GenTurnover: Generate two way turnover
In hughshuwang/isocyanate: isocyanate (R-N=C=O)
Description
Usage
Arguments
Value
Description
Generate two way turnover
Usage
1
GenTurnover(bop.weight, returns)
Arguments
bop.weight
single xts object of Beginning of Period Weights,
each column represents one assets
returns
xts object of log returns, same periodicity and size
as bop.weight
Value
average monthly two-way turnover rate, sum long and short changes
in weights when rebalancing annualized
hughshuwang/isocyanate documentation built on May 30, 2019, 7:17 a.m.
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Description Usage Arguments Value
Description
Generate two way turnover
Usage
1 | GenTurnover(bop.weight, returns)
|
Arguments
bop.weight |
single xts object of Beginning of Period Weights, each column represents one assets |
returns |
xts object of log returns, same periodicity and size as bop.weight |
Value
average monthly two-way turnover rate, sum long and short changes in weights when rebalancing annualized
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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