rebal: Portfolio rebalance

In alejandro-sotolongo/InvestmentSuite: Investment Asset and Portfolio Time-Series Analysis

Description

Portfolio rebalance

Usage

rebal(
  ret,
  ret_freq,
  wgt = NA,
  reb_freq = NA,
  date_start = NA,
  date_end = Sys.Date(),
  t_cost = 0
)

Arguments

ret	data.frame containing return time-series
ret_freq	character to represent frequency of ret
wgt	rebalance weights, see details
reb_freq	rebalance frequency, see detials
date_start	starting date to truncate portfolio returns
date_end	ending date to truncate portfolio returns
t_cost	optional numeric vector to specify transaction costs, see details

Details

The rebalance weight parameter wgt can be entered as a numeric vector of weights that correspond to each asset in ret or a data.frame containing a time-series of weights with dates in the first column similar to ret. If a numeric vector is entered reb_freq will specify how often the portfolio is rebalanced back to the target weights. If reb_freq is left as NA then a buy-and-hold strategy is assumed with no rebalances. If t_cost is a single value then it's assumed all assets have the same transaction cost. Otherwise a numeric vector that corresponds to each asset can be specified. Finally, note that if wgt is left as NA an equal weight portfolio will be assumed.

Value

list containing portfolio returns, asset returns, and asset weights

alejandro-sotolongo/InvestmentSuite documentation built on Jan. 19, 2020, 5:20 p.m.