使用重新平衡进出计算投资组合的回报

如何解决使用重新平衡进出计算投资组合的回报

考虑到所有者频繁申请和救援资金，我如何计算基金投资组合的回报？我在下面有一个示例数据库，我需要使用 NAV 值（基金价格）来了解他从 min(Date) 到昨天赚了多少。 >

我使用了两列表示相同的事情（NAVinitialDate 和 NAVMC *手动计算）因为数值存在一些差异 由于申请日期 x 大写日期问题。

      df <-  structure(list(Date = structure(c(18824,18823,18825,18802,18774,18774),class = "Date"),Client = c(55916,55916,55916),FundName = c("SAFRA S&P REAIS FIC MULTIMERCADO","SAFRA S&P SPECIAL FIC MULTIMERCADO","SAFRA FIC AÇÕES BDR NÍVEL I","SAFRA CONSUMO II FIC AÇÕES","SAFRA AÇÕES LIVRE FIC AÇÕES","SAFRA KEPLER EQUITY HEDGE FI MULTIMERCADO","SAFRA S&P SPECIAL FIC MULTIMERCADO"
        ),Nature = c("Application","Rescue","Application","Application"
        ),Quantity = c(148.027808,38.296823,77.152464,263.605244,142.044339,569.759599,44.18238,88.811145),Value = c(46976.6,-47177.54,-19685.59,37234.91,30000,23611.14,82903.85,7123,46281.27),FundCode = c(20394372000157,19107923000175,18770648000102,35712452000180,32666326000149,25079578000106,19107923000175),NAVInitialDate = c(322.308397999965,531.220042999834,499.586203000043,482.614653000142,113.806536999997,166.223730999976,145.685680000111,161.218113000039,521.120066000149
        ),NAVYesterday = c(327.404480999801,541.062088999897,514.130742000416,111.223012999981,165.302627000026,147.122290000087,541.062088999897),NAVmanuallycalculatedindate = c(317.349831999134,-Inf,-514.026711824111,482.614657647227,113.806537171924,166.223731028098,145.50671922949,161.218114551547,521.120068883247
        )),row.names = c(NA,-9L),class = c("tbl_df","tbl","data.frame"
        ))
    
    df$Date <- as.Date(df$Date)

    df$NAVmanuallycalculatedindate <- NULL
    
    df$NAVMC = df$Value / df$Quantity
    
    df <- do.call(data.frame,lapply(df,function(x) replace(x,is.infinite(x),NA))) 
    
    df <- df %>%  mutate(NAVMC = coalesce(df$NAVMC,df$NAVInitialDate))
    
    df$NAVMC <- abs(df$NAVMC)
    
    df$VarNAV <- (df$NAVYesterday - df$NAVMC)/df$NAVMC
    
    df$Rent <- df$VarNAV * df$Value
    
    df$Total <- df$Rent + df$Value