[Returnanalytics-commits] r3642 - in pkg/PerformanceAnalytics: R man

[noreply at r-forge.r-project.org]

Author: rossbennett34
Date: 2015-05-03 23:41:48 +0200 (Sun, 03 May 2015)
New Revision: 3642

Modified:
   pkg/PerformanceAnalytics/R/Return.portfolio.R
   pkg/PerformanceAnalytics/man/Return.portfolio.Rd
Log:
Revise help file for Return.portfolio

Revising help file for Return.portfolio to explain that rebalance_on
is ignored if weights is an xts object that specifies the rebalancing
dates.


Modified: pkg/PerformanceAnalytics/R/Return.portfolio.R
===================================================================
--- pkg/PerformanceAnalytics/R/Return.portfolio.R	2015-04-26 05:56:44 UTC (rev 3641)
+++ pkg/PerformanceAnalytics/R/Return.portfolio.R	2015-05-03 21:41:48 UTC (rev 3642)
@@ -31,8 +31,13 @@
 #' of the asset columns may be specified.  In either case, if no rebalancing period is
 #' specified, the weights will be applied at the beginning of the asset time series
 #' and no further rebalancing will take place. If a rebalancing period is specified, 
-#' the portfolio will be rebalanced to the starting weights at the interval specified.  
+#' the portfolio will be rebalanced to the starting weights at the interval specified.
 #' 
+#' Note that if \code{weights} is an xts object, then any value passed to 
+#' \code{rebalance_on} is ignored. The \code{weights} object specifies the 
+#' rebalancing dates, therefore a regular rebalancing frequency provided via
+#' \code{rebalance_on} is not needed and ignored.
+#' 
 #' \code{Return.portfolio} will work only on daily or lower frequencies. If you are 
 #' rebalancing intraday, you should be using a trades/prices framework like 
 #' the \code{blotter} package, not a weights/returns framework.
@@ -102,7 +107,10 @@
 #' contributed by the asset in a given period. Default FALSE
 #' @param geometric utilize geometric chaining (TRUE) or simple/arithmetic (FALSE)
 #' to aggregate returns. Default TRUE. 
-#' @param rebalance_on Default "none"; alternatively "daily" "weekly" "monthly" "annual"  to specify calendar-period rebalancing supported by \code{\link[xts]{endpoints}}.
+#' @param rebalance_on Default "none"; alternatively "daily" "weekly" "monthly" 
+#' "annual"  to specify calendar-period rebalancing supported by 
+#' \code{\link[xts]{endpoints}}. Ignored if \code{weights} is an xts object
+#' that specifies the rebalancing dates.
 #' @param value The beginning of period total portfolio value. This is used for calculating position value.
 #' @param verbose If verbose is TRUE, return a list of intermediary calculations. 
 #' See Details below.

Modified: pkg/PerformanceAnalytics/man/Return.portfolio.Rd
===================================================================
--- pkg/PerformanceAnalytics/man/Return.portfolio.Rd	2015-04-26 05:56:44 UTC (rev 3641)
+++ pkg/PerformanceAnalytics/man/Return.portfolio.Rd	2015-05-03 21:41:48 UTC (rev 3642)
@@ -25,7 +25,10 @@
 \item{geometric}{utilize geometric chaining (TRUE) or simple/arithmetic (FALSE)
 to aggregate returns. Default TRUE.}
 
-\item{rebalance_on}{Default "none"; alternatively "daily" "weekly" "monthly" "annual"  to specify calendar-period rebalancing supported by \code{\link[xts]{endpoints}}.}
+\item{rebalance_on}{Default "none"; alternatively "daily" "weekly" "monthly"
+"annual"  to specify calendar-period rebalancing supported by
+\code{\link[xts]{endpoints}}. Ignored if \code{weights} is an xts object
+that specifies the rebalancing dates.}
 
 \item{value}{The beginning of period total portfolio value. This is used for calculating position value.}
 
@@ -73,6 +76,11 @@
 and no further rebalancing will take place. If a rebalancing period is specified,
 the portfolio will be rebalanced to the starting weights at the interval specified.
 
+Note that if \code{weights} is an xts object, then any value passed to
+\code{rebalance_on} is ignored. The \code{weights} object specifies the
+rebalancing dates, therefore a regular rebalancing frequency provided via
+\code{rebalance_on} is not needed and ignored.
+
 \code{Return.portfolio} will work only on daily or lower frequencies. If you are
 rebalancing intraday, you should be using a trades/prices framework like
 the \code{blotter} package, not a weights/returns framework.