CHP_factor-methods: Commercial hedging pressure (CHP) factor

In bautheac/factorem: factor'em!

Description

Provided with futures contract front price and term structure aggregated position data from Bloomberg retrieved with pullit, construct commercial hedging pressure factor. The futures commercial hedging pressure factor is based on the well-known hedging pressure-based theory \insertCiteanderson_hedger_1983,chang_returns_1985,cootner_returns_1960,dusak_futures_1973,hicks_value_1939,hirshleifer_risk_1988,hirshleifer_determinants_1989,hirshleifer_hedging_1990,kolb_is_1992,keynes_treatise_1930factorem which postulates that futures prices for a given commodity are inversely related to the extent that commercial hedgers are short or long and the mimicking portfolio here aims at capturing the impact of hedging pressure as a systemic factor \insertCitebasu_capturing_2013factorem.

Usage

CHP_factor(
  price_data,
  CHP_data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 6L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

## S4 method for signature 'FuturesTS,FuturesCFTC'
CHP_factor(
  price_data,
  CHP_data,
  update_frequency = "month",
  return_frequency = "day",
  ranking_period = 6L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F
)

Arguments

price_data	an S4 object of class FuturesTS. FuturesTS objects are returned by the BBG_futures_TS function in the pullit package.
CHP_data	an S4 object of class FuturesCFTC. FuturesCFTC objects are returned by the BBG_futures_CFTC function in the pullit package.
update_frequency	a scalar character vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month' or 'week'. Defaults to 'month'.
return_frequency	a scalar character vector. Specifies the frequency of the returns output. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. Defaults to 'day'.
ranking_period	a scalar integer vector. Specifies number of periods in term of update_frequency looking backward for average CHP calculation. Defaults to 1 where sort is done on last observation only.
long_threshold	a scalar numeric vector. Specifies the threshold for short positions. Default: 0.5.
short_threshold	a scalar numeric vector. Specifies the threshold for long positions. Default: 0.5.
weighted	a scalar logical vector. If 'TRUE' adjusts portoflio weights with respect to pressure, else equal weights are used. Defaults to 'FALSE'.

Value

An S4 object of class CHPFactor.

References

\insertAllCited

bautheac/factorem documentation built on June 7, 2021, 12:11 p.m.