Return Contribution
Return contribution of portfolio segments.
rc(R, weights, timestamp, segments = NULL)
R |
returns: a numeric matrix |
weights |
the segment weights: a numeric matrix. |
timestamp |
character or numeric |
segments |
character. If missing, column names of |
The function computes segment contribution, potentially over time. Returns and weights must be arranged in matrices, with rows corresponding to time periods and columns to portfolio segments
Weights can be missing, in which case R is
assumed to already comprise segment returns.
A list of two components
period_contributions |
a data.frame |
total_contributions |
a numeric vector |
Enrico Schumann
Feibel, Bruce (2003), Investment Performance Measurement, Wiley.
weights <- rbind(c( 0.25, 0.75),
c( 0.40, 0.60),
c( 0.25, 0.75))
R <- rbind(c( 1 , 0),
c( 2.5, -1.0),
c(-2 , 0.5))/100
rc(R, weights, segment = c("equities", "bonds"))
## contribution for btest:
## run a portfolio 10% equities, 90% bonds
P <- as.matrix(merge(DAX, REXP, by = "row.names")[, -1])
(bt <- btest(prices = list(P),
signal = function() c(0.1, 0.9),
convert.weights = TRUE,
initial.cash = 100))
W <- bt$position*P/bt$wealth
rc(returns(P)*W[-nrow(W), ])$total_contributionsPlease choose more modern alternatives, such as Google Chrome or Mozilla Firefox.