Safe_Return.portfolio

# Copy the below into your R console and run the code to see illustration of safe return calculation.

# Motivation:
# Depending on your data structure and assumptions - you should choose how to square your return and weight dates.
# I mostly want to merge on the day returns to on the day weights.
# E.g. 

#    date       Stock    Returns    weights
# 2018-04-01     XXX       0.025      0.05

# This means that weights imply what portion of the stock was held **through the day**
# If a rebalance column is used, the assumption is that the stock was bought up to a weight at COB the previous day.
# Thus your rebalance weight applies to on the day's returns for a stock.

# To achieve this, run:

rets <- tibble::tribble(
  ~ABG,    ~BTI,    ~CFR,    ~EOH,    ~ITU,    ~NPN,    ~RNI,    ~SBK,    ~SNV,    ~WHL,        ~date,
  0.0249,  0.0117, -0.0057,  0.0251, -0.0116,  0.0021,  0.0205,  0.0118, -0.0141,  0.0192, "2018-07-03",
  0.0196,  0.0105,   0.001,  0.0012,   0.026,  -0.002,  0.0055,  0.0187, -0.0057, -0.0265, "2018-07-04",
  -0.0078, -0.0211, -0.0184, -0.0176,  0.0081, -0.0056,  -0.012, -0.0049, -0.0144, -0.0034, "2018-07-05",
  -0.0075,  0.0056, -0.0059, -0.0368,  0.0138,  0.0147, -0.0101, -0.0257, -0.0029, -0.0056, "2018-07-06",
  0.0203,   6e-04,  0.0099,   0.001, -0.0147,  0.0208,  0.0193,  0.0302, -0.0235,  0.0139, "2018-07-09",
  -0.0146, -0.0055,  0.0113,  0.0284,   3e-04,  -0.004,  0.0153, -0.0146,  0.0781, -0.0144, "2018-07-10",
  -0.02, -0.0056, -0.0145, -0.0057, -0.0114,  -0.016, -0.0134, -0.0104, -0.0529,  0.0055, "2018-07-11",
  -0.0013,  -0.006,  -0.018,  0.0217, -0.0524,  0.0014,  -0.002,  -0.005,       0,   9e-04, "2018-07-12",
  -0.0168, -0.0039,  0.0057,  0.0141, -0.0048, -0.0208, -0.0139,  0.0091,  0.0029, -0.0073, "2018-07-13",
  -0.0188, -0.0149, -0.0108, -0.0046,  0.0096, -0.0212,  0.0071, -0.0242,  0.0205, -0.0214, "2018-07-16",
  0.0123, -0.0176,  0.0078,  0.0235,  0.0045,  0.0213, -0.0144,  0.0305,  0.0201, -0.0028, "2018-07-17",
  0.0108,   8e-04,   0.021,  0.0647,  0.0019,  -0.002, -0.0023,   4e-04, -0.0141, -0.0071, "2018-07-18",
  -0.018,  0.0105,  0.0159,  0.2156,  0.0032,  0.0068,  0.0033, -0.0042,  0.0286,  0.0053, "2018-07-19",
  0.0328,  0.0372,  0.0293, -0.0098,  -9e-04,  0.0179,  0.0202,  0.0261,  0.0167,  0.0051, "2018-07-20",
  -0.0115, -0.0026, -0.0114,  -9e-04,   6e-04, -0.0168, -0.0013, -0.0107, -0.0546, -0.0112, "2018-07-23",
  0.0134, -0.0017, -0.0188,  0.0097,   3e-04,  0.0086,  0.0037,  0.0054,  0.0578,  -0.018, "2018-07-24",
  0.0058, -0.0071, -0.0049,  0.0061, -0.0126, -0.0321, -0.0041, -0.0165,  0.0246,  -0.001, "2018-07-25",
  0.0199,  0.0587,  0.0106, -0.0202, -0.0909,  0.0016,  0.0346,  0.0145,  0.0213,  0.0012, "2018-07-26",
  0.0053, -0.0274,  -0.003, -0.0209,  0.0302,  0.0129, -0.0044,  0.0088,       0,  -0.004, "2018-07-27",
