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

[Jeff Ryan]

Not having tried your code from my phone, you can start by setting TZ to UTC

Ideally the data source is agnostic on this but a simple fix should be Sys.setenv(TZ='UTC')

HTH
Jeff

Jeffrey Ryan    |    Founder    |    jeffrey.ryan at lemnica.com

www.lemnica.com

On Mar 2, 2013, at 7:18 PM, Paul Ramer <paul.ramer at gmail.com> wrote:

> 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
> 
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