tawny (version 1.1.0)

plotPerformance: Calculate some portfolio statistics and compare with other portfolios or benchmarks

Description

The group of compare.* functions plot the performance of additional benchmarks such as an equal weighted portfolio over the same time period or a benchmark market (e.g. DJIA or S&P500).

Usage

portfolioReturns(h, weights)
portfolioPerformance(p, rf.rate = 0.01)
plotPerformance(h, weights, window = NULL, rf.rate = 0.01, new.plot = TRUE, y.min = -0.25, y.max = 0.25, bg = NULL, name = "", color = "red", colors = c(), ...)
compare.EqualWeighted(h, window, color = "#342a31", ...)
compare.Market(market, obs, window, end = Sys.Date(), color = "#44bc43", ...)

Arguments

h

Asset returns as used elsewhere in this package

p

Portfolio returns (h %*% weights)

weights

Portfolio weights over the given time period

window

Size of window used in other calculations

obs

Number of observations to retrieve

end

End date of data to retrieve

rf.rate

A risk free rate to use when calculating the sharpe ratio

new.plot

Pass-through to new in plot

y.min

Minimum y value for plot

y.max

Maximum y value for plot

bg

name

The name of the series to use in the legend

color

Color of the plot

colors

Current colors (and names) of lines plotted on the chart

market

A string or zoo/xts object representing the market to use

...

Additional parameters to plot/lines

Value

• A list of portfolio statistics.
• returns
  The daily portfolio returns
• perf
  Cumulative return over time period
• stdev
  Standard deviation of portfolio over time period
• avg.return
  Average return of portfolio
• sharpe.ratio
  Sharpe ratio of portfolio

Details

These functions are provided to assist in the analysis of the resultant portfolio weights generated by the package. The function plotPerformance plots the performance of a portfolio and calculates basic statistics. For more detailed analysis, use a specialized package such as PerformanceAnalytics.

The equal weighted portfolio is simply the same portfolio weight for each asset in the specified portfolio. For this to be meaningful, the same portfolio and window are passed into the function as with the optimizePortfolio call thus ensuring that the equal weighted portfolio and corresponding returns are constructed correctly.

When comparing to the market portfolio, the number of observations need to be specified again so the market portfolio and corresponding returns are constructed properly.

Examples

data(sp500.subset)
ys <- sp500.subset
ws <- optimizePortfolio(ys, 150, getCorFilter.RMT())
plotPerformance(ys, ws, 150)
compare.EqualWeighted(ys, 150)
compare.Market('^GSPC', 200, 150)