portfolio.turnover: Calculate Sub-Portfolio Turnover

In portsort: Factor-Based Portfolio Sorts

Description

Calculates sub-portfolio turnover between each rebalancing period.

Usage

portfolio.turnover(sort.output)

Arguments

sort.output

object returned from either the conditional.sort or unconditional.sort function.

Details

This function calculates the turnover within each sub-portfolio over time and returns a list containing the turnover values and the mean turnover across time.

Value

Turnover	xts object of turnovers for each rebalancing point.
Mean Turnover	mean turnover for each sub-portfolio averaged over time.

Author(s)

Jonathan Spohnholtz and Alexander Dickerson

Examples

# Load the included data
library(portsort)
data(Factors)

# Specifiy the sort dimension - in this case, a double-sort on lagged returns and Bitcoin volumes
dimA = 0:3/3
dimB = 0:3/3

# Specify the factors
# Lagged returns, lagged volumes are stored in the Factors list
R.Forward = Factors[[1]]; R.Lag = Factors[[2]]; V.Lag = Factors[[3]]

# Subset the data from late 2017
R.Forward = R.Forward["2017-12-01/"]
R.Lag = R.Lag["2017-11-30/2018-09-05"]
V.Lag = V.Lag["2017-11-30/2018-09-05"]

Fa = R.Lag
Fb = V.Lag

# Conduct an unconditional sort (in this case) or a conditional sort
sort.output = unconditional.sort(Fa = Fa, Fb = Fb , R.Forward = R.Forward, dimA = dimA, dimB = dimB)

# Compute Turnover by passing the sort.output object to the turnover function
sort.turnover = portfolio.turnover(sort.output)

portsort documentation built on May 2, 2019, 6:36 a.m.