.4167 1.793475e-01 0.1745042992
2009.5 4.601489e-02 0.0443953673
2009.5833 9.165298e-02 0.0921289581
2009.6667 -2.343579e-02 -0.0197096065
2009.75 9.278932e-02 0.0890746368
2009.8333 5.220107e-02 0.0522490144
2009.9167 -7.792433e-02 -0.0793156364
2010 5.800923e-02 0.0584764120
2010.0833 1.059303e-01 0.1088934986
2010.1667 9.228668e-02 0.0936693801
2010.25 -1.127058e-02 -0.0118298243
2010.3333 -3.740120e-02 -0.0355911360
2010.4167 2.236828e-02 0.0223822295
2010.5 -6.287750e-02 -0.0621291527
2010.5833 1.362159e-01 0.1384747861
2010.6667 7.908755e-02 0.0764585329
2010.75 4.878226e-02 0.0469145831
2010.8333 4.100535e-02 0.0404433543
2010.9167 2.388402e-02 0.0268719557
2011 4.346708e-02 0.0430513496
2011.0833 3.729775e-02 0.0312203741
2011.1667 -5.462792e-03 -0.0044777604
2011.25 4.014167e-03 0.0029370710
2011.3333 8.829656e-03 0.0046129613
2011.4167 9.590898e-02 0.1002403454
2011.5 -2.223506e-02 -0.0214452141
2011.5833 -1.934023e-02 -0.0182503983
2011.6667 8.690008e-02 0.0838966523
2011.75 -2.122579e-02 -0.0247224399
2011.8333 5.735235e-02 0.0574003574
2011.9167 8.737393e-02 0.0900454326
2012 1.124280e-01 0.1184119775
2012.0833 1.156220e-01 0.1136459775
2012.1667 -5.778138e-03 -0.0082186524
2012.25 4.471588e-02 0.0447158813
RelValAnalysis documentation built on May 2, 2019, 3:09 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description Usage Arguments Details Value See Also Examples
Description
Given the benchmark weights (say, derived from a toy market, see toymkt) and a function which maps benchmark weights to portfolio weights, the function GetWeight computes a matrix of portfolio weights.
Usage
1 |
Arguments
market |
a |
weight.function |
a function object representing the weight function. The weight function depends only on the current market weights. |
... |
Additional parameters of |
Details
A probability vector is a numeric vector with non-negative entries summing to one.
weight.function is a function which maps probability vectors to probability vectors. It represents a portfolio whose weights are deterministic functions of the current benchmark weights.
Value
A matrix where each row represents the portfolio weights for a period.
See Also
Examples
1 2 3 4 5 6 7 8 9 10 | data(applestarbucks)
market <- toymkt(applestarbucks)
# This is the diversity-weighted portfolio
weight.function <- function(x, p) {
return(x^p / sum(x^p))
}
weight <- GetWeight(market, weight.function, p = 0.7)
Invest(market, weight)
|
Example output
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
Warning message:
In toymkt(applestarbucks) :
Since initial.weight is not given, the benchmark is assumed to be equal-weighted initially.
$growth
portfolio Benchmark
1994 1.0000000 1.0000000
1994.0833 1.0457307 1.0457307
1994.1667 1.0177454 1.0162950
1994.25 1.0822524 1.0805894
1994.3333 1.0451254 1.0429781
1994.4167 0.9377734 0.9354809
1994.5 1.1299701 1.1250670
1994.5833 1.1549847 1.1485524
1994.6667 1.0089432 1.0028087
1994.75 1.2391000 1.2321839
1994.8333 1.1439224 1.1356884
1994.9167 1.1848919 1.1764238
1995 1.1326414 1.1253133
1995.0833 1.1174170 1.1099602
1995.1667 1.0566632 1.0476190
