tactical_TrendFriend: Returns allocations for the Ivy Portfolio on a given date

In rubetron/AssetAllocation: Backtesting Simple Asset Allocation Strategies

Returns allocations for the Ivy Portfolio on a given date

Description

tactical_TrendFriend determines asset allocations for a strategy according to the strategy in Clare et al (2016, <https://doi.org/10.1016/j.jbef.2016.01.002)>.

Usage

tactical_TrendFriend(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

Details

The allocation strategy proposed in the paper is based on using a a time series momentum rule to select assets from a universe, and an allocation rule which gives weights proportional to the inverse volatility of the assets. The time-series (trend) momentum rule is based on whether the price of the asset on the rebalancing date is above its 10-month moving average. If not, the corresponding allocation in strat$default_weights is set to zero ( and is therefore allocated to the risk-free asset).

Value

A numeric vector of weights after applying the rule.

Examples

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

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