Hi R Users,

 

I have in my portfolio cash, equity, futures and forwards. I need to
compute the returns of this portfolio. 

 

If say I have cash of $100 and I buy only equity then my weights would
be the amount invested in each stock upon the total cash and the sum of
weights would add up to the total cash. The returns computation would be
a straightforward change in investment.

 

However, I need help in understanding how do I compute the returns (and
the associated weights) from a futures position and a forwards position.


a)       In the case of futures there would be a daily change in the
cash position due to Mark to market. So would the change in cash
position reflect the returns of futures position?

b)       In case of forwards how do I compute the weights and the
corresponding returns? I cannot use the change in investment as there is
no initial investment and if I use the change in investment approach to
compute returns I would have infinite returns. 

 

Any help would be appreciated (please let me know in case there is a
paper which I can refer to)

 

Thank you,

Regards,

Ravi

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