1995.25 1.0922369 1.0836401
1995.3333 1.2664427 1.2541397
1995.4167 1.4829580 1.4678852
1995.5 1.4947512 1.4798116
1995.5833 1.5200324 1.5061620
1995.6667 1.3817581 1.3711088
1995.75 1.3965124 1.3877323
1995.8333 1.4883862 1.4798764
1995.9167 1.3765270 1.3752355
1996 1.1377357 1.1329574
1996.0833 1.1683687 1.1655605
1996.1667 1.3412542 1.3571256
1996.25 1.4812063 1.5126134
1996.3333 1.5152928 1.5401824
1996.4167 1.4608945 1.5082577
1996.5 1.3992439 1.4308184
1996.5833 1.6918377 1.7452165
1996.6667 1.6596645 1.7236064
1996.75 1.6581299 1.7154481
1996.8333 1.7596207 1.8226471
1996.9167 1.4727868 1.5201711
1997 1.5958683 1.6916861
1997.0833 1.5633350 1.6578342
1997.1667 1.4665080 1.5236453
1997.25 1.4492308 1.5145666
1997.3333 1.4982619 1.5744447
1997.4167 1.7132421 1.8471956
1997.5 1.8647500 1.9847809
1997.5833 1.9628651 2.0511970
1997.6667 1.9910069 2.0844266
1997.75 1.5687540 1.6427794
1997.8333 1.6533679 1.7333679
1997.9167 1.6783379 1.8089621
1998 1.7417789 1.8145536
1998.0833 1.9695692 2.0220249
1998.1667 2.2635624 2.3207329
1998.25 2.3667740 2.4389163
1998.3333 2.3449435 2.4207415
1998.4167 2.5896128 2.6802826
1998.5 2.2991294 2.2908824
1998.5833 1.8358638 1.8059632
1998.6667 2.1509857 2.1074626
1998.75 2.4122949 2.3917985
1998.8333 2.4124355 2.4247645
1998.9167 2.9785202 2.9823568
1999 2.8312656 2.8177772
1999.0833 2.7310206 2.7520093
1999.1667 2.8759949 2.9040360
1999.25 3.7587575 3.8033100
1999.3333 3.7140134 3.7697865
1999.4167 3.8123133 3.8600467
1999.5 2.9480995 2.8135598
1999.5833 3.1021095 2.9322747
1999.6667 3.2228451 3.0608202
1999.75 3.7377263 3.5239780
1999.8333 4.0160304 3.7504494
1999.9167 3.9066674 3.6344136
2000 4.5990284 4.2977271
2000.0833 5.0594802 4.7267738
2000.1667 6.2652894 5.8685723
2000.25 4.8289031 4.4671204
2000.3333 4.4482732 4.1537205
2000.4167 5.2016138 4.8306326
2000.5 5.0831346 4.7231397
2000.5833 5.3991950 4.9677686
2000.6667 4.3894257 4.1518451
2000.75 4.4743618 4.3438164
2000.8333 4.3879454 4.3203656
2000.9167 4.2004608 4.1592689
2001 5.0006196 4.8462838
2001.0833 4.6485664 4.5472906
2001.1667 4.4436674 4.2324821
2001.25 4.3148025 4.0292801
2001.3333 4.0862492 3.8839340
2001.4167 4.8028214 4.5694495
2001.5 3.7926842 3.5993173
2001.5833 3.5955696 3.3980684
2001.6667 3.1390984 2.9793190
2001.75 3.5878250 3.4087460
2001.8333 3.8665047 3.6259139
2001.9167 4.1081258 3.8654006
2002 5.0032961 4.7434016
2002.0833 4.7336384 4.5212039
2002.1667 4.8523293 4.6039236
2002.25 4.8323721 4.5709965
2002.3333 5.0192394 4.7851223
2002.4167 4.8296416 4.7034137
2002.5 3.8817937 3.7539322
2002.5833 3.9301407 3.8175784
2002.6667 4.0035692 3.9025365
2002.75 4.5839138 4.4824432
2002.8333 4.2286687 4.1166235
2002.9167 3.9524472 3.8520698
2003 4.3189124 4.2429781
2003.0833 4.4675448 4.3843445
2003.1667 4.7784164 4.7429825
2003.25 4.4360019 4.3696267
2003.3333 4.8240786 4.6798980
2003.4167 4.8666623 4.6971178
2003.5 5.4083952 5.2224700
2003.5833 5.6584629 5.4500259
2003.6667 5.6209335 5.4560194
2003.75 6.1767425 5.9926540
2003.8333 6.1614024 6.0271757
2003.9167 6.3422189 6.2077305
2004 6.9442712 6.8205600
2004.0833 7.1419080 6.9942010
2004.1667 7.3879966 7.1712557
