| portfolioBasic-class {portfolio} | R Documentation |
An object of the lightweight class "portfolioBasic" contains a data frame of weights and a data frame of supplementary information.
Objects can be created by calls of the form new("portfolioBasic", ...).
name:"character" containing
the name of this portfolio. date:"Date" containing a date
for this portfolio. data:"data.frame" containing
supplementary information about the positions in this portfolio.
Must include a unique column specified in the id.var slot. id.var:"character"
containing the name of the column in the data slot to be used as
a unique identifier. symbol.var:"character"
containing the name of the column in the data slot to be used as
a descriptive symbol. in.var:"character" containing
the name of the column in the data slot to be used as a rank
vector in calls to create.weight.var:"character"
containing the name of the column in the data slot to be used as
weight overrides in calls to create. ret.var:"character" containing
the name of the column in the data slot to be used as the return
in calls to performance.type:"character" containing
the type of weight formation to use in calls to create.
May be one of "relative", "equal", "linear", "sigmoid",
"centroid", or "complex".
Defaults to equal. size:"characterOrNumeric"
containing the size of the portfolio to use in calls to
create. May either contain the number of securities per
side or one of "decile", "quintile", "quartile", "tercile", or
"demile". Defaults to quintile. weights:"data.frame"
containing the data frame of weights for this portfolio's
positions. Must contain a unique column called "id". signature(e1 = "portfolioBasic", e2 = "portfolioBasic")signature(object = "portfolioBasic", in.var = "character"):
balances the positions in portfolio object to be neutral to
the categories specified by column in.var in the data slot.signature(object = "portfolioBasic",
contrib.var = "character"): returns one data.frame with
contribution analysis for each element of contrib.var. All
results are returned in a list.signature(object = "portfolioBasic"): use this
object's creation parameters (such as in slots size and
type) to create and return a new object of class
portfolioBasic.signature(object = "portfolioBasic", exp.var
= "character"): returns one data.frame with
exposure analysis for each element of contrib.var. All
results are returned in a list. signature(object = "portfolioBasic",
covariates = "character"):
returns a matching portfolio along the dimensions specified in the
character vector covariates. This method requires the
MatchIt package; additional arguments to the matchit
function may be passed via ....signature(object = "portfolioBasic"):
returns a list containing performance results. signature(x = "portfolioBasic", y = "missing"): Plot
this object. signature(object = "portfolioBasic", x =
"portfolioBasic"): computes the difference, as a
portfolioBasic object, between two portfolios. signature(object = "portfolioBasic"):
scale weights to the weights supplied in the target
parameter. To restrict the set of positions whose weights are
scaled, use the condition argument. signature(object = "portfolioBasic"): display
this object, briefly. signature(object = "portfolioBasic"): display
descriptive information about this portfolio. signature(object = "portfolioBasic"):
initialize the portfolio by calling create. Jeff Enos jeff@kanecap.com
data(dow.jan.2005)
p <- new("portfolioBasic",
id.var = "symbol",
in.var = "price",
sides = "long",
ret.var = "month.ret",
data = dow.jan.2005)
summary(p)
exposure(p, exp.var = c("price", "sector"))
performance(p)
contribution(p, contrib.var = c("cap.bil", "sector"))
p <- new("portfolioBasic",
id.var = "symbol",
in.var = "price",
type = "linear",
sides = c("long", "short"),
ret.var = "month.ret",
data = dow.jan.2005)
summary(p)
exposure(p, exp.var = c("price", "sector"))
performance(p)
contribution(p, contrib.var = c("cap.bil","sector"))