[R-SIG-Finance] Return.portfolio issue

ROUX, Nicolas nicolas.roux at hec.edu
Mon May 29 16:50:27 CEST 2017


Hi,

So if all the assets are shorted in one period and sum of the weights
equals -1 (as was the case in my example but hidden columns), the dummy
variable's weight is 2?

Thanks,

Nicolas

On 29 May 2017 16:10, "Ilya Kipnis" <ilya.kipnis at gmail.com> wrote:

Weights need to sum to 1 at every period. Create a dummy asset with return
of 0 and assign it a weight of 1 - rowSum(weights) and things will work.

On Mon, May 29, 2017 at 5:49 AM, Brian G. Peterson <brian at braverock.com>
wrote:

> On 05/29/2017 02:32 AM, ROUX, Nicolas wrote:
>
>> Hello all,
>>
>> I am trying to backtest  a long/short portfolio using Return.Portfolio
>> but am running into some sort of error, or I do not fully understand how
>> to use return.portfolio.
>>
>> For a quarterly rebalancing of shorts, I am providing monthly returns, a
>> set of negative
>> weights in an xts format on quarter dates (created by to.period), the
>> final argument is rebalance_on="quarters".
>>
>> The result is an set of regular zigzags where the position changes too
>> regularly. Inline images 2
>> The code:
>>
> <...>
>
> This isn't exactly a reproducible example.
>
> Here is a reproducible example:
>
> require(PerformanceAnalytics)
> data(edhec)
> data(weights)
> sweights <- -1 * weights
> pr <- Return.rebalancing(R=edhec, weights=sweights)
> charts.PerformanceSummary(pr)
>
> It is clearly a bug.  We'll take a look.
>
> **
>>
>> I am not sure I understand how the short weights work? Perhaps I should
>> just use positive weights and minus the returns afterwards?
>>
>> Any help much appreciated.
>>
>> Nicolas Roux
>>
>
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