2004.25 7.4820921 7.3041958
2004.3333 7.8711126 7.6583830
2004.4167 8.5660574 8.2814925
2004.5 9.1040338 8.8579855
2004.5833 8.6364242 8.3015167
2004.6667 9.2085339 8.8039409
2004.75 11.0879059 10.4691902
2004.8333 12.3614685 11.4939806
2004.9167 13.2254568 12.4278887
2005 12.4996830 11.4263892
2005.0833 12.7291277 11.4625011
2005.1667 12.4180893 11.2350402
2005.25 11.5558840 10.5283640
2005.3333 12.7723279 11.6395039
2005.4167 11.9786241 10.9305289
2005.5 12.6663223 11.4447196
2005.5833 12.4583497 11.1241768
2005.6667 13.2273375 11.7245398
2005.75 14.6835471 13.0532236
2005.8333 16.3099923 14.4183390
2005.9167 16.5002705 14.5250756
2006 17.3949829 15.3174099
2006.0833 18.4226510 16.4189396
2006.1667 18.3654960 16.4953418
2006.25 18.9330190 16.8552286
2006.3333 17.4465874 15.6484357
2006.4167 17.9387960 16.1986907
2006.5 17.7349367 15.6891798
2006.5833 16.6132800 14.6064255
2006.6667 18.4523418 16.1922738
2006.75 20.0978955 17.6870971
2006.8333 20.1464390 17.5258664
2006.9167 19.6293412 17.1433757
2007 19.5330324 17.0370711
2007.0833 18.0113717 15.6186198
2007.1667 18.8590229 16.2938424
2007.25 19.2933432 16.6117535
2007.3333 20.1920368 17.2140481
2007.4167 19.2814956 16.4086855
2007.5 20.1836903 17.1659839
2007.5833 21.0214718 17.8766917
2007.6667 21.6092481 18.3641906
2007.75 24.4560331 20.8119739
2007.8333 22.5510154 19.2276381
2007.9167 22.4393665 19.2455103
2008 17.4767012 14.7949961
2008.0833 16.3551728 13.8367816
2008.1667 17.4801868 14.8360557
2008.25 19.0729128 16.3198125
2008.3333 20.9505077 17.8988549
2008.4167 18.4101054 15.7464005
2008.5 17.3673333 14.8661697
2008.5833 18.4738125 15.8187322
2008.6667 14.3734975 12.0870711
2008.75 13.2039512 11.1239867
2008.8333 10.3580206 8.7891496
2008.9167 10.0906723 8.5063651
2009 10.4157177 8.7989672
2009.0833 10.2313782 8.6510371
2009.1667 12.1940656 10.2968110
2009.25 15.1053664 12.7116714
2009.3333 15.7748914 13.3128468
2009.4167 16.0171948 13.5621165
2009.5 19.1635552 16.1478135
2009.5833 20.0659671 16.8808530
2009.6667 21.9919874 18.5099602
2009.75 21.4825803 18.1487080
2009.8333 23.5713433 19.8394823
2009.9167 24.8344742 20.9036341
2010 22.9727434 19.3096967
2010.0833 24.3447853 20.4725261
2010.1667 27.0651773 22.8277591
2010.25 29.6818161 25.0693674
2010.3333 29.3491630 24.7745484
2010.4167 28.2717430 23.9083009
2010.5 28.9112591 24.4494555
2010.5833 27.1493637 22.9766572
2010.6667 31.1112509 26.3891669
2010.75 33.6716779 28.4859822
2010.8333 35.3549825 29.8542347
2010.9167 36.8348599 31.0863884
2011 37.7252148 31.9330654
2011.0833 39.4011807 33.3378489
2011.1667 40.8985058 34.3950869
2011.25 40.6756949 34.2414182
2011.3333 40.8393021 34.3421355
2011.4167 41.2014958 34.5009204
2011.5 45.3487921 38.1385792
2011.5833 44.3515864 37.3293968
2011.6667 43.5020580 36.6542995
2011.75 47.4515088 39.8621554
2011.8333 46.4549273 38.8887477
2011.9167 49.1971100 41.1862847
2012 53.6890364 45.0670210
2012.0833 60.0775858 50.7322963
2012.1667 67.4413814 56.8382033
2012.25 67.0528195 56.3729842
$R
portfolio Benchmark
1994 4.573071e-02 0.0457307061
1994.0833 -2.676147e-02 -0.0281484114
1994.1667 6.338226e-02 0.0632634752
1994.25 -3.430528e-02 -0.0348062542
