expectationPlot: Plot a manager track record with ex-ante expection bounds.

In gtog/dMisc: A Collection of Helper Functions for Doing Financial Data Analysis

Description

This function takes an xts object of manager returns, an expected ex-ante Sharpe ratio vector and and ex-ante volatility vector and plots cone charts for each of the managers. The plots have the expected growth trajectory as well as one and two standard deviation bands. This helps detect whether performance of the manager is progressing in line with ex-ante expectations.

Usage

expectationPlot(x, exp.sharpe, exp.ann.vol, scale = 12, cols = 1,
  auto.arrange = TRUE, mytheme = theme_bw(base_size = 10))

Arguments

x	an xts object of returns.
exp.sharpe	a vector of ex-ante Sharpe ratios for each of the assets.
exp.ann.vol	a vector of annualized volatilities for each asset.
scale	the annualization factor for the returns. (eg. 12 = monthly)
cols	the number of columns in the graphics window.
auto.arrange	set to FALSE if you want to specify the number of columns in the plot. Otherwise, funds will be auto-arranged in plot window.
mytheme	a valide ggplot2 theme. Default is theme_bw.
...	additional pass-through paramaters for chart.Timeseries

Value

a series of expectation plots for each asset in x.

Examples

dts <- seq(Sys.Date()-19, Sys.Date(), 1)
returns <- matrix(rnorm(20),ncol = 1) / 100
ret.xts <- xts(returns, dts)
funds <- xts(matrix(rep(ret.xts,6),ncol = 6),index(ret.xts))
sharpes <- rep(1,6)
vols <- rep(.1,6)
expectationPlot(funds, sharpes, vols)

gtog/dMisc documentation built on May 17, 2019, 8:57 a.m.