<div dir="ltr"><div>Hello all,</div><div><br></div><div>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.</div><div><br></div><div>For a quarterly rebalancing of shorts, I am providing monthly returns, a set of negative</div><div>weights in an xts format on quarter dates (created by to.period), the final argument is rebalance_on="quarters".</div><div><br></div><div>The result is an set of regular zigzags where the position changes too regularly. <img width="473" height="400" alt="Inline images 2" src="cid:ii_15c53159cb6eea38">  </div><div>The code:</div><pre tabindex="0" class="gmail-GGHFMYIBMOB" id="gmail-rstudio_console_output" style="font:10pt/12.5px "Lucida Console";margin:0px;outline:invert;border:medium;color:rgb(234,234,234);text-transform:none;text-indent:0px;letter-spacing:normal;word-spacing:0px;white-space:pre-wrap;word-break:break-all;font-size-adjust:none;font-stretch:normal;background-color:rgb(44,40,40)"><span class="gmail-GGHFMYIBCOB gmail-ace_keyword" style="color:rgb(117,122,216)">head(monthly.returns[,1:3])
</span>            AXA.Returns Accor.Returns Air.Liquide.Returns
1987-01-31           NA            NA                  NA
1987-02-28 -0.039941766   -0.00311151         -0.03195942
1987-03-31  0.008723886    0.03936148          0.07320454
1987-04-30  0.005995543   -0.04579859         -0.01919371
1987-05-31 -0.055431515   -0.10515575         -0.03495027
1987-06-30 -0.145464190   -0.02607130         -0.04062429</pre><pre tabindex="0" class="gmail-GGHFMYIBMOB" style="margin:0px;outline:invert;border:medium;color:rgb(234,234,234);text-transform:none;line-height:12.5px;text-indent:0px;letter-spacing:normal;font-family:"Lucida Console";font-size:10pt;font-variant:normal;word-spacing:0px;white-space:pre-wrap;word-break:break-all;font-size-adjust:none;font-stretch:normal;background-color:rgb(44,40,40)"><pre tabindex="0" class="gmail-GGHFMYIBMOB" id="gmail-rstudio_console_output" style="font:10pt/12.5px "Lucida Console";margin:0px;outline:invert;border:medium;color:rgb(234,234,234);text-transform:none;text-indent:0px;letter-spacing:normal;word-spacing:0px;white-space:pre-wrap;word-break:break-all;font-size-adjust:none;font-stretch:normal;background-color:rgb(44,40,40)"><span class="gmail-GGHFMYIBCOB gmail-ace_keyword" style="color:rgb(117,122,216)">head(weights$short.w[,1:3])
</span>           Asset 1 Asset 2 Asset 3
1987-03-31      -1     0.0       0
1987-06-30       0    -0.5       0
1987-09-30       0     0.0       0
1987-12-31       0     0.0       0
1988-03-31       0     0.0       0
1988-06-30       0     0.0       0<br><pre tabindex="0" class="gmail-GGHFMYIBMOB" id="gmail-rstudio_console_output" style="font:10pt/12.5px "Lucida Console";margin:0px;outline:invert;border:medium;color:rgb(234,234,234);text-transform:none;text-indent:0px;letter-spacing:normal;word-spacing:0px;white-space:pre-wrap;word-break:break-all;background-color:rgb(44,40,40)"><span class="gmail-GGHFMYIBCOB gmail-ace_keyword" style="color:rgb(117,122,216)">head(Port.return[1:10])
</span>           portfolio.returns
1987-04-30       -2.00599554
1987-05-31       -0.05543151
1987-06-30       -0.14546419
1987-07-31       -2.01670857
1987-08-31        0.09265071
1987-09-30       -0.09907100</pre><br><br></pre><b></b></pre><div>I am not sure I understand how the short weights work? Perhaps I should just use positive weights and minus the returns afterwards?</div><div><br></div><div>Any help much appreciated.</div><div><br clear="all"></div><div><div class="gmail_signature"><div dir="ltr"><div><div dir="ltr"><div><div dir="ltr">Nicolas Roux<div><br></div></div></div></div></div></div></div></div>
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