1994.3333 -1.027169e-01 -0.1030675406
1994.4167 2.049501e-01 0.2026615671
1994.5 2.213740e-02 0.0208747019
1994.5833 -1.264445e-01 -0.1268933551
1994.6667 2.281167e-01 0.2287327100
1994.75 -7.681191e-02 -0.0783126192
1994.8333 3.581493e-02 0.0358685189
1994.9167 -4.409724e-02 -0.0434456819
1995 -1.344154e-02 -0.0136433454
1995.0833 -5.436982e-02 -0.0561652528
1995.1667 3.366601e-02 0.0343837651
1995.25 1.594946e-01 0.1573396178
1995.3333 1.709633e-01 0.1704320322
1995.4167 7.952488e-03 0.0081248638
1995.5 1.691334e-02 0.0178065631
1995.5833 -9.096798e-02 -0.0896670836
1995.6667 1.067787e-02 0.0121240963
1995.75 6.578802e-02 0.0663990858
1995.8333 -7.515465e-02 -0.0707092238
1995.9167 -1.734738e-01 -0.1761720873
1996 2.692453e-02 0.0287769510
1996.0833 1.479717e-01 0.1643545122
1996.1667 1.043441e-01 0.1145714595
1996.25 2.301266e-02 0.0182260198
1996.3333 -3.589953e-02 -0.0207278308
1996.4167 -4.220054e-02 -0.0513435384
1996.5 2.091085e-01 0.2197330273
1996.5833 -1.901672e-02 -0.0123824521
1996.6667 -9.246019e-04 -0.0047332887
1996.75 6.120798e-02 0.0624903965
1996.8333 -1.630089e-01 -0.1659542387
1996.9167 8.357044e-02 0.1128261104
1997 -2.038597e-02 -0.0200107282
1997.0833 -6.193613e-02 -0.0809423025
1997.1667 -1.178120e-02 -0.0059585595
1997.25 3.383248e-02 0.0395348373
1997.3333 1.434864e-01 0.1732362127
1997.4167 8.843344e-02 0.0744833652
1997.5 5.261569e-02 0.0334626555
1997.5833 1.433708e-02 0.0162001146
1997.6667 -2.120801e-01 -0.2118794804
1997.75 5.393701e-02 0.0551434614
1997.8333 1.510248e-02 0.0436111444
1997.9167 3.779995e-02 0.0030910350
1998 1.307802e-01 0.1143373563
1998.0833 1.492678e-01 0.1477271513
1998.1667 4.559700e-02 0.0509250294
1998.25 -9.223759e-03 -0.0074519767
1998.3333 1.043391e-01 0.1072155342
1998.4167 -1.121725e-01 -0.1452832713
1998.5 -2.014961e-01 -0.2116735451
1998.5833 1.716478e-01 0.1669466138
1998.6667 1.214834e-01 0.1349185682
1998.75 5.831539e-05 0.0137829488
1998.8333 2.346528e-01 0.2299572833
1998.9167 -4.943884e-02 -0.0551843947
1999 -3.540643e-02 -0.0233403365
1999.0833 5.308429e-02 0.0552420431
1999.1667 3.069416e-01 0.3096635379
1999.25 -1.190397e-02 -0.0088142865
1999.3333 2.646730e-02 0.0239430356
1999.4167 -2.266901e-01 -0.2711073199
1999.5 5.224044e-02 0.0421938401
1999.5833 3.892048e-02 0.0438381519
1999.6667 1.597598e-01 0.1513182322
1999.75 7.445812e-02 0.0642658234
1999.8333 -2.723160e-02 -0.0309391667
1999.9167 1.772255e-01 0.1825090717
2000 1.001194e-01 0.0998310845
2000.0833 2.383267e-01 0.2415597832
2000.1667 -2.292610e-01 -0.2388062779
2000.25 -7.882326e-02 -0.0701570255
2000.3333 1.693557e-01 0.1629652516
2000.4167 -2.277740e-02 -0.0222523381
2000.5 6.217826e-02 0.0517936853
2000.5833 -1.870222e-01 -0.1642434464
2000.6667 1.935016e-02 0.0462375887
2000.75 -1.931369e-02 -0.0053986785
2000.8333 -4.272718e-02 -0.0372877491
2000.9167 1.904931e-01 0.1651768554
2001 -7.040192e-02 -0.0616953493
2001.0833 -4.407788e-02 -0.0692299213
2001.1667 -2.899968e-02 -0.0480101196
2001.25 -5.296960e-02 -0.0360724796
2001.3333 1.753619e-01 0.1765003004
2001.4167 -2.103216e-01 -0.2123083383
2001.5 -5.197231e-02 -0.0559130516
