getPortfolioReturns: Utility functions for creating portfolios of returns and...

In zatonovo/tawny: Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization

Description

Gets portfolio returns from closing prices (configurable). This uses quantmod under the hood to retrieve prices and construct returns based on a configurable transform.

Also included is a function that returns the composition of select indexes that can be used in conjunction with getPortfolioReturns() to get the underlying returns of the given index.

Additionally, there is a utility function that ensures that symbols have been properly loaded.

Usage

getIndexComposition(ticker = '^GSPC', hint = NA, src = 'yahoo')

getPortfolioReturns(symbols, obs = NULL, start = NULL, end = Sys.Date(),
  fun = function(x) Delt(Cl(x)), reload = FALSE, na.value = NA, ...)

ensure(serie, src = 'FRED', reload = FALSE, ...)

Arguments

ticker	The ticker of the index. For best mileage, use Yahoo! compatible tickers (including the caret prefix).
hint	A hint that specifies the number of assets in the index. If omitted, a default will be used based on pre-configured data for common indexes.
src	The data vendor to use. Defaults to yahoo but could work with google
symbols	A vector (or scalar) of tickers to download
obs	The number of observations to get
start	Alternatively, a start date can be used to specify the beginning of a range to download.
end	The end date of the range. Defaults to current date.
fun	A transform applied to the downloaded data. The default is to calculate returns on the close.
reload	Whether to reload data or just download missing data
na.value	What value to use if the resulting portfolio has NAs. The default is to omit any assets containing NA values.
serie	A vector (or scalar) of tickers to ensure exist in the current environment
...	Additional parameters to pass to getSymbols

Details

Typically only getPortfolioReturns and getIndexComposition will be used on a regular basis.

Ensure isn't as useful as initially conceived given that naming collisions have caused numerous issues. The code now uses auto.assign=FALSE in the underlying getSymbols call.

Value

getPortfolioReturns returns a TxM xts object of asset returns.

getIndexComposition returns a vector of asset symbols (i.e. tickers).

ensure returns nothing.

Author(s)

Brian Lee Yung Rowe

See Also

tawny

Examples

## Not run: 
# Get a portfolio
h <- getPortfolioReturns(c('A','AA','AAPL'), obs=150)

# Get an index portfolio
h <- getPortfolioReturns(getIndexComposition('^DJI'), obs=100, reload=TRUE)

# Doesn't work because of numerical symbols - need to fix
#h <- getPortfolioReturns(getIndexComposition('^HSI'), obs=100, reload=TRUE)

# Ensure that some assets exist
ensure(c('K','JNPR'), src='yahoo')

## End(Not run)

zatonovo/tawny documentation built on May 4, 2019, 9:12 p.m.