Return.portfolio issue
Hi, So if all the assets are shorted in one period and sum of the weights equals -1 (as was the case in my example but hidden columns), the dummy variable's weight is 2? Thanks, Nicolas
On 29 May 2017 16:10, "Ilya Kipnis" <ilya.kipnis at gmail.com> wrote:
Weights need to sum to 1 at every period. Create a dummy asset with return of 0 and assign it a weight of 1 - rowSum(weights) and things will work. On Mon, May 29, 2017 at 5:49 AM, Brian G. Peterson <brian at braverock.com> wrote:
On 05/29/2017 02:32 AM, ROUX, Nicolas wrote:
Hello all, I am trying to backtest a long/short portfolio using Return.Portfolio but am running into some sort of error, or I do not fully understand how to use return.portfolio. For a quarterly rebalancing of shorts, I am providing monthly returns, a set of negative weights in an xts format on quarter dates (created by to.period), the final argument is rebalance_on="quarters". The result is an set of regular zigzags where the position changes too regularly. Inline images 2 The code:
<...> This isn't exactly a reproducible example. Here is a reproducible example: require(PerformanceAnalytics) data(edhec) data(weights) sweights <- -1 * weights pr <- Return.rebalancing(R=edhec, weights=sweights) charts.PerformanceSummary(pr) It is clearly a bug. We'll take a look. **
I am not sure I understand how the short weights work? Perhaps I should just use positive weights and minus the returns afterwards? Any help much appreciated. Nicolas Roux
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