2001.5833 -1.269538e-01 -0.1232316142
2001.6667 1.429476e-01 0.1441359645
2001.75 7.767371e-02 0.0637090354
2001.8333 6.249084e-02 0.0660486302
2001.9167 2.179023e-01 0.2271436093
2002 -5.389601e-02 -0.0468435427
2002.0833 2.507392e-02 0.0182959523
2002.1667 -4.112910e-03 -0.0071519748
2002.25 3.866990e-02 0.0468444537
2002.3333 -3.777422e-02 -0.0170755473
2002.4167 -1.962564e-01 -0.2018707096
2002.5 1.245482e-02 0.0169545373
2002.5833 1.868343e-02 0.0222544439
2002.6667 1.449568e-01 0.1485973702
2002.75 -7.749821e-02 -0.0816116808
2002.8333 -6.532113e-02 -0.0642647131
2002.9167 9.271855e-02 0.1014800672
2003 3.441431e-02 0.0333177175
2003.0833 6.958445e-02 0.0817996797
2003.1667 -7.165858e-02 -0.0787175172
2003.25 8.748343e-02 0.0710063794
2003.3333 8.827332e-03 0.0036795190
2003.4167 1.113151e-01 0.1118456459
2003.5 4.623695e-02 0.0435724782
2003.5833 -6.632442e-03 0.0010997070
2003.6667 9.888198e-02 0.0983564491
2003.75 -2.483531e-03 0.0057606611
2003.8333 2.934665e-02 0.0299567898
2003.9167 9.492770e-02 0.0987203752
2004 2.846042e-02 0.0254584665
2004.0833 3.445698e-02 0.0253145006
2004.1667 1.273626e-02 0.0185379122
2004.25 5.199355e-02 0.0484909222
2004.3333 8.829054e-02 0.0813630626
2004.4167 6.280326e-02 0.0696122051
2004.5 -5.136290e-02 -0.0628211414
2004.5833 6.624381e-02 0.0605219721
2004.6667 2.040903e-01 0.1891481726
2004.75 1.148605e-01 0.0978863124
2004.8333 6.989367e-02 0.0812519244
2004.9167 -5.487704e-02 -0.0805848414
2005 1.835604e-02 0.0031603887
2005.0833 -2.443517e-02 -0.0198439147
2005.1667 -6.943139e-02 -0.0628993009
2005.25 1.052662e-01 0.1055377566
2005.3333 -6.214246e-02 -0.0609111031
2005.4167 5.741045e-02 0.0470416988
2005.5 -1.641934e-02 -0.0280079153
2005.5833 6.172469e-02 0.0539692047
2005.6667 1.100909e-01 0.1133250261
2005.75 1.107665e-01 0.1045807089
2005.8333 1.166636e-02 0.0074028409
2005.9167 5.422411e-02 0.0545494085
2006 5.907842e-02 0.0719135737
2006.0833 -3.102434e-03 0.0046532976
2006.1667 3.090159e-02 0.0218174798
2006.25 -7.851002e-02 -0.0715975365
2006.3333 2.821232e-02 0.0351635752
2006.4167 -1.136416e-02 -0.0314538289
2006.5 -6.324560e-02 -0.0690128044
2006.5833 1.106983e-01 0.1085719594
2006.6667 8.917858e-02 0.0923170695
2006.75 2.415354e-03 -0.0091157222
2006.8333 -2.566696e-02 -0.0218243538
2006.9167 -4.906368e-03 -0.0062009114
2007 -7.790192e-02 -0.0832567576
2007.0833 4.706200e-02 0.0432318954
2007.1667 2.302984e-02 0.0195111227
2007.25 4.658050e-02 0.0362571314
2007.3333 -4.509407e-02 -0.0467851921
2007.4167 4.679070e-02 0.0461522904
2007.5 4.150784e-02 0.0414021012
2007.5833 2.796076e-02 0.0272700859
2007.6667 1.317392e-01 0.1332911043
2007.75 -7.789561e-02 -0.0761261689
2007.8333 -4.950947e-03 0.0009295092
2007.9167 -2.211589e-01 -0.2312494780
2008 -6.417278e-02 -0.0647661206
2008.0833 6.878644e-02 0.0722186759
2008.1667 9.111608e-02 0.1000101941
2008.25 9.844300e-02 0.0967561629
2008.3333 -1.212573e-01 -0.1202565429
2008.4167 -5.664129e-02 -0.0559004421
2008.5 6.371037e-02 0.0640758486
2008.5833 -2.219528e-01 -0.2359013989
2008.6667 -8.136824e-02 -0.0796788920
2008.75 -2.155363e-01 -0.2098921149
2008.8333 -2.581075e-02 -0.0321742786
