calc_strat_wt_return | R Documentation |
Calculate weighted return of strategies
calc_strat_wt_return(strat_df, asset_returns)
strat_df |
A dataframes for each strategy with their corresponding timeseries sizes in percent or month-weighted sizes. Columns should be 'date', 'strategy', 'instrument', 'size' |
asset_returns |
A dataframe with time-series returns of all instruments with column name as the 'identifier' |
A dataframe containing the time-series daily return of all instruments
portfolios <- build_strategies(demo_strategies, as.Date("2016-01-01"), as.Date("2018-12-07")) dur <- demo_duration actual_pf_size <- convert_dur_size(portfolios$actual, portfolios$summary, dur) ret <- demo_return calc_strat_wt_return(actual_pf_size, ret) # With Bloomberg portfolios <- build_strategies(demo_strategies) dur <- get_dur_bbg(portfolios$summary) actual_pf_size <- convert_dur_size(portfolios$actual, portfolios$summary, dur) ret <- get_ret_bbg(portfolios$summary) calc_strat_wt_return(actual_pf_size, ret)
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