CLIデルタ CLI二次デルタ 月間収益率

 

(1) CLIデルタがプラスかつ二次デルタがマイナスの場合の月間収益率

func <- function(x,y,z){if(x >0 && y <0){return(z) }else(return(NA))}
date <- paste("1970",index(cli_xts) %>% last() %>% substr(.,1,7),sep="::")
i <- 12- length(diff(cli_xts$oecd)[date]) %%12
matrix(c(mapply(func,diff(cli_xts$oecd)[date],  diff(diff(cli_xts$oecd))[date]     ,as.vector(monthlyReturn(GSPC)[date])),rep(NA,i)),nrow=12) %>% t() %>% apply(.,2,mean,na.rm=T) %>% round(.,4)

 [1]  0.0047  0.0100  0.0189  0.0162 -0.0062  0.0019  0.0168  0.0091  0.0047  0.0084  0.0298  0.0187

(2) CLIデルタがプラスかつ二次デルタがプラスの場合の月間収益率

func <- function(x,y,z){if(x >0 && y >0){return(z) }else(return(NA))}
date <- paste("1970",index(cli_xts) %>% last() %>% substr(.,1,7),sep="::")
i <- 12- length(diff(cli_xts$oecd)[date]) %%12
matrix(c(mapply(func,diff(cli_xts$oecd)[date],  diff(diff(cli_xts$oecd))[date]     ,as.vector(monthlyReturn(GSPC)[date])),rep(NA,i)),nrow=12) %>% t() %>% apply(.,2,mean,na.rm=T) %>% round(.,4)

 [1] 0.0258 0.0146 0.0217 0.0420 0.0277 0.0138 0.0247 0.0099 0.0064 0.0166 0.0334 0.0184

(2) CLIデルタがマイナスかつ二次デルタがマイナスの場合の月間収益率

func <- function(x,y,z){if(x <0 && y <0){return(z) }else(return(NA))}
date <- paste("1970",index(cli_xts) %>% last() %>% substr(.,1,7),sep="::")
i <- 12- length(diff(cli_xts$oecd)[date]) %%12
matrix(c(mapply(func,diff(cli_xts$oecd)[date],  diff(diff(cli_xts$oecd))[date]     ,as.vector(monthlyReturn(GSPC)[date])),rep(NA,i)),nrow=12) %>% t() %>% apply(.,2,mean,na.rm=T) %>% round(.,4)

 [1]  0.0038 -0.0189 -0.0051  0.0098 -0.0011  0.0013 -0.0123 -0.0124 -0.0207 -0.0544 -0.0328  0.0082

(2) CLIデルタがマイナスかつ二次デルタがプラスの場合の月間収益率

func <- function(x,y,z){if(x <0 && y >0){return(z) }else(return(NA))}
date <- paste("1970",index(cli_xts) %>% last() %>% substr(.,1,7),sep="::")
i <- 12- length(diff(cli_xts$oecd)[date]) %%12
matrix(c(mapply(func,diff(cli_xts$oecd)[date],  diff(diff(cli_xts$oecd))[date]     ,as.vector(monthlyReturn(GSPC)[date])),rep(NA,i)),nrow=12) %>% t() %>% apply(.,2,mean,na.rm=T) %>% round(.,4)

 [1]  0.0066  0.0017  0.0095 -0.0002 -0.0008 -0.0014  0.0170  0.0015 -0.0138  0.0367  0.0136  0.0117