2008.9167 3.221246e-02 0.0343980294
2009 -1.769821e-02 -0.0168122197
2009.0833 1.918302e-01 0.1902400722
2009.1667 2.387474e-01 0.2345250805
2009.25 4.432365e-02 0.0472931790
2009.3333 1.536007e-02 0.0187239987
2009.4167 1.964364e-01 0.1906558612
2009.5 4.709001e-02 0.0453955884
2009.5833 9.598443e-02 0.0965062163
2009.6667 -2.316331e-02 -0.0195166421
2009.75 9.723055e-02 0.0931622434
2009.8333 5.358757e-02 0.0536380809
2009.9167 -7.496558e-02 -0.0762516902
2010 5.972477e-02 0.0602199770
2010.0833 1.117443e-01 0.1150435903
2010.1667 9.667917e-02 0.0981966003
2010.25 -1.120731e-02 -0.0117601270
2010.3333 -3.671042e-02 -0.0349652191
2010.4167 2.262033e-02 0.0226345909
2010.5 -6.094150e-02 -0.0602384938
2010.5833 1.459293e-01 0.1485207225
2010.6667 8.229907e-02 0.0794574275
2010.75 4.999171e-02 0.0480324855
2010.8333 4.185768e-02 0.0412723244
2010.9167 2.417153e-02 0.0272362626
2011 4.442561e-02 0.0439915020
2011.0833 3.800204e-02 0.0317128416
2011.1667 -5.447898e-03 -0.0044677501
2011.25 4.022235e-03 0.0029413884
2011.3333 8.868752e-03 0.0046236173
2011.4167 1.006589e-01 0.1054365727
2011.5 -2.198968e-02 -0.0212169005
2011.5833 -1.915441e-02 -0.0180848683
2011.6667 9.078768e-02 0.0875164957
2011.75 -2.100210e-02 -0.0244193433
2011.8333 5.902889e-02 0.0590797359
2011.9167 9.130468e-02 0.0942239960
2012 1.189917e-01 0.1257077821
2012.0833 1.225714e-01 0.1203554237
2012.1667 -5.761477e-03 -0.0081849716
2012.25 4.573071e-02 0.0457307061
$r
portfolio Benchmark
1994 4.471588e-02 0.0447158813
1994.0833 -2.712608e-02 -0.0285521728
1994.1667 6.145464e-02 0.0613429287
1994.25 -3.490752e-02 -0.0354264250
1994.3333 -1.083839e-01 -0.1087747158
1994.4167 1.864381e-01 0.1845370733
1994.5 2.189592e-02 0.0206598107
1994.5833 -1.351836e-01 -0.1356975715
1994.6667 2.054818e-01 0.2059833211
1994.75 -7.992228e-02 -0.0815491793
1994.8333 3.518849e-02 0.0352402235
1994.9167 -4.509908e-02 -0.0444177033
1995 -1.353269e-02 -0.0137372711
1995.0833 -5.590372e-02 -0.0578041841
1995.1667 3.311171e-02 0.0338058533
1995.25 1.479842e-01 0.1461239383
1995.3333 1.578267e-01 0.1573729389
1995.4167 7.921034e-03 0.0080920348
1995.5 1.677190e-02 0.0176498835
1995.5833 -9.537496e-02 -0.0939449042
1995.6667 1.062126e-02 0.0120511881
1995.75 6.371445e-02 0.0642876326
1995.8333 -7.812875e-02 -0.0733335900
1995.9167 -1.905236e-01 -0.1937936147
1996 2.656844e-02 0.0283706705
1996.0833 1.379967e-01 0.1521668667
1996.1667 9.925162e-02 0.1084699898
1996.25 2.275187e-02 0.0180619169
1996.3333 -3.655976e-02 -0.0209456677
1996.4167 -4.311685e-02 -0.0527085464
1996.5 1.898833e-01 0.1986320047
1996.5833 -1.919987e-02 -0.0124597535
1996.6667 -9.250296e-04 -0.0047445262
1996.75 5.940786e-02 0.0606155831
1996.8333 -1.779419e-01 -0.1814670084
1996.9167 8.026155e-02 0.1069028251
1997 -2.059663e-02 -0.0202136546
1997.0833 -6.393724e-02 -0.0844063757
1997.1667 -1.185115e-02 -0.0059763826
1997.25 3.327275e-02 0.0387733412
1997.3333 1.340819e-01 0.1597659243
1997.4167 8.473946e-02 0.0718399556
1997.5 5.127820e-02 0.0329149655
1997.5833 1.423528e-02 0.0160702930
1997.6667 -2.383588e-01 -0.2381042572
1997.75 5.253269e-02 0.0536767400
