Description Usage Arguments Details Value Examples
View source: R/Return.result.R
This function using Return.Portfolio function
1 | Return.result(R, weight = NULL, fee = 0)
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R |
An xts, vector, matrix, data frame, timeSeries or zoo object of asset returns |
weight |
A time series or single-row matrix/vector containing asset weights, as decimal percentages, treated as beginning of period weights. |
fee |
Buy/Sell fee, cost, and tax. |
Using a time series of returns and weights for each asset, this function calculates the returns of a portfolio with the Gross Return, Net Return (after fee), and Turnover of Portfolio.
gross is before cost, net is after cost, and turnover is turnover rate
1 2 3 4 5 | ret = asset_data[,c(1,5)]
portfolio = Return.result(ret)
port_gross = portfolio$gross
port_net = portfolio$net
port_turnover = portfolio$turnover
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