levgLongShort function

Long Short Portfolio Leverage

This function computes a time series of portfolio leverages, defined as the sum of the absolute portfolio weights divided by the sum of the long position weights

levgLongShort(wts)

Arguments

• wts: Multivariate xts portfolio weights object

Returns

an xts time series of portfolio leverages

Examples

args(levgLongShort)

Author(s)

Doug Martin