Given the portfolio weights and a toy market, the function Invest simulates the growth of $1 of the corresponding portfolio and that of the benchmark.
Usage
Invest(market, weight, plot = TRUE)
Arguments
market
a toymkt object.
weight
the portfolio weights. The portfolio weights must be non-negative and sum to one (full investment with no short sales). It can be a zoo object or matrix/dataframe whose number of rows is at least as large as that of market$R. If the number of rows of weight is larger than required, only the initial rows will be used. weight can also be a numeric vector whose length is equal to the number of columns of market$R (the number of assets). In the latter case the portfolio is assumed to be constant-weighted through out.
plot
TRUE or FALSE. If TRUE, the growth of $1 of the portfolio will be plotted together with the growth of $1 of the market portfolio. The default value is TRUE.
Details
The relative value in the second plot is the ratio of the growth of $1 of the portfolio to that of the benchmark. It is called relative because the value is normalized by the value of the benchmark portfolio.
Value
A list containing the following components.
growth
a zoo object representing the growth of $1 of the portfolio and the benchmark.
R
a zoo object of simple returns of the two portfolios.
r
a zoo object of log returns of the two portfolios.
See Also
toymkt
Examples
# Performance of the equal-weighted portfolio
data(applestarbucks)
market <- toymkt(applestarbucks)
weight <- c(0.5, 0.5) # equal-weighted portfolio
result <- Invest(market, weight, plot = TRUE)
Results
R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
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> library(RelValAnalysis)
Loading required package: zoo
Attaching package: 'zoo'
The following objects are masked from 'package:base':
as.Date, as.Date.numeric
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/RelValAnalysis/Invest.Rd_%03d_medium.png", width=480, height=480)
> ### Name: Invest
> ### Title: Investing in a Toy Market
> ### Aliases: Invest
>
> ### ** Examples
>
> # Performance of the equal-weighted portfolio
> data(applestarbucks)
> market <- toymkt(applestarbucks)
Warning message:
In toymkt(applestarbucks) :
Since initial.weight is not given, the benchmark is assumed to be equal-weighted initially.
> weight <- c(0.5, 0.5) # equal-weighted portfolio
> result <- Invest(market, weight, plot = TRUE)
Warning message:
In Invest(market, weight, plot = TRUE) :
Since only one weight vector is supplied, the portfolio is assumed to be constant-weighted.
>
>
>
>
>
> dev.off()
null device
1
>
providing 
.