rbsa_bootstrap: Bootstrap of returns-based style analysis (RBSA)

In rexmacey/fundAnalysis: Provides Analytics on Mututal Funds and ETFs

Description

Bootstrap of returns-based style analysis (RBSA)

Usage

rbsa_bootstrap(r.fund, r.style, n = 120L, method = "normalized",
  leverage = TRUE, width = 30, selection = "AIC", scale = 12,
  seed = NULL)

Arguments

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.

Value

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.

Examples

rbsa_rolling(r.fudn, r.style)

rexmacey/fundAnalysis documentation built on Dec. 2, 2019, 5:50 p.m.