rbsa_rolling: Returns-based style analysis (RBSA) over a rolling window

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

Description

Returns-based style analysis (RBSA) over a rolling window

Usage

rbsa_rolling(r.fund, r.style, s = NULL, e = NULL, n = NULL,
  method = "normalized", leverage = TRUE, width = 30, selection = "AIC",
  scale = 12)

Arguments

r.fund	Fund returns (xts)
r.style	Style returns (xts)
s	Start date
e	End date
n	Number of Observations
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

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.fund, r.style)

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