turnOver {PCRA}

Portfolio Turnover

Description

Calculates T-1 turn-over values for a times of portfolio weight vectors from time t = 1 to time t = T, where the turnover from time t-1 to time t is the sum of the absolute differences between the portfolio weights at time t-1 and time t.

Usage

turnOver(weights)

Arguments

weights

A multivariate xts object of portfolio weights

Value

A zoo time series object containing T-1 turnover values

Examples

args(turnOver)