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IndexComputations

Computing Index Prices and Returns from prices/returns of financial assets

This algorithm allows to create indices based on the following weighting schemes:

  • Equal Weight
  • Metric Weighted
  • Equal Exposure to Metric

You can also choose between fixed weights or drifting weights.

NOTE: Only Long-only portfolios are supported.

How to use

4 Inputs:

  • Returns of components Array{Array{Float64, 1}, 1}
  • Exposure Metrics of components Array{Float64, 1}
  • fixed_weights Bool
  • weighting scheme String

Weighting Scheme must take a value among these: ["EQUAL_WEIGHTS", "METRIC_WEIGHTS", "EQUAL_EXPOSURE_METRIC"]

include("MainIndex.jl")

# If no metrics as inputs, write Array{Float64, 1}()
prices, returns, weights = generate_portfolio_from_returns(
    returns_components, 
    metrics, 
    fixed_weights, 
    weighting_scheme                 
)

The function generate_portfolio_from_prices can also be used by replacing the returns input by series of prices.

Outputs:

  • Prices Array{Float64, 1}
  • Returns Array{Float64, 1}
  • Weights Array{Array{Float64, 1}, 1}