Session Ready
Exercise

The time series of weights

In the previous exercise, you explored the functionality of the Return.portfolio() function and created portfolios using two strategies. However, by setting the argument verbose = TRUE in Return.portfolio() you can create a list of beginning of period (BOP) and end of period (EOP) weights and values in addition to the portfolio returns, and contributions.

You can access these from the resultant list-object created from Return.portfolio(). The resultant list contains $returns, $contributions, $BOP.Weight, $EOP.Weight, $BOP.Value, and $EOP.Value.

In this exercise, you will recreate the portfolios you made in the last exercise but extend it by creating a list of calculations using verbose = TRUE. You will then visualize the end of period weights of Apple.

The object returns is pre-loaded in your workspace.

Instructions
100 XP
  • Define the vector eq_weights for two equally weighted assets.
  • Create a portfolio of returns by using the buy and hold strategy and setting verbose = TRUE. Call this pf_bh.
  • Create a portfolio of returns using the monthly rebalancing strategy and setting verbose = TRUE. Call this pf_rebal.
  • Create a new object called eop_weight_bhusing the end of period weights of pf_bh.
  • Create a new object called eop_weight_rebal using the end of period weights of pf_rebal.
  • Plot the end of period weights of Apple in eop_weight_bh using plot.zoo(), and the end of period weights of Apple in eop_weight_rebal using plot.zoo(). par(mfrow = c(2, 1), mar = c(2, 4, 2, 2)) is used to organize the plots you create. Do not alter this code.
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