tactical_AAA determines asset allocations according to the Adaptive
Asset Allocation approach described in Butler, Philbrick, Gordillo, and
Varadi (2012) <https://dx.doi.org/10.2139/ssrn.2328254>.
tactical_AAA(strat, reb_date, P, R, risk_free)A numeric vector of weights after applying the rule.
A list representing an asset allocation strategy. For this
particular strategy, strat$asset_class must contain a character vector
containing the corresponding asset classes.
A date on which the allocation rule is applied.
An xts object with daily prices of the tickers in strat.
An xts object with daily returns of the tickers in strat.
Either an xts object with daily returns of the risk-free asset, or a scalar numeric with the annual risk-free rate in decimals.
The Adaptive Asset Allocation strategy sorts a specific list of assets
based on 6-month momentum, selects the top 5 assets, and then calculates
weights that yield the minimum portfolio variance. The parameters controlling
the number of months for the momentum calculation (n_months_mom,
default = 6), number of months of daily data used to estimate the covariance
matrix (n_months_mom, default value = 1), and the number of assets to
select using the momentum rule (n_assets, default = 5) can be changed
by adding them to a list called param in the strat object. This
allows the user to apply the simple principle of the strategy (momentum and
minimum variance) to any set of assets.