[R-SIG-Finance] Backing out a portfolio snapshot?

[Ilya Kipnis]

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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