  0.0152,  0.0081,  0.0065,  -0.023,  0.0136, -0.0128, -0.0056,  0.0187,  0.0052, -0.0166, "2018-07-30",
  0.0118,  0.0143, -0.0101,  0.0298,  0.0101,  -0.022,   0.016,  0.0041,  0.0104,  0.0063, "2018-07-31",
  -0.0111, -0.0026,   0.005,  0.0217, -0.0353,  0.0084, -0.0155, -0.0038,  -0.036,  0.0221, "2018-08-01",
  -0.0158,  -8e-04,  0.0036, -0.0257,  0.0114, -0.0287,  -6e-04, -0.0317,   0.008, -0.0258, "2018-08-02",
  0.0237, -0.0011, -0.0015,  0.0039,  0.0068,  0.0191,   8e-04,  0.0071,  0.0317,  0.0188, "2018-08-03",
  -0.0298,  0.0019,  0.0083,  0.0318,  -0.002,  0.0043,  0.0041, -0.0159, -0.0128, -0.0089, "2018-08-06",
  -0.0011,  -0.002,  0.0091,  0.0143,   0.001,  0.0243,  0.0017,  0.0046,  0.0026, -0.0037, "2018-08-07",
  0.0092,   7e-04,  0.0115,   0.124,  0.0169,  0.0069,  -0.004,   6e-04,  0.0881,  0.0029, "2018-08-08",
  -0.0307,  0.0287,  0.0273, -0.0211,  0.0033,  0.0059,  0.0042, -0.0401,  0.0429, -0.0261, "2018-08-10",
  -0.013,  0.0162,  0.0113, -0.0105, -0.0286,  0.0099,  0.0177, -0.0077, -0.0411, -0.0044, "2018-08-13",
  0.0147, -0.0016, -0.0052,  -0.026, -0.0014, -0.0206,       0,  0.0142,  0.0357,  0.0223, "2018-08-14",
  -0.0345,  0.0025,  -8e-04, -0.0506,  0.0123, -0.0822,  0.0017, -0.0264,       0, -0.0024, "2018-08-15",
  0.0255,  0.0232,   0.006,  0.0229,  0.0027,  0.0279,  0.0163,  0.0159, -0.0345,   0.003, "2018-08-16",
  -0.0175,  0.0184,  0.0093, -0.0163,  0.0094,  0.0108,  0.0206, -0.0182,       0, -0.0114, "2018-08-17",
  0.0096,   2e-04,  0.0058,  0.0109,  0.0104,  0.0214,  -0.001,  0.0094, -0.0238,  0.0099, "2018-08-20",
  -0.0098, -0.0335, -0.0221,  0.0059, -0.0251,  0.0174, -0.0065,  0.0045,  0.0098,  0.0128, "2018-08-21",
  0.0086, -0.0082,  0.0065,  0.0045,  0.0112,   0.038,  0.0142,  0.0169, -0.0048,       0, "2018-08-22",
  0.004, -0.0169,  0.0063,  0.0022, -0.0134,  0.0032,   0.002, -0.0011, -0.0146, -0.0184, "2018-08-23",
  0.0038, -0.0293,  0.0074,  -9e-04, -0.0129,  0.0282, -0.0091, -0.0136, -0.0197, -0.0119, "2018-08-24",
  0.0353, -0.0017,  0.0023,  -0.048,  0.0093,   0.009, -0.0028,  0.0351,  0.0176,   0.026, "2018-08-27",
  0.0101, -0.0172,  0.0234, -0.0495,  0.0072, -0.0028,  0.0147,  0.0077,  0.0148,  0.0411, "2018-08-28",
  -0.0202,  0.0189,  0.0164, -0.0442,  0.0275,  0.0056,  0.0149, -0.0267,  0.0097,  0.0077, "2018-08-29",
  -0.0074,  0.0021,  0.0121,  0.0291, -0.0231, -0.0642,  0.0188, -0.0239,  -0.012, -0.0245, "2018-08-30",
  -0.0058, -0.0141,  -0.015,  -2e-04,  0.0132, -0.0251,  0.0243,  0.0072, -0.0049,  0.0328, "2018-08-31",
  0.0084,  0.0045, -0.0028,  -0.067,  0.0017, -0.0186, -0.0019,  0.0013,  0.0172,  0.0079, "2018-09-03",
  -0.042,  0.0237,  0.0165,  -0.038,  -0.005, -0.0067,  0.0049, -0.0379,  -0.012, -0.0289, "2018-09-04",
