getrtn.LSH: getrtn.LSH

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

Description

get the rtn.LSH object from the PB object.

Usage

getrtn.LSH(PB.L, PB.S, hedge.rebFreq = "month", hedge.posi = 1,
  fee.long = 0, fee.short = 0)

Arguments

PB.L	a PB object of the long portfolio
PB.S	a PB object of the short portfolio
hedge.rebFreq	giving the rebalance freq when computing the hedged rtn.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.
hedge.posi	a numeric, giving the position of the hedging assets
fee.long	a numeric, giving the fee of long asset
fee.short	a numeric, giving the fee of short asset

Value

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

Author(s)

Ruifei.Yin

See Also

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

Examples

port.L <- getPort(TSF,20, dir="long")
port.S <- getPort(TSF,20, dir="short")
PB.L <- port.backtest(port.L)
PB.S <- port.backtest(port.S)
re <- getrtn.LSH(PB.L,PB.S)

raphael210/RFactorModel documentation built on May 26, 2019, 11:06 p.m.