R/cone_chart.R

In mannymistry/extRnalmgrs: What the Package Does (One Line, Title Case)

#' ConeChart for the asset or fund under investigation
#' Evaluate the returns of an investment manager giventheir return and volatility
#' expectations. Calculates 1 and 2 standard deviations from the expected return.
#' @param return_series : The return series of the asset or fund that you are planning to invest in
#' @param target_return : The target return you have for the asset or fund that you are planning to invest in
#' @param expected_volatility: The expected volatility you have for the asset or fund that you are planning to invest in
#' @param timeseries_frequency: Daily, Monthly, Weekly, Yearly
#'
#' @return
#' @export
#'
#' @examples
generate_cone_chart <- function(return_series, target_return, expected_volatility, timeseries_frequency){
  # Number of Observations in time series
  n_obs <- nrow(return_series)

  # The Cummalative Return Path of The Return Series
  path <- PerformanceAnalytics::log(Return.portfolio(return_series, wealth.index = TRUE))
  path <- data.frame(date = index(path), coredata(path))
  colnames(path) <- c('date', 'value')
  mult <- timeseries_frequency
  target <- target_return
  e_mu <-target_return/mult
  e_sigma <- expected_volatility / sqrt(mult)
  mu_path <- cumprod(rep(target+1, n_obs))-1
  sigma_path <- c(e_sigma * sqrt(1:n_obs))
  # Put all the paths into a tibble in preparation for graphing
  dat <- tibble::tibble(
    date = path$date,
    'return path' = log(path$value),
    'expected return path' = cumprod(rep(target + 1, n_obs))-1,
    'up 1 sigma' = mu_path + sigma_path,
    'up 2 sigma' = mu_path + 2*sigma_path,
    'down 1 sigma' = mu_path - sigma_path,
    'down 2 sigma' = mu_path - 2*sigma_path)

      # Reshape the data for final graphs
  plot_dat <- reshape2::melt(dat, id = "date")
  plot_dat$variable <- factor(x = plot_dat$variable,
                              levels = c("return path", "expected return path", "up 1 sigma",
                                         "up 2 sigma", "down 1 sigma","down 2 sigma"))

  ggplot2::ggplot(data = plot_dat, aes(x = date, y = value, color = variable))+
                    geom_line()
}