momentum_factor-methods: Construct momentum factor
In bautheac/factorem: factor'em!

Description Usage Arguments Value References

Provided with futures contract front or equity price data from Bloomberg retrieved with pullit, construct momentum factor. The momentum factor sorts on prior asset returns and is popular in the equity \insertCitecarhart1997persistence,fama2012sizefactorem as well as commodity futures \insertCitemiffre2007momentumfactorem asset pricing literature.

momentum_factor(
  data,
  update_frequency = "week",
  return_frequency = "day",
  ranking_period = 4L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F,
  risk_adjusted = F
)

## S4 method for signature 'FuturesTS'
momentum_factor(
  data,
  update_frequency = "week",
  return_frequency = "day",
  ranking_period = 4L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F,
  risk_adjusted = F
)

## S4 method for signature 'EquityMarket'
momentum_factor(
  data,
  update_frequency = "week",
  return_frequency = "day",
  ranking_period = 4L,
  long_threshold = 0.5,
  short_threshold = 0.5,
  weighted = F,
  risk_adjusted = F
)

`data`	an S4 object of class `FuturesTS` or `EquityMarket`. `FuturesTS` and `EquityMarket` objects are returned by the `BBG_futures_TS` and `BBG_equity_market` functions from the pullit package respectively.
`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 price return calculation. Defaults to 1 where sort is done on last observed return.
`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 sorting variable values, else equal weights are used. Defaults to 'FALSE'.
`risk_adjusted`	a scalar `logical` vector. If 'TRUE' returns a reward/risk mometum factor, else returns a classic momentum factor. Defaults to 'FALSE'.