  -0.0193,  0.0103, -0.0073, -0.0404, -0.0057, -0.0402,  0.0015, -0.0306,  0.0122, -0.0107, "2018-09-05",
  0.0241, -0.0118, -0.0078,   0.061,   3e-04,  0.0021, -0.0071,  0.0249, -0.0024, -0.0114, "2018-09-06",
  -0.0108, -0.0158, -0.0137,   8e-04, -0.0188,  0.0292,   -0.01,  0.0149, -0.0024,  0.0039, "2018-09-07",
  -0.0096,   6e-04,  0.0068, -0.0033,  0.0171, -0.0109,   0.004, -0.0182,  0.0048, -0.0019, "2018-09-10",
  -0.0024,  -0.028, -0.0258, -0.0378,  0.0051, -0.0093, -0.0174,  -9e-04, -0.0072,   0.006, "2018-09-11",
  -0.0287,  0.0526, -0.0029,  0.0476,   0.005,  -0.011,  0.0197, -0.0266, -0.0534,  -0.025, "2018-09-12",
  -0.0138, -0.0262,  -0.015, -0.0215, -0.0027,  0.0331, -0.0395,   0.015,  0.0487,  0.0153, "2018-09-13",
  0.0161, -0.0028,  0.0168, -0.0161, -0.0027,  0.0094,  0.0116,  0.0041, -0.0269, -0.0087, "2018-09-14",
  -0.0273,  0.0018, -0.0064,   0.017,   0.002,  0.0068, -0.0017, -0.0235, -0.0201, -0.0232, "2018-09-17",
  0.0075, -0.0237,  0.0018,  0.0069,  0.0107, -0.0083, -0.0073,  0.0152, -0.0026,   4e-04, "2018-09-18",
  0.0277, -0.0223, -0.0436, -0.0022, -0.0142, -0.0047, -0.0192,  0.0321,  0.0026,  0.0042, "2018-09-19",
  -0.0046, -0.0173,  0.0083, -0.0575, -0.0084,  0.0041,  0.0011, -0.0065, -0.0359,  0.0125, "2018-09-20",
  0.0314,  0.0047,  -2e-04,   3e-04, -0.0037,  0.0221,  0.0204,  0.0249, -0.0027,  0.0045, "2018-09-21",
  -0.0135, -0.0141, -0.0137,  0.0742, -0.0112, -0.0195,  -0.004, -0.0399,  0.0133, -0.0141, "2018-09-25",
  0.0131,  0.0015, -0.0154,  0.0107, -0.0021,  -0.001, -0.0191,  0.0034, -0.0237,       0, "2018-09-26",
  -0.0045, -0.0055, -0.0178,  0.0486, -0.0145, -0.0322, -0.0071,  0.0025,  0.0243,  -0.001, "2018-09-27",
  -0.0157,  0.0067,  0.0073, -0.0281, -0.0066, -0.0089, -0.0065, -0.0124, -0.0289,  -0.017, "2018-09-28",
  0.0085, -0.0248,  0.0089, -0.0347,  -7e-04,  0.0051, -0.0014, -0.0029,  0.0163,  0.0081, "2018-10-01",
  -0.0142,   0.016,  -0.009,  -0.025,  -0.006, -0.0219,  0.0045, -0.0238,       0,  -0.024, "2018-10-02",
  -0.014, -0.0024,  0.0014, -0.0101,  0.0103,   -0.01, -0.0087, -0.0186,       0, -0.0133, "2018-10-03",
  -0.0178, -0.0034,  0.0047,  -0.025,  0.0014, -0.0155,  -8e-04, -0.0071,   0.024, -0.0104, "2018-10-04",
  -0.0043,  0.0088, -0.0126, -0.0718,  0.2347, -0.0116, -0.0065, -0.0168, -0.0208, -0.0021, "2018-10-05",
  0.0052,   1e-04, -0.0171,  0.0711, -0.0028, -0.0017, -0.0094, -0.0013,  0.0239,  0.0217, "2018-10-08",
  0.0154, -0.0057, -0.0021,  0.0123,    0.01, -0.0153,  0.0027,  0.0062, -0.0182,  0.0023, "2018-10-09",
  -0.0037,  0.0166, -0.0423, -0.0131, -0.0099, -0.0647, -0.0018,  -9e-04, -0.0529,  -0.006, "2018-10-10",
  -0.0232, -0.0176, -0.0202, -0.0638,  0.0014,  0.0091,  -0.012, -0.0297,  0.0168, -0.0074, "2018-10-11",
  0.0253, -0.0463, -0.0027,  0.0141, -0.0116,  0.0846, -0.0446,  0.0301, -0.0385,  0.0152, "2018-10-12",
