Correct.

> Hi,

>

> So if all the assets are shorted in one period and sum of the weights

> equals -1 (as was the case in my example but hidden columns), the dummy

> variable's weight is 2?

>

> Thanks,

>

> Nicolas

>

> On 29 May 2017 16:10, "Ilya Kipnis" <

[hidden email]> wrote:

>

> Weights need to sum to 1 at every period. Create a dummy asset with return

> of 0 and assign it a weight of 1 - rowSum(weights) and things will work.

>

> On Mon, May 29, 2017 at 5:49 AM, Brian G. Peterson <

[hidden email]>

> wrote:

>

> > On 05/29/2017 02:32 AM, ROUX, Nicolas wrote:

> >

> >> Hello all,

> >>

> >> I am trying to backtest a long/short portfolio using Return.Portfolio

> >> but am running into some sort of error, or I do not fully understand how

> >> to use return.portfolio.

> >>

> >> For a quarterly rebalancing of shorts, I am providing monthly returns, a

> >> set of negative

> >> weights in an xts format on quarter dates (created by to.period), the

> >> final argument is rebalance_on="quarters".

> >>

> >> The result is an set of regular zigzags where the position changes too

> >> regularly. Inline images 2

> >> The code:

> >>

> > <...>

> >

> > This isn't exactly a reproducible example.

> >

> > Here is a reproducible example:

> >

> > require(PerformanceAnalytics)

> > data(edhec)

> > data(weights)

> > sweights <- -1 * weights

> > pr <- Return.rebalancing(R=edhec, weights=sweights)

> > charts.PerformanceSummary(pr)

> >

> > It is clearly a bug. We'll take a look.

> >

> > **

> >>

> >> I am not sure I understand how the short weights work? Perhaps I should

> >> just use positive weights and minus the returns afterwards?

> >>

> >> Any help much appreciated.

> >>

> >> Nicolas Roux

> >>

> >

> > _______________________________________________

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> >

>

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