1997.8333 1.498957e-02 0.0426869530
1997.9167 3.710304e-02 0.0030862676
1998 1.229079e-01 0.1082599289
1998.0833 1.391250e-01 0.1377835966
1998.1667 4.458802e-02 0.0496707567
1998.25 -9.266561e-03 -0.0074798814
1998.3333 9.924707e-02 0.1018483360
1998.4167 -1.189778e-01 -0.1569851765
1998.5 -2.250154e-01 -0.2378429921
1998.5833 1.584111e-01 0.1543906058
1998.6667 1.146523e-01 0.1265609023
1998.75 5.831369e-05 0.0136888278
1998.8333 2.107898e-01 0.2069794398
1998.9167 -5.070278e-02 -0.0567654972
1999 -3.604844e-02 -0.0236170361
1999.0833 5.172328e-02 0.0537701654
1999.1667 2.676898e-01 0.2697702630
1999.25 -1.197539e-02 -0.0088533621
1999.3333 2.612311e-02 0.0236608957
1999.4167 -2.570755e-01 -0.3162287730
1999.5 5.092164e-02 0.0413279530
1999.5833 3.818218e-02 0.0429044506
1999.6667 1.482129e-01 0.1409075748
1999.75 7.181646e-02 0.0622851937
1999.8333 -2.760925e-02 -0.0314278896
1999.9167 1.631604e-01 0.1676385130
2000 9.541869e-02 0.0951566084
2000.0833 2.137610e-01 0.2163684788
2000.1667 -2.604054e-01 -0.2728673909
2000.25 -8.210336e-02 -0.0727395517
2000.3333 1.564529e-01 0.1509729949
2000.4167 -2.304082e-02 -0.0225036566
2000.5 6.032176e-02 0.0504969784
2000.5833 -2.070515e-01 -0.1794179122
2000.6667 1.916532e-02 0.0452004801
2000.75 -1.950263e-02 -0.0054133041
2000.8333 -4.366685e-02 -0.0380007167
2000.9167 1.743676e-01 0.1528728827
2001 -7.300296e-02 -0.0636805952
2001.0833 -4.507884e-02 -0.0717429939
2001.1667 -2.942848e-02 -0.0492008741
2001.25 -5.442408e-02 -0.0367391735
2001.3333 1.615761e-01 0.1625441845
2001.4167 -2.361295e-01 -0.2386485579
2001.5 -5.337157e-02 -0.0575370107
2001.5833 -1.357668e-01 -0.1315124198
2001.6667 1.336106e-01 0.1346497360
2001.75 7.480475e-02 0.0617618906
2001.8333 6.061600e-02 0.0639589440
2001.9167 1.971300e-01 0.2046891999
2002 -5.540279e-02 -0.0479762153
2002.0833 2.476473e-02 0.0181305952
2002.1667 -4.121392e-03 -0.0071776727
2002.25 3.794095e-02 0.0457803570
2002.3333 -3.850616e-02 -0.0172230156
2002.4167 -2.184749e-01 -0.2254846765
2002.5 1.237789e-02 0.0168124134
2002.5833 1.851104e-02 0.0220104274
2002.6667 1.353669e-01 0.1385415199
2002.75 -8.066597e-02 -0.0851349721
2002.8333 -6.755226e-02 -0.0664226557
2002.9167 8.866868e-02 0.0966547911
2003 3.383538e-02 0.0327747106
2003.0833 6.727020e-02 0.0786260244
2003.1667 -7.435571e-02 -0.0819885767
2003.25 8.386625e-02 0.0685987480
2003.3333 8.788598e-03 0.0036727661
2003.4167 1.055441e-01 0.1060213785
2003.5 4.519987e-02 0.0426499020
2003.5833 -6.654534e-03 0.0010991028
2003.6667 9.429328e-02 0.0938149253
2003.75 -2.486620e-03 0.0057441319
2003.8333 2.892428e-02 0.0295168497
2003.9167 9.068833e-02 0.0941462074
2004 2.806295e-02 0.0251397970
2004.0833 3.387663e-02 0.0249993954
2004.1667 1.265584e-02 0.0183681795
2004.25 5.068698e-02 0.0473519135
2004.3333 8.460816e-02 0.0782223404
2004.4167 6.091000e-02 0.0672961577
2004.5 -5.272895e-02 -0.0648811306
2004.5833 6.414202e-02 0.0587612135
2004.6667 1.857243e-01 0.1732372294
2004.75 1.087293e-01 0.0933867971
2004.8333 6.755927e-02 0.0781195590
2004.9167 -5.644024e-02 -0.0840175082
2005 1.818961e-02 0.0031554052
2005.0833 -2.473866e-02 -0.0200434493
