asset_allocations: Pre-loaded Static and Tactical Asset Allocations

In rubetron/AssetAllocation: Backtesting Simple Asset Allocation Strategies

Pre-loaded Static and Tactical Asset Allocations

Description

Basic static and tactical asset allocation strategies that work with the pre-loaded data in the object ETFs. Each element is itself a list with the following fields: name, tickers, default_weights, rebalance_frequency, portfolio_rule_fn.

The static allocations included are:

• United States 60/40 portfolio

• Golden Butterfly portfolio

• Rob Arnott Portfolio

• Global Asset Allocation

• Permanent Portfolio

• Desert Portfolio

• Larry Portfolio

• Big Rocks Portfolio

• Sandwich Portfolio

• Balanced Tax Aware Portfolio

• Balanced Portfolio

• Income with Growth Portfolio

• Income with Growth Tax Aware Portfolio

• Conservative Income

• Conservative Income Tax Aware

• All Weather Portfolio

The tactical asset allocations included are:

• Ivy Portfolio

• Robust Asset Allocation

• Dual Momentum

• Adaptive Asset Allocation

• The Trend is Your Friend (original)

• The Trend is Your Friend (real risk parity)

• JPMorgan Efficiente 5

Usage

data("asset_allocations")

Format

Object of class "List" with two fields containing static and tactical asset allocations, respectively. Each asset allocation is represented by a list with the following fields: ..$ name : chr ..$ tickers : chr ..$ default_weights : num ..$ rebalance_frequency: chr (default is "month") ..$ portfolio_rule_fn : chr (default is "identity")

Examples

data(asset_allocations)
# basic static allocation is the U.S. 60/40 portfolio:
us_60_40 <- asset_allocations$static$us_60_40

# basic tactical allocation is the Ivy portfolio:
ivy <- asset_allocations$tactical$ivy

rubetron/AssetAllocation documentation built on Dec. 2, 2023, 12:57 a.m.