rafi.cma.v1: Load RAFI data into a cma

In rexmacey/TaxAwareAA: Tax Aware Asset Allocation

Description

This function reads a set of returns and correlations from CSV files downloaded from the RAFI website. Since RAFI may change its file formats, this function may not work as expected in the future. This data takes the raw RAFI estimates wihch are real geometric.

Usage

rafi.cma.v1(rafi.data.loc, acnametable = "acname_table.csv",
  file.ret = "core_asset_class_expected_returns.csv",
  file.corr = "core_asset_class_correlations_forecasted.csv",
  inflation.rate = Get10YrBEInflationRate()$rate)

Arguments

rafi.data.loc	Folder in which the CSV files are located
acnametable	Name of csv file containing asset class details
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.