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Create a Return Object

Source: R/rtn.R
make_rtn.Rd

By providing a "group" (ids) of dates, mvs and pls, calucating the Time-weighted Rate of Return (TWRR) or Modified Dietz Rate of Return (DIETZ).

Usage

make_rtn(date, mv, pl, id = 1L)

Arguments

date

a Date vector, the reference date of each row

mv, pl

a double vector, the market value and the 'PnL' (Profit and Loss) of each day

id

an integer vector, the ID of each row belongs to

Value

A list of functions, with signature of from, to and id, all of which are only allowed to accept a scalar. They all return an xts object with one column.

  • twrr_cr: the cumulative Time-weighted Return

  • twrr_dr: the daily Time-weighted Return

  • dietz: the Modified Dietz Return

  • dietz_avc: the denominator used to calculate the 'Modifie Dietz Return

  • cum_pl: the cumulative PnL

Note

All the input vector must be 1 or the same length.

Cash flow handling

  • The cash flow is not provided externally. Instead, it's deducted via market value and PnL, with the equation \(\Delta MV = \Delta PnL + CF\).

  • The cash inflow is treating as if it happens at the beginning of the day, while the cash outflow is at the end of the day. The reasons are two. The first is to reduce the possibility of having a close-to-zero denominator. The second is the cash is usually not usable for the whole day.

  • The calculation is based on calendar days. No business calendar or weekday considers. You can't change the calculation frequency, either. However, this is possible in the future version.

References

Modified Dietz Method: https://en.wikipedia.org/wiki/Modified_Dietz_method

Time weighed Return: https://en.wikipedia.org/wiki/Time-weighted_return

Examples

rtn <- make_rtn(date = c(210101, 210105, 210110), mv = c(100, 123, 140), pl = c(0, 3, 7))
rtn$twrr_cr(210102, 210110)
#>               TWRR_CR
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02500000
#> 2021-01-06 0.02500000
#> 2021-01-07 0.02500000
#> 2021-01-08 0.02500000
#> 2021-01-09 0.02500000
#> 2021-01-10 0.07894737
rtn$twrr_dr(210102, 210110)
#>               TWRR_DR
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02500000
#> 2021-01-06 0.00000000
#> 2021-01-07 0.00000000
#> 2021-01-08 0.00000000
#> 2021-01-09 0.00000000
#> 2021-01-10 0.05263158
rtn$dietz(210102, 210110)
#>                 DIETZ
#> 2021-01-02 0.00000000
#> 2021-01-03 0.00000000
#> 2021-01-04 0.00000000
#> 2021-01-05 0.02857143
#> 2021-01-06 0.02777778
#> 2021-01-07 0.02727273
#> 2021-01-08 0.02692308
#> 2021-01-09 0.02666667
#> 2021-01-10 0.08737864
rtn$dietz_avc(210102, 210110)
#>            DIETZ_AVC
#> 2021-01-02  100.0000
#> 2021-01-03  100.0000
#> 2021-01-04  100.0000
#> 2021-01-05  105.0000
#> 2021-01-06  108.0000
#> 2021-01-07  110.0000
#> 2021-01-08  111.4286
#> 2021-01-09  112.5000
#> 2021-01-10  114.4444