[R-SIG-Finance] Return.rebalancing contemporaneous calculation

[Charles Duranceau]

Hi,
I'm working with "Performance Analytics" for calculating portfolio returns using the function Return.rebalancing. I don't understand why the results - portfolio returns - are lagged by 1 period when compared to Return.portfolio (assuming weight are time invariant).

I read the definition that explain the rebalancing is taken place in the next period but since the input are returns (like in  Return.portfolio) they should be consolidated on same period.
Is there a way not losing the first input?

Here few lines to illustrate my question

pfmf2003<-Return.rebalancing(mfr2003,wghts1)
pfstat<-Return.portfolio(mfr2003,c(1,0))
** wghts1 = 1 for the period

Results
                        portfolio.Rebal       portfolio.returns.
2003-05-31      0.0087336245         0.203679369
2003-06-30      0.1093073593         0.008733624
2003-07-31     -0.0351219512         0.109307359
2003-08-31     -0.0404448938        -0.035121951
2003-09-30     -0.0063224447        -0.040444894



many thanks

Charles


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