makeEigenAssets: Create a time series of synthetic assets built from principal...

In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description

This function takes a set of asset returns and applies the weights from the eigen vectors of the asset returns. These 'synthetic assets' can then be compared to factors or manipulated in other useful ways.

Usage

makeEigenAssets(R, rotation = prcomp(R)$rotation)

Arguments

R	an xts object containing a time series of asset returns.
rotation	an optional matrix containing the eigen vectors derived from the assets.

Details

The calculation is just the matrix multiplication of R and the rotation matrix of R derived from PCA.

Value

an xts object of synthetic 'eigen assets.'

gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.