Anders Ekholm’s Decomposition of Mutual Fund Returns

Calculate Ekholm SelctionShare & TimingShare in R based on TimelyPortfolio post SelectionShare & TimingShare | Masterfully Written by Delightfully Responsive Author.

Example with Fidelity Contrafund (FCNTX)

library(Quandl)
library(xts)
library(pipeR)

# get function from this gist
source(paste0(
  "https://gist.githubusercontent.com/timelyportfolio/e5728c8c7fb45dbdb6e0",
  "/raw/e124379f19225fcdee18f30cb848da6fc6cae764/ekholm.R"
))

f <- Quandl("KFRENCH/FACTORS_D",type = "xts") / 100

"FCNTX" %>>%
  getSymbols( from = "1896-01-01", auto.assign = F ) %>>%
  ( 
    structure(
      ROC( .[,6], n = 1, type  = "discrete" )
      ,dimnames = list(
        NULL
        ,gsub(x = colnames(.)[6], pattern  = "[\\.]Adjusted", replacement = "")
      )
    )
  ) %>>%
  merge(f) %>>% # Quandl("KFRENCH/FACTORS_D",type = "xts") / 100
  na.omit %>>%
  jensen_ekholm