R/turnover.R

In kecoli/PCRM: Companion to Portfolio Construction and Risk Management

#' Turnover
#' turnover is the function to calculate a times series of n-1 turn-over
#' values for a times of n portfolio weight vectors, where the turnover
#' from time i to time i+1 is the sum of the absolute differences 
#' between the portfolio weights at time i and time i+1
#' 
#' @param weights 
#'
#' @return
#' @export
#'
#' @examples
turnover = function(weights){
  dates = index(weights)
  weights=coredata(weights)
  n.asset=ncol(weights)
  n.dates=nrow(weights)
  if(n.dates<2){
    print("Less than 2 balancing dates!")
    return()
  }
  TurnOver=rep(0,n.dates-1)
  for(i in 1:length(TurnOver)){
    TurnOver[i]=sum(abs(weights[i+1,]-weights[i,]))
  }
  dates=dates[-1]
  res=zoo(TurnOver,order.by = dates)
  res
}