[R-SIG-Finance] Adding transaction fees to Return.portfolio
ilya.kipnis at gmail.com
Tue May 10 21:53:13 CEST 2016
Essentially, given a change in weights over any period, you can apply your
own custom transaction costs to the difference in weights.
On Tue, May 10, 2016 at 3:52 PM, Ilya Kipnis <ilya.kipnis at gmail.com> wrote:
> There's actually a way to compute turnover with Return.portfolio, with
> verbose = TRUE. It returns end of period weights, and beginning of period
> weights, so the turnover can be computed as beginWeights - lag(endWeights).
> On Tue, May 10, 2016 at 3:50 PM, Robert Wages <robert at rwages.com> wrote:
>> Return.portfolio is an easy function to use to calculate the aggregate
>> performance of a portfolio that is rebalanced on a regular basis or that
>> a custom weighting scheme on the same periodicity of returns. I cannot
>> any provision in Return.portfolio, however, for incorporating the
>> transaction costs for the rebalancing in the portfolio. The resulting
>> portfolio performance would seem to be high to the extent of the
>> transaction costs.
>> On the other hand, running strategies in Quantstrat on individual
>> (or groups of securities) allows one to take into account estimated
>> costs to generate somewhat realistic performance estimates. Quantstrat,
>> however, does not seem to have any readily accessible functions to
>> balance a
>> portfolio of securities within a portfolio limit. Previous related
>> discussions seem to suggest the only solution is to write custom order
>> sizing functions to include in the strategy's rules.
>> I may be able to figure how to write custom functions in Quantstrat to do
>> this after a lot of brain damage, or alternatively my own version of
>> Return.portfolio, but I thought I should check with the community to see
>> there are any better suggestions for this. Given that many investment
>> strategies rely on portfolio rebalancing under some set of rules, as
>> to buying and selling individual securities on the basis of rules, I would
>> be surprised if I were the first person to wonder about this.
>> Robert C Wages
>> USA Mobile: +1 717 618 2828
>> robert at rwages.com <mailto:robert at rwages.com>
>> [[alternative HTML version deleted]]
>> R-SIG-Finance at r-project.org mailing list
>> -- Subscriber-posting only. If you want to post, subscribe first.
>> -- Also note that this is not the r-help list where general R questions
>> should go.
[[alternative HTML version deleted]]
More information about the R-SIG-Finance