tactical_JPM5: Calculates asset allocations for the JPMorgan ETF Efficiente®...

In rubetron/AssetAllocation: Backtesting Simple Asset Allocation Strategies

Calculates asset allocations for the JPMorgan ETF Efficiente® 5 portfolio.

Description

tactical_JPM5 determines asset allocations using a replication of the JPMorgan ETF Efficiente® 5 index methodology described in publicly available documentation (<https://sp.jpmorgan.com/spweb/content/307403.pdf>).

Usage

tactical_JPM5(strat, reb_date, P, R, risk_free = NULL)

Arguments

strat	A list representing an asset allocation strategy.
reb_date	A date on which the allocation rule is applied.
P	An xts object with daily prices of the tickers in strat.
R	An xts object with daily returns of the tickers in strat.
risk_free	Either an xts object with daily returns of the risk-free asset, or a scalar numeric with the annual risk-free rate in decimals.

Details

The strategy uses a window of six months of daily data to compute inputs to perform a constrained mean-variance optimization. It relies on the mvFrontier function from the NMOF package.

Value

A numeric vector of weights after applying the rule.

Examples

JPM_Eff5  <- asset_allocations$tactical$JPM_Eff5
reb_date <- as.Date("2022-03-31")
tactical_JPM5(JPM_Eff5, reb_date, ETFs$Prices[, JPM_Eff5$tickers], ETFs$Returns[, JPM_Eff5$tickers])

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