[R-SIG-Finance] R-SIG-Finance Digest, Vol 190, Issue 1

[G Mac]

Hi Brian, All

Forecasting or a way to simulate next period's weights, based on a series
of past period's weights, is more accurate of what I'd like to do. I
realize the tough ask, but curious if there is a package that could be used
for this.

Any directions, in the world of R packages or statistical methods would be
very much appreciated.

Thanks
Gareth

On Sun, Mar 1, 2020, 6:00 AM <r-sig-finance-request using r-project.org> wrote:

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> Today's Topics:
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>    1. Portfolio Composition Forecasting (G Mac)
>    2. Re: Portfolio Composition Forecasting (Brian G. Peterson)
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> Message: 1
> Date: Sat, 29 Feb 2020 09:06:03 -0500
> From: G Mac <mcewan.gareth using gmail.com>
> To: r-sig-finance using r-project.org
> Subject: [R-SIG-Finance] Portfolio Composition Forecasting
> Message-ID:
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>
> Hi All
>
> I was hoping someone could point me in the right direction.
>
> Is there an R-package (or other software) that can be used to forecast the
> next period's portfolio composition?  There are many portfolio optimization
> packages, but this is not the same question.  Say I take the past* x*
> periods, each period holds the percentage composition of an investment
> portfolio (sums to 1); the composition of assets will contain key assets
> held (or increased/decreased) through periods, but new assets will be added
> to the portfolio over time, while some holdings will be dropped, so we will
> have nuisance here.  I would like to model the past* x* periods, accept
> this mentioned error, and forecast or simulate for* x+1* period.
>
> Does anyone have any experience with this, or have any pointers within the
> broader domain of statistics?
>
> Many thanks in advance,
> Gareth
>
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>
>
>
>
> ------------------------------
>
> Message: 2
> Date: Sat, 29 Feb 2020 17:41:02 -0600
> From: "Brian G. Peterson" <brian using braverock.com>
> To: G Mac <mcewan.gareth using gmail.com>, r-sig-finance using r-project.org
> Subject: Re: [R-SIG-Finance] Portfolio Composition Forecasting
> Message-ID:
>         <0cd5fe99a1dde7d3a427fbf4e5e487b280f05ae6.camel using braverock.com>
> Content-Type: text/plain; charset="utf-8"
>
> On Sat, 2020-02-29 at 09:06 -0500, G Mac wrote:
> > Is there an R-package (or other software) that can be used to
> > forecast the next period's portfolio composition?  There are many
> > portfolio optimization packages, but this is not the same
> > question.  Say I take the past* x* periods, each period holds the
> > percentage composition of an investment portfolio (sums to 1); the
> > composition of assets will contain key assets held (or
> > increased/decreased) through periods, but new assets will be
> > added to the portfolio over time, while some holdings will be
> > dropped, so we will have nuisance here.  I would like to model the
> > past* x* periods, accept this mentioned error, and forecast or
> > simulate for* x+1* period.
> >
> > Does anyone have any experience with this, or have any pointers
> > within the broader domain of statistics?
> >
>
> Itr seems to me tomorrows portfolio is the same as today's portfolio
> except for organic change in weights caused by market price
> fluctuations, or by a rebalancing event.  The 'forecast' is the
> standard naive forecast: today's portfolio will still be held tomorrow,
> unless you rebalance.
>
> I don't see any value in a simulation from the prior holdings.
> Portfolios are rebalanced for some business reason, and those reasons
> are usually pretty well understood, and not the result of a random draw
> from some distribution of prior holdings.
>
> What am I missing?
>
> Regards,
>
> Brian
>
>
>
>
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> End of R-SIG-Finance Digest, Vol 190, Issue 1
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