threefunds_graph: Graph One Performance Metric vs. Another for Three-Fund...

In stocks: Stock Market Analysis

Description

Useful for visualizing performance of three-fund portfolios, typically by plotting a measure of growth vs. a measure of volatility. Only works for one three-fund set at a time.

Usage

threefunds_graph(tickers = NULL, intercepts = NULL, slopes = NULL, ...,
  benchmark.tickers = NULL, reference.tickers = NULL,
  tickers.gains = NULL, benchmark.gains = NULL, reference.gains = NULL,
  step.data = 0.0025, step.points = 0.1, step.curves = 0.2,
  x.metric = "sd", y.metric = "mean", tickerlabel.offsets = NULL,
  reflabel.offsets = NULL, add.plot = FALSE, colors = NULL, lty = NULL,
  plot.list = NULL, points.list = NULL, text.list = NULL,
  pdf.list = NULL, bmp.list = NULL, jpeg.list = NULL, png.list = NULL,
  tiff.list = NULL)

Arguments

tickers	Character vector of ticker symbols that Yahoo! Finance recognizes, if you want to download data on the fly.
intercepts	Numeric vector of values to add to daily gains for each ticker.
slopes	Numeric vector of values to multiply daily gains for each ticker by. Slopes are multiplied prior to adding intercepts.
...	Arguments to pass along with tickers to load_gains.
benchmark.tickers	Character vector of length 1 or 2 indicating ticker symbols for benchmark indexes. Only used if x.metric and/or y.metric require benchmark indexes to calculate. For example, to plot correlation with SPY on the x-axis and correlation with TLT on the y-axis, set x.metric = "pearson", y.metric = "pearson2" (i.e. Pearson correlation with 2nd benchmark), and benchmark.tickers = c("SPY", "TLT").
reference.tickers	Character vector of ticker symbols to include on graph as data points for comparative purposes.
tickers.gains	Numeric matrix of gains, where each column has gains for a particular fund.
benchmark.gains	Numeric vector or matrix of gains for 1 or 2 benchmark indexes. Only used if x.metric and/or y.metric require benchmark indexes to calculate. For example, to plot correlation with SPY on the x-axis and correlation with TLT on the y-axis, set x.metric = "pearson" and y.metric = "pearson2", and input benchmark.gains as a 2-column matrix of gains for SPY and TLT.
reference.gains	Numeric vector or matrix of gains for funds to include on graph as data points for comparative purposes.
step.data	Numeric value specifying allocation increments for plotting curves.
step.points	Numeric value specifying allocation increments for adding data points on top of curves. Set to NULL to suppress data points.
step.curves	Numeric value specifying allocation increments for first fund in each set.
x.metric	Character string specifying x-axis performance metric. Choices are: "mean" or "sd" for mean or standard deviation of gains "growth" or "cagr" for total or annualized growth "mdd" for maximum drawdown "sharpe" or "sortino" for Sharpe or Sortino ratio "alpha", "beta", or "r.squared" for those metrics from a fitted linear regression on benchmark fund "pearson" or "spearman" for Pearson or Spearman correlation with benchmark fund "alpha2", "beta2", "r.squared2", "pearson2", or "spearman2" for same as previously described, but using the second benchmark index "auto.pearson" or "auto.spearman" for Pearson or Spearman autocorrelation, defined as the correlation between subsequent gains "allocation" for allocation to first fund in each pair.
y.metric	Same as x.metric, but for the y-axis
tickerlabel.offsets	Either a numeric vector of length 2 giving the x- and y-axis offsets for all ticker labels, or a 2-column matrix where each row gives the x- and y-axis offsets for a ticker.
reflabel.offsets	Either a numeric vector of length 2 giving the x- and y-axis offsets for all reference ticker labels, or a 2-column matrix where each row gives the x- and y-axis offsets for a reference ticker.
add.plot	Logical value for whether to add plot data to current plot frame rather than open a new one.
colors	Character vector of colors for each curve.
lty	Numeric vector specifying line types for each curve.
plot.list	List of arguments to pass to plot.
points.list	List of arguments to pass to points.
text.list	List of arguments to pass to text.
pdf.list	List of arguments to pass to pdf.
bmp.list	List of arguments to pass to bmp.
jpeg.list	List of arguments to pass to jpeg.
png.list	List of arguments to pass to png.
tiff.list	List of arguments to pass to tiff.

Value

In addition to the graph, a list containing:

1. List named portfolio.xy where each element is a two-column matrix of x- and y-axis values for a curve.

2. Numeric vector named means with mean gains for each fund.

3. Numeric matrix named corr.matrix with a correlation matrix for gains for each fund.

References

Ryan, J.A. and Ulrich, J.M. (2017) quantmod: Quantitative Financial Modelling Framework. R package version 0.4-12, https://CRAN.R-project.org/package=quantmod.

Examples

## Not run: 
# Plot mean vs. SD for UPRO/VBLTX/VWEHX portfolio, and compare to VFINX and 
# BRK-B
fig <- threefunds_graph(tickers = c("VWEHX", "VBLTX", "UPRO"), 
                        reference.tickers = c("VFINX", "BRK-B"))

## End(Not run)

stocks documentation built on May 2, 2019, 9:43 a.m.