Description Usage Arguments Value
Get return time series for factor as well as for long and short legs independently.
1 2 3 4 5 6 7 8 | factor_returns(
data,
positions,
update_frequency,
return_frequency,
price_variable,
weighted
)
|
data |
a dataframe/tibble. Columns must include |
positions |
a dataframe/tibble. Returned by function
|
update_frequency |
a scalar character vector. Specifies the rebalancing frequency. Must be one of 'year', 'semester', 'quarter', 'month', 'week' or 'day'. 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'. |
price_variable |
a scalar character vector. Specifies the name
of the variable hosting asset prices. Must be found in the
|
A data.table
with factor returns by
date and factor leg. Columns include date
, name
and
position
.
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