tactical_TrendFriend_RP {AssetAllocation}

Returns allocations for the Ivy Portfolio on a given date

Description

tactical_TrendFriend_RP determines asset allocations for a strategy according to a modified version of the the strategy in Clare et al (2016, <https://doi.org/10.1016/j.jbef.2016.01.002)>. The modified version uses full risk parity instead of the inverse-volatility rule in the paper.

Usage

tactical_TrendFriend_RP(strat, reb_date, P, R, risk_free = NULL)

Arguments

strat

A list representing an asset allocation strategy.

reb_date

A date on which the allocation rule is applied.

P

An xts object with daily prices of the tickers in strat.

R

An xts object with daily returns of the tickers in strat.

risk_free

Either an xts object with daily returns of the risk-free

Details

The allocation strategy proposed in the paper is based on using a a time series momentum rule to select assets from a universe, and an allocation rule which gives weights proportional to the inverse volatility of the assets. The time-series (trend) momentum rule is based on whether the price of the asset on the rebalancing date is above its 10-month moving average. If not, the corresponding allocation in strat$default_weights is set to zero ( and is therefore allocated to the risk-free asset).

Value

A numeric vector of weights after applying the rule.

Examples

trend_friend  <- asset_allocations$tactical$trend_friend
reb_date <- as.Date("2022-03-31")
tactical_TrendFriend_RP(trend_friend,
                        reb_date,
                        ETFs$Prices[, trend_friend$tickers],
                        ETFs$Returns[, trend_friend$tickers]
                        )