  -0.0169, -0.0038, -0.0166, -0.0372, -0.0227, -0.0543, -0.0281, -0.0184, -0.0286,  -0.007, "2018-10-15",
  0.0259,  -0.038,  0.0104,  0.0212,  0.0147,  0.0258,  0.0043,  0.0371,       0,  0.0242, "2018-10-16",
  -0.0187,  0.0219, -0.0172,  0.0655, -0.0304, -0.0226, -0.0013, -0.0177, -0.0265, -0.0254, "2018-10-17",
  -0.0023,  0.0031, -0.0052,  0.0298,  -0.006, -0.0117,  0.0034, -0.0042, -0.0272, -0.0068, "2018-10-18",
  0.0016,  0.0016, -0.0075,       0,  0.1188,  -7e-04,   2e-04,   -0.01,  0.0155, -0.0071, "2018-10-19",
  -0.0168,  0.0053,   -0.01, -0.0244, -0.0024,   0.032, -0.0014,  0.0092,  0.0092,   0.018, "2018-10-22",
  -0.0255,  0.0456, -0.0025, -0.0062, -0.0191, -0.0459,  0.0096, -0.0366, -0.0303, -0.0132, "2018-10-23",
  0.0176,  0.0159,  -6e-04, -0.0281, -0.0036, -0.0396,  0.0042,  0.0096,       0,  0.0044, "2018-10-24",
  0.0352,  0.0163,  0.0183,   0.032,  0.0091,  0.0274,  0.0356,  0.0184, -0.0156,  0.0204, "2018-10-25",
  -0.0216, -0.0036,  0.0043,  -0.003,  -8e-04, -0.0327, -0.0086,  -0.011, -0.0159, -0.0169, "2018-10-26",
  0.0483, -0.0106,  0.0158,  0.0225,  -8e-04, -0.0398,  -9e-04,  0.0388,   0.029,  0.0394, "2018-10-29",
  0.0046, -0.0257, -0.0118, -0.0289,  0.0085, -0.0355, -0.0061, -0.0142, -0.0125,       0, "2018-10-30",
  -0.0222, -0.0013,  0.0442, -0.0224, -0.0016,   0.094,   0.007,  -9e-04, -0.0476,  0.0156, "2018-10-31",
  0.0261,  0.0013, -0.0088,  0.0619, -0.0084,  0.0856,  0.0042,  0.0249,  0.0433,   0.023, "2018-11-01",
  0.0375, -0.0287,  0.0166,  -0.039, -0.0162,  0.0299, -0.0177,  0.0363, -0.0415,  0.0065, "2018-11-02",
  0.0221,  0.0192,   -0.02, -0.0373, -0.0042,  0.0093,  0.0151,  0.0173, -0.0233,  0.0227, "2018-11-05",
  -0.0173, -0.0423, -0.0073, -0.0059,  0.0084, -0.0054, -0.0234,  0.0039, -0.0171, -0.0082, "2018-11-06",
  0.0207,  0.0322, -0.0187,  0.0303, -0.0117, -0.0108,  0.0073,  0.0229,   0.066,  0.0568, "2018-11-07",
  -0.0165,  -0.014, -0.0042, -0.0161, -0.0017, -0.0286,  -0.001, -0.0343, -0.0228, -0.0231, "2018-11-08",
  -0.0117,  0.0076,  -0.064, -0.0092,  0.0166, -0.0183,  0.0196, -0.0017, -0.0067,  0.0131, "2018-11-09",
  -0.0211,  -0.113,  -0.005, -0.0155,  0.0086, -0.0345, -0.0691, -0.0268,  0.0034, -0.0358, "2018-11-12",
  0.0139, -0.0212,  0.0042, -0.0218, -0.0088,  -0.019, -0.0061,  0.0128, -0.0201,  0.0192, "2018-11-13",
  -0.0127, -0.0208,  0.0068,  0.0523, -0.0036,  0.0425, -0.0261, -0.0134, -0.0137, -0.0176, "2018-11-14",
  0.0037, -0.0285, -0.0355,  0.0227, -0.0583,  0.0267, -0.0112,  0.0046,  0.0381, -0.0034, "2018-11-15",
  0.0012, -0.0591,  0.0022,  0.0258, -0.0071, -0.0016,  -0.067,  -5e-04,  0.0067, -0.0118, "2018-11-16",
  0.0216,   0.011, -0.0152,  0.0263, -0.0131,  0.0167,  0.0154,  0.0064, -0.0232,  0.0136, "2018-11-19",
  -0.0282,  0.0013, -0.0111,  0.0228,  0.0129, -0.0735,  -7e-04, -0.0329,  0.0136,  -4e-04, "2018-11-20",
