rebalance: Rebalance Portfolio

Description

Compute the differences between two portfolios.

Usage

rebalance(current, target, price,
          notional = NULL, multiplier = 1,
          truncate = TRUE, match.names = TRUE,
          fraction = 1, drop.zero = FALSE,
          current.weights = FALSE,
          target.weights = TRUE)
# S3 method for rebalance
print(x, ..., drop.zero = TRUE)
replace_weight(weights, ..., prefix = TRUE, sep = "::")

Value

An object of class rebalance, which is a

data.frame:

instrument: character, or NA when match.names is FALSE
price: prices
current: current portfolio
target: new portfolio
difference: the difference between current and target

Attached to the data.frame are several attributes:

notional: notional
match.names: logical
multiplier: multipliers

Arguments

current: the current holdings: a (typically named) vector of position sizes; can also be a position
target: the target holdings: a (typically named) vector of weights; can also be a position
price: a numeric vector: the current prices; may be named
notional: a single number: the value of the portfolio; if missing, replaced by sum(current*prices)
multiplier: numeric vector, possibly named
truncate: truncate computed positions? Default is TRUE.
match.names: logical
fraction: numeric
x: an object of class rebalance.
...: rebalance: arguments passed to print; replace_weight: numeric vectors
drop.zero
current.weights: logical. If TRUE (the default), the values in current are interpreted as weights. If FALSE, current is interpreted as a position (i.e. notional/number of contracts).
target.weights: logical. If TRUE (the default), the values in target are interpreted as weights. If FALSE, target is interpreted as a position (i.e. notional/number of contracts).
weights: a numeric vector with named components
sep: character
prefix: logical

Author

Enrico Schumann

Details

The function computes the necessary trades to move from the current portfolio to a target portfolio.

replace_weight is a helper function to split baskets into their components. All arguments passed via ... should be named vectors. If names are not syntactically valid (see make.names), quote them. The passed vectors themselves should be passed as named arguments: see examples.

References

Schumann, E. (2023) Portfolio Management with R. http://enricoschumann.net/R/packages/PMwR/; in particular, see
http://enricoschumann.net/R/packages/PMwR/manual/PMwR.html#rebalance

Examples

Run this code

r <- rebalance(current = c(a = 100, b = 20),
               target  = c(a = 0.2, c = 0.3),
               price   = c(a = 1, b = 2, c = 3))
as.journal(r)

## replace_weight: the passed vectors must be named;
##                 'basket_3' is ignored because not
##                 component of weights is named
##                 'basket_3'

replace_weight(c(basket_1 = 0.3,
                 basket_2 = 0.7),
               basket_1 = c(a = 0.1, b = 0.4, c = .5),
               basket_2 = c(x = 0.1, y = 0.4, z = .5),
               basket_3 = c(X = 0.5, Z = 0.5),
               sep = "|")

Run the code above in your browser using DataLab