如何使用PerformanceAnalytics计算NA的等权重投资组合回报？

我正在努力计算相等的加权投资组合回报。我目前正在使用

PerformanceAnalytics

软件包中的

Return.portfolio

，在处理NAs时遇到问题

举一个可复制的例子：

structure(c(5.49295774647889, 4.80640854472629, -0.127388535031836, 
4.71938775510203, 5.75517661388552, NA, NA, NA, 1.46627565982405, 
4.09441233140655, 1.31031876023686, 10.3718442979729, -5.16056338028169, 
0.237614351906856, 1.35119118169966, 2.26775883557192, 5.05941761423306, 
-1.76265063843784, 2.14109258894431, 3.73359337566391, 3.40163825335787, 
7.58912642134959, -2.64397595765676, 2.14109258894431, 3.733593376, 
NA, 7.58912642134959, -2.64397595765676, 2.47850105350444, 3.73359337566391
), .Dim = 5:6, .Dimnames = list(NULL, c("ALVGY", "BAYNGY", "BMWGY", 
"PF.return.wrong", "PF.return.expected", "PF.return.weighted"
)), index = structure(c(1480464000, 1483142400, 1485820800, 1488240000, 
1490918400), tzone = "UTC", tclass = "Date"), class = c("xts", 
"zoo"), ret_type = "discrete", coredata_content = "discreteReturn")

                ALVGY   BAYNGY      BMWGY PF.return.wrong PF.return.expected PF.return.weighted
2016-11-30  5.4929577       NA  1.3103188        2.267759           3.401638                 NA
2016-12-31  4.8064085       NA 10.3718443        5.059418           7.589126           7.589126
2017-01-31 -0.1273885       NA -5.1605634       -1.762651          -2.643976          -2.643976
2017-02-28  4.7193878 1.466276  0.2376144        2.141093           2.141093           2.478501
2017-03-31  5.7551766 4.094412  1.3511912        3.733593           3.733593           3.733593

---

当我运行

Example$PF.return时，我认为您遇到了这个问题，因为在重新平衡之前需要知道权重，即，如果从权重指数中减去一天，您可以得到有意义的值：

library(xts)
library(PerformanceAnalytics)

Example.wt2 <- Example.wt
index(Example.wt2) <- index(Example.wt) - 1 # subtract one day from the index

test <- PerformanceAnalytics::Return.portfolio(Example,
                                               weights = Example.wt,
                                               rebalance_on = "months")

test2 <- PerformanceAnalytics::Return.portfolio(Example,
                                                weights = Example.wt2,
                                                rebalance_on = "months")

res <- merge.xts(test, test2)
names(res) <- paste0("portfolio.returns", c(".old", ".new"))
> print(res)
           portfolio.returns.old portfolio.returns.new
2016-11-30                    NA              3.401638
2016-12-31              7.589126              7.589126
2017-01-31             -2.643976             -2.643976
2017-02-28              2.478501              2.141093
2017-03-31              3.733593              3.733593

库（xts）
库（性能分析）
如果一个替代包也可以接受，那么
PMwR:：returns
可能会帮助您感谢这种方法！它工作并修复了第一点和第二点。但是，Example.wt是手动构造的。您是否知道如何获得包含权重的xts对象，即1除以行的非NAs数量，否则为零？我仍然没有让它工作…编辑应该修复第3点。我也只是通过转换xts来修复它。对象返回到数据帧，并与
一起使用
行和
！is.na
如下所示：
Example.wt
library(xts)
library(PerformanceAnalytics)

Example.wt2 <- Example.wt
index(Example.wt2) <- index(Example.wt) - 1 # subtract one day from the index

test <- PerformanceAnalytics::Return.portfolio(Example,
                                               weights = Example.wt,
                                               rebalance_on = "months")

test2 <- PerformanceAnalytics::Return.portfolio(Example,
                                                weights = Example.wt2,
                                                rebalance_on = "months")

res <- merge.xts(test, test2)
names(res) <- paste0("portfolio.returns", c(".old", ".new"))
> print(res)
           portfolio.returns.old portfolio.returns.new
2016-11-30                    NA              3.401638
2016-12-31              7.589126              7.589126
2017-01-31             -2.643976             -2.643976
2017-02-28              2.478501              2.141093
2017-03-31              3.733593              3.733593

####
fCalcWeights <- function(x){
  y <- 1/sum(!is.na(x))
  x[!is.na(x)] <- y
  x[is.na(x)] <- 0
  x
}

Example.wt3 <- t(apply(Example[, c(1:3)], 1, fCalcWeights))
Example.wt3 <- xts(Example.wt3, order.by = index(Example)-1)

> Example.wt3
               ALVGY    BAYNGY     BMWGY
2016-11-29 0.5000000 0.0000000 0.5000000
2016-12-30 0.5000000 0.0000000 0.5000000
2017-01-30 0.5000000 0.0000000 0.5000000
2017-02-27 0.3333333 0.3333333 0.3333333
2017-03-30 0.3333333 0.3333333 0.3333333
> 
> all.equal(Example.wt2, Example.wt3)
[1] TRUE