  -0.0038, -0.0179,  0.0035, -0.0446,   0.011,  0.0377, -0.0108, -0.0042,    0.01,  0.0039, "2018-11-21",
  -0.0036, -0.0145, -0.0107,  0.0017,   3e-04,   0.014,  -0.039,  0.0163, -0.0232,  0.0089, "2018-11-22",
  -0.0067,  0.0244, -0.0058, -0.0154, -0.0047, -0.0133,  0.0257, -0.0108, -0.0508,  0.0026, "2018-11-23",
  0.0321, -0.0162,  0.0214, -0.0464, -0.0032,  0.0386,  0.0098,  0.0255,  0.0179,  0.0454, "2018-11-26",
  -0.0104,  0.0108, -0.0097,  0.0127,  -6e-04, -0.0114,  0.0211,  0.0162,  0.0175,  0.0062, "2018-11-27",
  0.0081,  0.0139,  0.0055, -0.0297,  0.0136,  0.0375,  0.0165,  0.0242, -0.0207, -0.0021, "2018-11-28",
  0.0115, -0.0042,  -0.013,  0.0565,  -0.392, -0.0257, -0.0179,  0.0152,  0.0211, -0.0086, "2018-11-29",
  -0.0302, -0.0133, -0.0184, -0.0355, -0.0341, -0.0202, -0.0372, -0.0275,       0, -0.0113, "2018-11-30",
  0.0224,  0.0086,  0.0356,  0.0059,  0.0065,  0.0454,  0.0069,  0.0251, -0.0345,  0.0234, "2018-12-03",
  0.0187,  -0.014, -0.0103, -0.0083, -0.0218,  0.0144,  0.0071,  0.0071,  0.0357,  0.0077, "2018-12-04",
  -0.0056,   0.007, -0.0099,  0.0068, -0.0051, -0.0196,  0.0107, -0.0121,  0.0276, -0.0125, "2018-12-05",
  -0.0336,  0.0162,   0.005,  0.0105,  0.0213, -0.0409,  0.0285, -0.0329,  0.0067, -0.0244, "2018-12-06",
  0.0051, -0.0229, -0.0023, -0.0177,   0.006,  0.0214, -0.0043, -0.0069,   -0.03, -0.0052, "2018-12-07",
  -0.0289,  0.0196,   0.003, -0.0276,   0.003, -0.0227,   0.016, -0.0227,  0.0309, -0.0211, "2018-12-10",
  0.0267,  0.0107,  0.0246,   0.022,  0.0375,  0.0368,  0.0489, -0.0035,  0.0333,  0.0033, "2018-12-11",
  0.0128, -0.0073, -0.0072,  0.0203,  0.0171,  0.0021,  -0.023,  0.0273, -0.0323,       0, "2018-12-12",
  0.0169, -0.0131,  0.0018, -0.0144,  0.0136,  -0.013, -0.0174,  0.0152,       0,  0.0182, "2018-12-13",
  -0.0047, -0.0103,  0.0032, -0.0134,  0.0078,  -6e-04,  -0.003, -0.0039,       0, -0.0313, "2018-12-14",
  -0.026, -0.0213, -0.0175, -0.0441, -0.0151,  0.0019, -0.0131, -0.0162,  0.0133,   0.003, "2018-12-18",
  0.0331, -0.0221, -0.0117,  0.0201, -0.0111, -0.0012, -0.0287,  0.0398,  0.0526,  0.0169, "2018-12-19",
  -0.0145,  0.0087, -0.0144,  0.0045, -0.0155, -0.0062, -0.0038,  -0.006,       0,  0.0029, "2018-12-20",
  -0.0155, -0.0108,  0.0162, -0.0354,  0.0014,  0.0277, -0.0127, -0.0093, -0.0031,  -0.019, "2018-12-21",
  0.0014, -0.0117,  0.0143, -0.0133,  0.0076,  0.0265,  0.0339,  0.0059, -0.0533,  0.0138, "2018-12-24",
  0.0087, -0.0025, -0.0223,   0.047, -0.0071, -0.0303, -0.0167, -0.0038,  0.0298, -0.0134, "2018-12-27",
  0.02,  0.0435,  0.0366, -0.0155, -0.0029,  0.0116,  0.0497,  0.0171,       0,  0.0126, "2018-12-28",
  0.0162, -0.0072,  0.0074,  0.0102,  0.0096, -0.0027,  0.0031,  0.0032,       0,  0.0108, "2018-12-31"
) %>% mutate(date = lubridate::ymd(date))

