R: Rebalance Portfolio

rebalance {PMwR}

R Documentation

Rebalance Portfolio

Description

Compute the differences between two portfolios.

Usage

rebalance(current, target, price,
          notional = NULL, multiplier = 1,
          truncate = TRUE, match.names = TRUE,
          fraction = 1, drop.zero = FALSE,
          current.weights = FALSE,
          target.weights = TRUE)

## S3 method for class 'rebalance'
print(x, ..., drop.zero = TRUE)

replace_weight(weights, ..., prefix = TRUE, sep = "::")

Arguments

`current`	the current holdings: a (typically named) vector of position sizes; can also be a `position`
`target`	the target holdings: a (typically named) vector of weights; can also be a `position`
`price`	a numeric vector: the current prices; may be named
`notional`	a single number: the value of the portfolio; if missing, replaced by `sum(current*prices)`
`multiplier`	numeric vector, possibly named
`truncate`	truncate computed positions? Default is `TRUE`.
`match.names`	logical
`fraction`	numeric
`x`	an object of class `rebalance`.
`...`	`rebalance`: arguments passed to `print`; `replace_weight`: numeric vectors
`drop.zero`	logical: should instruments with no difference between `current` and `target` be included? Note the different defaults for computing and printing.
`current.weights`	logical. If `TRUE` (the default), the values in `current` are interpreted as weights. If `FALSE`, `current` is interpreted as a position (i.e. notional/number of contracts).
`target.weights`	logical. If `TRUE` (the default), the values in `target` are interpreted as weights. If `FALSE`, `target` is interpreted as a position (i.e. notional/number of contracts).
`weights`	a numeric vector with named components
`sep`	character
`prefix`	logical

Details

The function computes the necessary trades to move from the current portfolio to a target portfolio.

replace_weight is a helper function to split baskets into their components. All arguments passed via ... should be named vectors. If names are not syntactically valid (see make.names), quote them. The passed vectors themselves should be passed as named arguments: see examples.

Value

An object of class rebalance, which is a data.frame:

`instrument`	character, or `NA` when `match.names` is `FALSE`
`price`	prices
`current`	current portfolio, in units of instrument
`target`	new portfolio, in units of instrument
`difference`	the difference between `current` and target portfolio

Attached to the data.frame are several attributes:

`notional`	a single number
`match.names`	logical
`multiplier`	a numeric vector with as many elements as the resulting data.frame has rows

Author(s)

Enrico Schumann

References

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

Examples

r <- rebalance(current = c(a = 100, b = 20),
               target  = c(a = 0.2, c = 0.3),
               price   = c(a = 1, b = 2, c = 3))
as.journal(r)

## replace_weight: the passed vectors must be named;
##                 'basket_3' is ignored because not
##                 component of weights is named
##                 'basket_3'

replace_weight(c(basket_1 = 0.3,
                 basket_2 = 0.7),
               basket_1 = c(a = 0.1, b = 0.4, c = .5),
               basket_2 = c(x = 0.1, y = 0.4, z = .5),
               basket_3 = c(X = 0.5, Z = 0.5),
               sep = "|")

[Package PMwR version 0.19-5 Index]