calcRandHistReturns: Calculate Random Returns Using Historical Data

In rexmacey/aasim: Asset Allocation Simulation

Calculate Random Returns Using Historical Data

Description

Returns a blend of stock and bond returns. The stocks are weighted by stockWt and bonds by (1 - stockWt). In addition, the inflation rate is returned. Both of these have 1 a added to them so 4% will return as 1.04. The resulting returns and inflation rates will represent one year periods. There will be n of these

Usage

calcRandHistReturns(
  n,
  stockWt,
  nConsecMonths = 12,
  retAdj = 0,
  sbiSub,
  seed = NA
)

Arguments

n	n Number of 1 year returns and inflation rates to generate
stockWt	stockWt Weighting to stocks. Bonds will be 1 - StockWt. Enter 60% as 0.60.
nConsecMonths	Number of consecutive months. Default is 12. Must be 1, 2, 3, 4, 6, or 12.
retAdj	An adjustment to the return (not inflation). To reduce all returns by 1%, enter 0.01.
sbiSub	Subset of sbi table restricted by the min and max dates of the simulation
seed	Random seed

Details

The sbi should include Month, Stocks, Bonds, and Inflation. Data is in decimal (enter 8% as 0.08)

The nConsecutiveMonths must be 1, 2, 3, 4, 6, or 12. For example, if it is 4, then 3 random draws of 4 consecutive months will be used to produce the one year result. The same months are used for the return and inflation.

Value

n observations of two columns; return and inflation. These have 1 added to them so 4% will return as 1.04.

Examples

## Not run: calcRandHistReturns(30, 0.6)

rexmacey/aasim documentation built on Oct. 29, 2024, 9:30 a.m.