wts <- tibble::tribble(
  ~ABG,  ~BTI, ~CFR, ~EOH, ~ITU, ~NPN, ~RNI, ~SBK, ~SNV, ~WHL,        ~date,
  0.1,   0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1, "2018-07-02",
  0.075, 0.075, 0.15,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1, "2018-08-05",
  0.1,   0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1,  0.1, "2018-09-03"
) %>% mutate(date = lubridate::ymd(date))


# Squaring rebalancing dates with returns series:
# Assumptions applied ::::> when a stock rebalances, it does so at the beginning of the day given.
# Thus this implies - the rebalanced weight should be multiplied by the weight given for the day of rebalancing.
# Thus: wts = date: 20180101 ; stock = X; weight = 0.15 ::: means the weight to use for X to square with 20180101's returns is 15%
# To achieve this, do the following:

xts_rts <- rets %>% gather(Tickers, Ret, -date) %>% tbl_xts(cols_to_xts = "Ret", spread_by = "Tickers")
xts_wts <- wts %>% gather(Tickers, wt, -date) %>% tbl_xts(cols_to_xts = "wt", spread_by = "Tickers")

port <- rmsfuns::Safe_Return.portfolio(R = xts_rts, weights = xts_wts, lag_weights = T, verbose = T)
safeway <- port$returns %>% xts_tbl %>% filter(date == ymd(20180801) ) %>% pull(portfolio.returns)
# which should be the same as:
Should_be <- 
  left_join(
    xts_rts %>% xts_tbl %>% filter(date == ymd(20180801) ) %>% gather(stocks, ret, -date),
    xts_wts %>% xts_tbl %>% filter(date == ymd(20180801) ) %>% gather(stocks, weight, -date),
    by = c("date", "stocks")
  ) %>% mutate(port = sum(ret * weight))

all.equal(safeway, unique(Should_be$port))

# Note - this implies the weights used for a day's return calc is given as:
port$BOP.Weight %>% xts_tbl %>% filter(date == ymd(20180806))
# Notice here - I intentionally made the rebalance date on a weekend day (where there were no returns).
# Notice - this function now squares the official rebalance weight (20180805) with the next valid return date - so it doesn't break.

# When using lag_weights, notice that EOP.Weight will not equal the rebalance dates as BOP.weights do...
port$EOP.Weight %>% xts_tbl %>% filter(date == ymd(20180806))
# ...with the above the adjusted end of day weights (given the returns on the day's effect on portfolio weights)