tactical_ivy: 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_ivy determines asset allocations for a strategy according to the Ivy Portfolio rule of Faber (2013, ISBN:978-1118008850).

Usage

tactical_ivy(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 function compares prices at the end of a month to their moving averages. If the price of an asset is below its moving average, the corresponding allocation in strat$default_weights is set to zero.

Value

A numeric vector of weights after applying the rule.

Examples

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

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