[R-SIG-Finance] style.fit by month

[René Naarmann]

Hi R-users,

it is the first time for me writing to this group. I would be grateful 
if somebody could help me to find
a solution to my problem.

I am working on my final thesis and I would like to analyse the impact 
of return frequency
using return-based style analysis. Specifically I would like to 
calculate attributable returns. An attributalbe return
is the difference between the realised return of a fund and the forecast 
from using the estimated style coefficients
multiplied by the respective indexseries.

I am using the implemented functions for style analysis in the 
PerformanceAnalytics Package.
I would like to use the quadratic programming algorithm just for each 
day in a specific month, i.e.
use the daily returns from january to calculate the style weigths. This 
should be done month by month.
In the next step the calculation should include two months of data and 
calculate the style weigths month by month.

So far I tried to usw apply.month in combination with style.fit. This 
returns the same results for each month.
In the next step I tried to use some code out of chart.RollingStyle. I 
change it for my purpose and
receive the style weights in a rolling calculation and could enable the 
by option. So I get styleweights
over a specific width and could shift the calculation by a specified 
block, i.e. calculate styleweigths
for 20 days shifting this calculation by the next 20 days. What I would 
like to have is a shifting by month
to use the last month realised daily returns to forecast the style 
weigths for the next month.

Has somebody an idea how to handle this problem?
Thank you in advance

René Naarmann

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E-Mail: rene.naarmann at mnet-online.de