addrtn.hedge: addrtn.hedge
In raphael210/RFactorModel: A quantative tool for investment by factor Model

Description Usage Arguments Details Value Author(s) See Also Examples

Add the hedged return on the long and short return series.

1 2	addrtn.hedge(rtn.long, rtn.short, rebFreq = "month", weight = c(1, -1), fee.long = 0, fee.short = 0)

`rtn.long`	an xts,timeSeries or zoo object of long portfolio returns,which must be 1 column
`rtn.short`	an xts,timeSeries or zoo object of benchmark or short portfolio returns,which must be 1 column
`rebFreq`	an interval specification, one of "day", "week", "month", "quarter" and "year", optionally preceded by an integer and a space, or followed by "s".See `cut.Date` for detail.
`weight`	a time series or single-row matrix(vector) containing asset weights. If a vector,the weights time series will be computed automatically via different rebFreq. See example for detail.
`fee.long`	a numeric, giving the Unilateral transaction fee of long asset
`fee.short`	a numeric, giving the Unilateral transaction fee of short asset

Note that the rowsum of weight is not required to be equal to 1. If the portfolio is not full position, then the sum of weight could be smaller than 1; If credit and short is allowed, then the sum of weight could be smaller than 0 or larger than 1.

a rtn.LSH object of class xts,giving the return series of long,short and hedge, with attr of 'rebtrade' and 'fee'.

Ruifei.Yin

Other LSH-frame building functions: getrtn.LBH, getrtn.LSH, getrtn.bmk

rtn.long <- zoo(rnorm(1000,0.001,0.02),as.Date("2010-01-01")+1:1000)
rtn.short <- rtn.long + rnorm(1000,-0.0001,0.003)
rebFreq <- "month"
# use the default weight: full position hedging, rebalancing by month
re <- addrtn.hedge(rtn.long,rtn.short,rebFreq,c(1,-1))
# 70 percent postion hedging,rebalancing by month
re2 <- addrtn.hedge(rtn.long,rtn.short,rebFreq,c(0.7,-0.7))
# use the time series weight
wgt.idx <- unique(as.Date(cut(zoo::index(rtn.long),"month")))
wgt <- xts(matrix(rep(c(0.7,-0.7),each=length(wgt.idx)),length(wgt.idx),2),wgt.idx)
re3 <- addrtn.hedge(rtn.long,rtn.short,weight=wgt) # the same as re2