[R-SIG-Finance] Return.rebalancing and rebalancing on consecutive days

[Paul Ramer]

When I rebalance my portfolio on consecutive days, I get an error:
Error in `[.xts`(result, 2:length(result)) : subscript out of bounds.

So, I wonder what I am doing wrong.

Below is a code snippet both with and without the error. The first is
rebalanced on consecutive days whereas the second one has at least a
day between all rebalancing. I ran debug on Return.rebalancing. With
consecutive rebalancing days, the only thing I could find was the
'from' and 'to' variables had the same date when the 'R' variable was
subset.

data(edhec)
data(weights)

days <- c("2000-05-01 18:00:00 MDT", "2000-05-02 18:00:00 MDT",
          "2000-05-03 18:00:00 MDT", "2000-05-04 18:00:00 MDT",
          "2000-05-07 18:00:00 MDT", "2000-05-08 18:00:00 MDT",
          "2000-05-09 18:00:00 MDT", "2000-05-10 18:00:00 MDT",
          "2000-05-11 18:00:00 MDT", "2000-05-14 18:00:00 MDT",
          "2000-05-15 18:00:00 MDT", "2000-05-16 18:00:00 MDT",
          "2000-05-17 18:00:00 MDT", "2000-05-18 18:00:00 MDT",
          "2000-05-21 18:00:00 MDT", "2000-05-22 18:00:00 MDT",
          "2000-05-23 18:00:00 MDT", "2000-05-24 18:00:00 MDT",
          "2000-05-25 18:00:00 MDT", "2000-05-29 18:00:00 MDT",
          "2000-05-30 18:00:00 MDT", "2000-05-31 18:00:00 MDT")

may.reb <- c("2000-05-09 18:00:00 MDT", "2000-05-10 18:00:00 MDT",
             "2000-05-15 18:00:00 MDT")

may.reb.2 <- c("2000-05-09 18:00:00 MDT", "2000-05-11 18:00:00 MDT",
               "2000-05-15 18:00:00 MDT")

e1 <- edhec[1:length(days), ]
index(e1) <- as.Date(days)

w1 <- weights[1:3, ]
index(w1) <- as.Date(may.reb)
Return.rebalancing(e1, w1)

w2 <- weights[1:3, ]
index(w2) <- as.Date(may.reb.2)
Return.rebalancing(e1, w2)

Session Info:
R version 2.15.2 (2012-10-26)
Platform: i386-w64-mingw32/i386 (32-bit)

locale:
[1] LC_COLLATE=English_United States.1252
[2] LC_CTYPE=English_United States.1252
[3] LC_MONETARY=English_United States.1252
[4] LC_NUMERIC=C
[5] LC_TIME=English_United States.1252

attached base packages:
[1] splines   stats     graphics  grDevices utils     datasets  methods
[8] base

other attached packages:
 [1] reshape_0.8.4              plyr_1.8
 [3] latticeExtra_0.6-24        RColorBrewer_1.0-5
 [5] Hmisc_3.10-1               survival_2.36-14
 [7] PerformanceAnalytics_1.1.0 quantmod_0.4-0
 [9] Defaults_1.1-1             TTR_0.21-1
[11] xts_0.9-3.2                zoo_1.7-10
[13] lattice_0.20-13

loaded via a namespace (and not attached):
[1] cluster_1.14.3  compiler_2.15.2 grid_2.15.2     tools_2.15.2

Any guidance is appreciated.

Thank you,

----
Paul Ramer, CAIA, CFA
paul.ramer at gmail.com
(303) 359-4192