Return.portfolio    package:PerformanceAnalytics    R Documentation

_C_a_l_c_u_l_a_t_e_s _w_e_i_g_h_t_e_d _r_e_t_u_r_n_s _f_o_r _a _p_o_r_t_f_o_l_i_o _o_f _a_s_s_e_t_s

_D_e_s_c_r_i_p_t_i_o_n:

     Calculates weighted returns for a portfolio of assets.  If you
     have a single weighting vector, or want the equal weighted
     portfolio, use 'Return.portfolio'.  If you have a portfolio that
     is periodically rebalanced, and multiple time periods with
     different weights, use 'Return.rebalancing'.  Both functions will
     subset the return series to only include returns for assets for
     which 'weight' is provided.

_U_s_a_g_e:

     Return.portfolio(R, weights = NULL, wealth.index = FALSE, contribution = FALSE, method = c("compound", "simple"), ...)
     Return.rebalancing(R, weights, ...)

_A_r_g_u_m_e_n_t_s:

       R: an xts, vector, matrix, data frame, timeSeries or zoo object
          of asset returns 

 weights: a time series or sinlge-row matrix/vector containing asset
          weights, as percentages

wealth.index: TRUE/FALSE whether to return a wealth index, default
          FALSE

contribution: if contribution is TRUE, add the weighted return
          contributed by the asset in this period

  method: "simple" or "compound"

     ...: any other passthru parameters 

_V_a_l_u_e:

     returns a time series of returns weighted by the 'weights'
     parameter, possibly including contribution for each period

_A_u_t_h_o_r(_s):

     Brian G. Peterson

_R_e_f_e_r_e_n_c_e_s:

     Bacon, C. _Practical Portfolio Performance Measurement and
     Attribution_. Wiley. 2004. Chapter 2

_S_e_e _A_l_s_o:

     'Return.calculate' 

_E_x_a_m_p_l_e_s:

     data(edhec)
     data(weights)

     # calculate an equal weighted portfolio return
     Return.portfolio(edhec)

     # now return the contribution too
     Return.portfolio(edhec,contribution=TRUE)

     # calculate a portfolio return with rebalancing
     Return.rebalancing(edhec,weights)