factor_returns: Get return time series for factor as well as for long and...

In bautheac/factorem: factor'em!

Description

Get return time series for factor as well as for long and short legs independently.

Usage

factor_returns(
  data,
  positions,
  update_frequency,
  return_frequency,
  price_variable,
  weighted
)

Arguments

data	a dataframe/tibble. Columns must include name, date, field and value.
positions	a dataframe/tibble. Returned by function factor_positions.
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 field columns of data.

Value

A data.table with factor returns by date and factor leg. Columns include date, name and position.

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