Hi, Let's say I have a snapshot of a portfolio's holdings on a given day, as well as the trades covering the two years up to that date. Does anyone know of an already-made module or toolchain that would allow me to back out the portfolio's holdings on any given day up to that point (but that is obviously covered by the trading data)? While it is a pretty straightforward - and tedious - mechanical exercise, I can see that there might be a twist in that one needs to create the implied cash balance, as all the cash positions are not included (just the ending balance). So I recognize that the result might only be a close approximation. But under the assumption that the portfolio was always effectively fully invested I think the results would be robust. If anyone is aware of a solution out there that is based in R, I'd be appreciative. Regards, Matt Considine
Backing out a portfolio snapshot?
4 messages · Ilya Kipnis, Brian G. Peterson, matt at considine.net
If it's a rebalancing date, then that's just the weights you have assigned to it. Beyond that, I would suggest to take the cumulative product of the returns of your holdings up to the day you're interested in, multiply by your last allocation, and normalize. In regards to cash, shouldn't you be using a separate security for that (EG SHY, TLT, some sort of futures from Quandl, etc.), or at the least, just a column of zeroes in addition to the rest of your assets to denote cash on the sidelines?
On Fri, Feb 6, 2015 at 10:33 AM, <matt at considine.net> wrote:
Hi, Let's say I have a snapshot of a portfolio's holdings on a given day, as well as the trades covering the two years up to that date. Does anyone know of an already-made module or toolchain that would allow me to back out the portfolio's holdings on any given day up to that point (but that is obviously covered by the trading data)? While it is a pretty straightforward - and tedious - mechanical exercise, I can see that there might be a twist in that one needs to create the implied cash balance, as all the cash positions are not included (just the ending balance). So I recognize that the result might only be a close approximation. But under the assumption that the portfolio was always effectively fully invested I think the results would be robust. If anyone is aware of a solution out there that is based in R, I'd be appreciative. Regards, Matt Considine
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Matt, If you have all the trades, or at least the starting position and cost basis, and all the trades after that point, then blotter can do what you want. see ?addTxns #loading everything in in one go and ?getPos # for looking up positions as of a certain time If you don't have the starting position and average cost, you can back into the starting position (but not average cost) by entering all the trades as though you started flat, and taking the difference to your ending position. As to whether you could back out average cost, you'd have to tell us more about your inputs. Regards, Brian
On 02/06/2015 09:33 AM, matt at considine.net wrote:
Hi, Let's say I have a snapshot of a portfolio's holdings on a given day, as well as the trades covering the two years up to that date. Does anyone know of an already-made module or toolchain that would allow me to back out the portfolio's holdings on any given day up to that point (but that is obviously covered by the trading data)? While it is a pretty straightforward - and tedious - mechanical exercise, I can see that there might be a twist in that one needs to create the implied cash balance, as all the cash positions are not included (just the ending balance). So I recognize that the result might only be a close approximation. But under the assumption that the portfolio was always effectively fully invested I think the results would be robust. If anyone is aware of a solution out there that is based in R, I'd be appreciative. Regards, Matt Considine
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Brian G. Peterson http://braverock.com/brian/ Ph: 773-459-4973 IM: bgpbraverock
Thanks for the replies everyone. I'm thinking blotter is what I want to look into. What I have is ending portfolio positions with cash balance and trades for the two years up to that point. What I'm trying to find is an easy way to either create a portfolio "snapshot" for any date given within those two years. Or create a dataset that has all the portfolos in it from which I can select dates. I'm indifferent as to the approach - just looking to leverage what's already there. Thanks, Matt
On 2015-02-06 14:14, Brian G. Peterson wrote:
Matt, If you have all the trades, or at least the starting position and cost basis, and all the trades after that point, then blotter can do what you want. see ?addTxns #loading everything in in one go and ?getPos # for looking up positions as of a certain time If you don't have the starting position and average cost, you can back into the starting position (but not average cost) by entering all the trades as though you started flat, and taking the difference to your ending position. As to whether you could back out average cost, you'd have to tell us more about your inputs. Regards, Brian On 02/06/2015 09:33 AM, matt at considine.net wrote:
Hi, Let's say I have a snapshot of a portfolio's holdings on a given day, as well as the trades covering the two years up to that date. Does anyone know of an already-made module or toolchain that would allow me to back out the portfolio's holdings on any given day up to that point (but that is obviously covered by the trading data)? While it is a pretty straightforward - and tedious - mechanical exercise, I can see that there might be a twist in that one needs to create the implied cash balance, as all the cash positions are not included (just the ending balance). So I recognize that the result might only be a close approximation. But under the assumption that the portfolio was always effectively fully invested I think the results would be robust. If anyone is aware of a solution out there that is based in R, I'd be appreciative. Regards, Matt Considine
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.