2005.1667 -7.195947e-02 -0.0649645328
2005.25 1.000862e-01 0.1003318742
2005.3333 -6.415722e-02 -0.0628451323
2005.4167 5.582295e-02 0.0459687581
2005.5 -1.655563e-02 -0.0284076179
2005.5833 5.989465e-02 0.0525632322
2005.6667 1.044419e-01 0.1073510567
2005.75 1.050503e-01 0.0994658140
2005.8333 1.159883e-02 0.0073755744
2005.9167 5.280505e-02 0.0531135748
2006 5.739911e-02 0.0694454379
2006.0833 -3.107256e-03 0.0046425045
2006.1667 3.043375e-02 0.0215828846
2006.25 -8.176337e-02 -0.0742899511
2006.3333 2.782168e-02 0.0345594579
2006.4167 -1.142923e-02 -0.0319591245
2006.5 -6.533414e-02 -0.0715097552
2006.5833 1.049889e-01 0.1030726640
2006.6667 8.542381e-02 0.0883011919
2006.75 2.412442e-03 -0.0091575246
2006.8333 -2.600210e-02 -0.0220660278
2006.9167 -4.918443e-03 -0.0062202169
2007 -8.110369e-02 -0.0869278433
2007.0833 4.598815e-02 0.0423234863
2007.1667 2.276866e-02 0.0193232209
2007.25 4.552818e-02 0.0356153093
2007.3333 -4.614245e-02 -0.0479149989
2007.4167 4.572901e-02 0.0451189482
2007.5 4.066951e-02 0.0405679794
2007.5833 2.757699e-02 0.0269048817
2007.6667 1.237556e-01 0.1251258814
2007.75 -8.109685e-02 -0.0791797631
2007.8333 -4.963244e-03 0.0009290775
2007.9167 -2.499482e-01 -0.2629887808
2008 -6.632441e-02 -0.0669586425
2008.0833 6.652383e-02 0.0697300306
2008.1667 8.720109e-02 0.0953194471
2008.25 9.389373e-02 0.0923568803
2008.3333 -1.292632e-01 -0.1281249401
2008.4167 -5.830867e-02 -0.0575236546
2008.5 6.176314e-02 0.0621066746
2008.5833 -2.509681e-01 -0.2690584391
2008.6667 -8.486994e-02 -0.0830326394
2008.75 -2.427550e-01 -0.2355857794
2008.8333 -2.614969e-02 -0.0327032478
2008.9167 3.170452e-02 0.0338196434
2009 -1.785669e-02 -0.0169551493
2009.0833 1.754901e-01 0.1741550281
2009.1667 2.141007e-01 0.2106863459
2009.25 4.336945e-02 0.0462089109
2009.3333 1.524330e-02 0.0185508625
2009.4167 1.793475e-01 0.1745042992
2009.5 4.601489e-02 0.0443953673
2009.5833 9.165298e-02 0.0921289581
2009.6667 -2.343579e-02 -0.0197096065
2009.75 9.278932e-02 0.0890746368
2009.8333 5.220107e-02 0.0522490144
2009.9167 -7.792433e-02 -0.0793156364
2010 5.800923e-02 0.0584764120
2010.0833 1.059303e-01 0.1088934986
2010.1667 9.228668e-02 0.0936693801
2010.25 -1.127058e-02 -0.0118298243
2010.3333 -3.740120e-02 -0.0355911360
2010.4167 2.236828e-02 0.0223822295
2010.5 -6.287750e-02 -0.0621291527
2010.5833 1.362159e-01 0.1384747861
2010.6667 7.908755e-02 0.0764585329
2010.75 4.878226e-02 0.0469145831
2010.8333 4.100535e-02 0.0404433543
2010.9167 2.388402e-02 0.0268719557
2011 4.346708e-02 0.0430513496
2011.0833 3.729775e-02 0.0312203741
2011.1667 -5.462792e-03 -0.0044777604
2011.25 4.014167e-03 0.0029370710
2011.3333 8.829656e-03 0.0046129613
2011.4167 9.590898e-02 0.1002403454
2011.5 -2.223506e-02 -0.0214452141
2011.5833 -1.934023e-02 -0.0182503983
2011.6667 8.690008e-02 0.0838966523
2011.75 -2.122579e-02 -0.0247224399
2011.8333 5.735235e-02 0.0574003574
2011.9167 8.737393e-02 0.0900454326
2012 1.124280e-01 0.1184119775
2012.0833 1.156220e-01 0.1136459775
2012.1667 -5.778138e-03 -0.0082186524
2012.25 4.471588e-02 0.0447158813
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.