alg_VT: Volatility Timing Algorithm (VT)

In ngloe/olpsR: Algorithms and functions for On-line Portfolio Selection

Description

computes the Volatility Timing Algorithm by Kirby and Ostdiek (see references).

Usage

alg_VT(prices)

Arguments

prices

Matrix of asset prices

Value

Object of class OLP containing

Alg	Name of the Algorithm
Names	vector of asset names in the portfolio
Weights	calculated portfolio weights as a vector
Wealth	wealth achieved by the portfolio as a vector
mu	exponential growth rate
APY	annual percantage yield (252 trading days)
sigma	standard deviation of exponential growth rate
ASTDV	annualized standard deviation (252 trading days)
MDD	maximum draw down (downside risk)
SR	Sharpe ratio
CR	Calmar ratio

see also print.OLP, plot.OLP

Note

The print method for OLP objects prints only a short summary.

References

Kirby, C. & Ostdiek, B., It's All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification. Journal of Financial and Quantitative Analysis, 2012, 47, 437-467

Examples

# load data
data(NYSE)
x = cbind(comme=NYSE$comme, kinar=NYSE$kinar)
q = get_asset_prices(x)
# compute Volatility Timing algorithm
VT = alg_VT(q); VT
plot(VT)

ngloe/olpsR documentation built on May 23, 2019, 4:42 p.m.