Brian and Jeff ,

Thanks a lot! I did manage to get a whole lot closer to what I wish to achieve. Right now I'm mulling over two things... one is how can you have the weights reflect a "holding" period.. I'm thinking an if else such that if -1, set to 0 in 3 periods, if +1, set to zero in 3 periods, else zero - might do the trick.

The second thing is related to the first. In Return.rebalancing/Return.portofolio, if the input object is a (past) 3 month return xts, how does one interpret the results? Does it mean that on a 3 month basis, the function gives me my returns? If this is the case, then this would negate the need for the holding period stuff described above I assume.

However, the results of the function based on the 3 month returns seemed to be ungodly, and I'm still unsure as to what they represent. Should I only be using one-month returns as the inputs here?

Thanks a lot for your help, 狢 really appreciate it!

Gaurav M

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