Description Usage Arguments Value Examples
Bootstrap of returns-based style analysis (RBSA)
1 2 3 | rbsa_bootstrap(r.fund, r.style, n = 120L, method = "normalized",
leverage = TRUE, width = 30, selection = "AIC", scale = 12,
seed = NULL)
|
r.fund |
Fund returns |
r.style |
Style returns |
n |
Number of trials (bootstrap) |
method |
Method from Factor Analyticss package's style.fit function |
leverage |
Leverage from Factor Analyticss package's style.fit function |
width |
Number of observations in a window |
selection |
Selection from Factor Analytics package's style.fit function |
scale |
Number of periods in a year |
seed |
If not NULL (default) this is used in the set.seed function. |
List containing: weights - xts object with one row per moving window containing the weights; meanSDofWeights - mean of the standard deviation of the columns of the weights. Lower values represent more consistency of the weightings of the styles; regressStats - xts of the regression stats for each window including the rsquared (R2), tracking error (TE), mean absolute error (MAE), and root mean square error (RMSE); fundReturn are the returns of the fund over each window; benchReturn are the returns of a benchmark defined by the style weight of the window (returns are annualized for periods exceeding one year); excessReturn is the fund return less the benchmark return.
1 | rbsa_rolling(r.fudn, r.style)
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