So, I'm trying to replicate Return.portfolio, since I intend to port it
over into Python, and while I understand most of the calculations, there's
one thing that bugs me, namely contribution. Here's my MRE:
getSymbols(c('SPY', 'TLT'), from = '1990-01-01')
R = na.omit(cbind(Return.calculate(Ad(SPY)), Return.calculate(Ad(TLT))))
R_na <- cbind(Return.calculate(Ad(SPY)), Return.calculate(Ad(TLT)))
out <- Return.portfolio(R = R,
weights = c(1, .6), verbose = TRUE, rebalance_on =
NA, contribution = FALSE)
r_calc <- cbind(R, 0)
cumprods <- cumprod(1+r_calc)
# EOP.Value
eop.value <- cumprods * matrix(rep(c(1, .6, -.6), nrow(tmp)), ncol = 3,
byrow = TRUE)
print(tail(round(eop.value-out$EOP.Value), 6))
# BOP.Value
bop.value <- eop.value/(1+r_calc)
print(tail(round(bop.value-out$BOP.Value), 6))
# EOP.Weight
eop.weight <- eop.value/rowSums(eop.value)
print(tail(round(eop.weight-out$EOP.Weight), 6))
# BOP.Weight
bop.weight <- bop.value/rowSums(bop.value)
print(tail(round(bop.weight-out$BOP.Weight), 6))
In all cases, everything matches up besides the contributions. When I
implement what's defined in the functionality, namely:
contribution: The per period contribution to portfolio return of each
asset. Contribution is calculated as BOP weight times the period's return
divided by BOP value. Period contributions are summed across the individual
assets to calculate portfolio return
So, contribution should be:
contrib <- bop.weight*r_calc/bop.value
Which gives me the following result:
tail(contrib)
SPY.Adjusted TLT.Adjusted X0
2021-06-07 -1.200836e-04 -0.0003804248 0
2021-06-08 2.642538e-05 0.0008710532 0
2021-06-09 -1.845971e-04 0.0010924038 0
2021-06-10 5.746216e-04 0.0007415750 0
2021-06-11 2.031949e-04 -0.0001984059 0
2021-06-14 2.750417e-04 -0.0009408983 0
Yet, the *actual* contribution, as defined by Return.portfolio, is:
tail(out$contribution)
SPY.Adjusted TLT.Adjusted Residual
2021-06-07 -0.0008054887 -0.0007500412 0
2021-06-08 0.0001770824 0.0017120802 0
2021-06-09 -0.0012372908 0.0021622383 0
2021-06-10 0.0038457437 0.0014807881 0
2021-06-11 0.0013662344 -0.0003985565 0
2021-06-14 0.0018523718 -0.0018870209 0
Which clearly does not match.
Is the documentation incorrect, or am I misunderstanding something?
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