Portfolio Statistics — extract

Computes the portfolio statistics for each period being considered.

Usage

extract_statistics(.data)

Arguments

.data: A tibble from the snoop_rolling.

Value

A tibble with 7 new columns: .weights, .return and .volatility, .skewness and .kurtosis, .value_at_risk and .expected_shortfall.

Examples

stocks <- tibble::tibble(
  time = as.Date('2009-01-01') + 0:99,
  X    = rnorm(100, 0, 1),
  Y    = rnorm(100, 0, 2),
  Z    = rnorm(100, 0, 4)
)

roll <- construct_rolling_infrastructure(stocks, .initial = 50)

rebal <- construct_rebalance_infrastructure(roll)

# Mean Variance Strategy
mu_sigma <- function(.data) {
  list(mu = colMeans(.data), sigma = stats::cov(.data))
}

optimal <- rebalance_portfolio(rebal, mu_sigma, .strategy = "mean_variance")

extract_statistics(optimal)
#> # A tibble: 50 × 11
#>    .date      .analysis .assessment .optimization .weights  .return .volatility
#>    <date>     <list>    <list>      <list>        <list>      <dbl>       <dbl>
#>  1 2009-02-20 <tibble>  <tibble>    <named list>  <dbl [3]>  0.0975       0.784
#>  2 2009-02-21 <tibble>  <tibble>    <named list>  <dbl [3]> -1.07         0.741
#>  3 2009-02-22 <tibble>  <tibble>    <named list>  <dbl [3]> -0.685        0.756
#>  4 2009-02-23 <tibble>  <tibble>    <named list>  <dbl [3]>  0.701        0.751
#>  5 2009-02-24 <tibble>  <tibble>    <named list>  <dbl [3]> -1.12         0.756
#>  6 2009-02-25 <tibble>  <tibble>    <named list>  <dbl [3]>  0.424        0.768
#>  7 2009-02-26 <tibble>  <tibble>    <named list>  <dbl [3]>  0.617        0.756
#>  8 2009-02-27 <tibble>  <tibble>    <named list>  <dbl [3]> -0.302        0.758
#>  9 2009-02-28 <tibble>  <tibble>    <named list>  <dbl [3]> -0.950        0.714
#> 10 2009-03-01 <tibble>  <tibble>    <named list>  <dbl [3]> -1.62         0.722
#> # … with 40 more rows, and 4 more variables: .skewness <dbl>, .kurtosis <dbl>,
#> #   .value_at_risk <dbl>, .expected_shortfall <dbl>