# TO 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
TO = 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
}
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