calc_active_risk: Calculate active risk given return of strategies and weight...

In yunching/tidymas: A collection of RMD utilities

Calculate active risk given return of strategies and weight of the strategies

Description

Calculate active risk given return of strategies and weight of the strategies

Usage

calc_active_risk(unwt_ret, curr_wt, start_date = today() - years(10),
  end_date = today(), annualize_factor = 250)

Arguments

unwt_ret	dataframe of returns of strategies with columns 'date', 'strategy', 'return'
curr_wt	dataframe of weights with columns 'strategy', 'size'
start_date	start_date for calc of active risk
end_date	end_date
annualize_factor	factor to multiply by to convert to annual. 250 for daily data (default) and 12 for monthly data

Value

list containing 'cov_matrix', 'port_sd' (portfolio std dev), 'active_risk', 'marginal_risk'

Examples

portfolios <- build_strategies(demo_strategies,
  start_date = as.Date("2016-01-01"),
  end_date = as.Date("2018-12-07"))
sim_pf_size <- convert_dur_size(portfolios$sim, portfolios$summary, demo_duration)
wt_return <- calc_strat_wt_return(sim_pf_size, demo_return)
headline_size <- calc_strat_headline_size(sim_pf_size)
unwt_return <- calc_strat_unwt_return(wt_return, headline_size)
curr_wt <- get_strat_size(headline_size, as.Date("2018-01-05"))
calc_active_risk(unwt_return, curr_wt, as.Date("2017-06-01"), as.Date("2018-06-01"))

yunching/tidymas documentation built on Feb. 5, 2023, 1:42 p.m.