NAVseries {PMwR}

Net-Asset-Value (NAV) Series

Description

Create a net-asset-value (NAV) series.

Usage

NAVseries(NAV, timestamp,
          instrument = NULL, title = NULL, description = NULL,
          drop.NA = NULL)

as.NAVseries(x, ...)

## S3 method for class 'NAVseries'
print(x, ... )

## S3 method for class 'NAVseries'
summary(object, ..., monthly.vol = TRUE,
        bm = NULL, monthly.te = TRUE,
        na.rm = FALSE, assume.daily = FALSE)

## S3 method for class 'NAVseries'
plot(x, y, ..., xlab = "", ylab = "", type = "l")

## S3 method for class 'NAVseries'
window(x, start = NULL, end = NULL, ...)

Arguments

NAV

numeric

timestamp

time stamp (typically Date or POSIXct)

instrument

character

title

character

description

character

x

an NAVseries or an object to be coerced to NAVseries

object

an NAVseries

...

further arguments. For summary, these can be NAVseries.

drop.NA

logical

bm

an optional NAVseries. If bm does not inherit from NAVseries, as.NAVseries is tried.

monthly.vol

if TRUE (default), volatility computations are done on monthly returns

monthly.te

if TRUE (default), tracking error computations are done on monthly returns

assume.daily

logical

na.rm

logical

y

a second NAVseries to be plotted. Not supported yet.

xlab

character

ylab

character

type

character. See plot.

start

same class as timestamp; NULL means the first timestamp

end

same class as timestamp; NULL means the last timestamp

Details

NAV series

An NAVseries is a numeric vector (the actual series) and additional information, attached as attributes: timestamp, instrument, title, description. Of these attributes, timestamp is the most useful, as it is used for several computations (e.g. when calling summary) or for plotting.

The ‘instrument’ is typically an internal label used to identify the series, such as a ticker; ‘title’ is a label, too, but is intended to be human-readable; ‘description’ finally should be human-readable as well but may be longer.

Summaries

The summary method returns a list of the original NAVseries plus various statistics, such as return per year and volatility. The method may receive several NAV series as input

Value

an NAVseries: see Details.

an NAVseries summary: a list of lists. If a benchmark series is present, the summary has an attribute bm: an integer, specifying the position of the benchmark.

Note

The semantics of handling NAVseries are not stable yet. Currently, objects of class NAVseries are univariate: you create a single NAVseries, summarise it, plot it, and so one. In the future, at least some of the methods will support the multi-variate case, i.e. be able to handle several series at once.

Author(s)

Enrico Schumann <[e-mail]>

References

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

See Also

btest, journal

For handling external cashflows, see unit_prices, split_adjust and div_adjust.

Examples

summary(NAVseries(DAX[[1]], as.Date(row.names(DAX)), title = "DAX"))