portsort (version 0.1.0)

portfolio.turnover: Calculate Sub-Portfolio Turnover

Description

Calculates sub-portfolio turnover between each rebalancing period.

Usage

portfolio.turnover(sort.output)

Arguments

sort.output

object returned from either the conditional.sort or unconditional.sort function.

Value

Turnover

xts object of turnovers for each rebalancing point.

Mean Turnover

mean turnover for each sub-portfolio averaged over time.

Details

This function calculates the turnover within each sub-portfolio over time and returns a list containing the turnover values and the mean turnover across time.

Examples

# NOT RUN {
# Load the included data
library(portsort)
data(Factors)

# Specifiy the sort dimension - in this case, a double-sort on lagged returns and Bitcoin volumes
dimA = 0:3/3
dimB = 0:3/3

# Specify the factors
# Lagged returns, lagged volumes are stored in the Factors list
R.Forward = Factors[[1]]; R.Lag = Factors[[2]]; V.Lag = Factors[[3]]

# Subset the data from late 2017
R.Forward = R.Forward["2017-12-01/"]
R.Lag = R.Lag["2017-11-30/2018-09-05"]
V.Lag = V.Lag["2017-11-30/2018-09-05"]

Fa = R.Lag
Fb = V.Lag

# Conduct an unconditional sort (in this case) or a conditional sort
sort.output = unconditional.sort(Fa = Fa, Fb = Fb , R.Forward = R.Forward, dimA = dimA, dimB = dimB)

# Compute Turnover by passing the sort.output object to the turnover function
sort.turnover = portfolio.turnover(sort.output)

# }