rafi.cma: Load RAFI data into a cma

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

This function reads a set of returns and correlations downloaded from the RAFI website. Combined with assumptions about the investor, a cma object is returned representing capital market assumptions. RAFI files are in CSV format through April 2017. From May 2017 they use a XLSX format.

Usage

rafi.cma(version = "v2", rafi.data.loc,
  acnametable = "acname_table.xlsx",
  xls.file.name = "Asset-Allocation-Interactive-Data.xlsx",
  file.ret = "core_asset_class_expected_returns.csv",
  file.corr = "core_asset_class_correlations_forecasted.csv",
  inflation.rate = NULL)

Arguments

version	Version (either v1 or v2). Use v1 if RAFI files are in CSV format through April 2017. From May 2017 they use a XLSX format.
rafi.data.loc	Folder in which the RAFI input files are located
acnametable	Name of csv or xlsx file containing asset class details
xls.file.name	Name of XLSX RAFI files
file.ret	CSV file name with return assumptions
file.corr	CSV file name with correlation assumptions
inflation.rate	Default calls the function Get10YrBEInflationRate

Value

A cma object which is a list containing the as_of_date of the assumptions, the nclasses (number of classes), ac.data which is a table in which each row represents and asset class and columns contain return, risk and tax information. This table also includes box and custom constraints There is also corr the correlation matrix, and/or cov for the covariance matrix and nconstraints for the number of constraints.

rexmacey/TaxAwareAA documentation built on Dec. 3, 2019, 7:54 a.m.