README.md

In ryanholbrook/investmentsim: Investment Simulator

investmentsim

investmentsim is an R package for simulating an investment portfolio using either historical or simulated returns. It has support for varying transactional and allocation paths.

Installation

You can install the development version from GitHub with:

# install.packages("devtools")
devtools::install_github("ryanholbrook/investmentsim")

Example

See the vignette Basic Usage for more detail.

library(tidyverse)
library(xts)
library(lubridate)
library(investmentsim)

# Time series of returns
data(simreturns)
head(simreturns)
#>            Stock.Returns Bond.Returns
#> 1928-01-01    0.11867241   0.01866146
#> 1929-01-01    0.04008497   0.02362385
#> 1930-01-01    0.16592113   0.04912787
#> 1931-01-01    0.18508859  -0.03370055
#> 1932-01-01    0.05509245   0.06772749
#> 1933-01-01    0.07558251   0.04195868

# Historical assets
simstock_asset <- make_historical(simreturns$Stock.Returns)
simbond_asset <- make_historical(simreturns$Bond.Returns)
# Be sure dates simulated over are a subset of the dates of the assets.
dates <- seq(ymd("1940-01-01"), ymd("2010-01-01"), by="years")

# Portfolio with S&P 500 and 10-year T-bonds. Yearly transaction
# of $1000. Linear allocation.
asset_names <- c("Stocks", "Bonds")
port <- make_portfolio(asset_names,
                       c(simstock_asset,
                         simbond_asset),
                         c(2500, 2500))
alloc <- make_linear_allocation_path(asset_names,
                                    c(ymd("1970-01-01"),
                                      ymd("2000-01-01")),
                                    list(c(0.9, 0.1),
                                         c(0.4, 0.6)))

# Plot the allocation path
as <- map(dates,
          alloc) %>%
    do.call(rbind, .) %>%
    xts(order.by = dates)
plot(as, ylim = c(0, 1),
     col = c("red", "blue"),
     main = "Asset Allocation")
addLegend("topright",
          asset_names,
          col = c("red", "blue"),
          lty = 1, cex = 1,
          bty = "o")

trans <- make_transactions_on_dates(rep(1000, length(dates)),
                                    dates)
model <- make_model(port, alloc, trans, dates)

# Evaluate the model
path <- make_path(model)
print(c(head(path), tail(path)))
#>                  Stocks        Bonds        Total Transaction
#> 1940-01-01     2500.000 2.500000e+03     5000.000           0
#> 1941-01-01     6090.672 6.767413e+02     6767.413        1000
#> 1942-01-01     7606.609 8.451788e+02     8451.788        1000
#> 1943-01-01     7997.775 8.886416e+02     8886.416        1000
#> 1944-01-01    11848.487 1.316499e+03    13164.986        1000
#> 1945-01-01    13939.015 1.548779e+03    15487.794        1000
#> 2005-01-01 11137858.729 1.670679e+07 27844646.822        1000
#> 2006-01-01 12831289.074 1.924693e+07 32078222.685        1000
#> 2007-01-01 14673102.513 2.200965e+07 36682756.282        1000
#> 2008-01-01 16844539.341 2.526681e+07 42111348.352        1000
#> 2009-01-01 16949487.079 2.542423e+07 42373717.697        1000
#> 2010-01-01 20340375.373 3.051056e+07 50850938.433        1000
plot(path[,1:3],
    col = c("red", "blue", "green"),
    main = "Investment Path")
addLegend("topleft",
          c(asset_names, "Total"),
          col = c("red", "blue", "green"),
          lty = 1, cex = 1,
          bty = "o")

ryanholbrook/investmentsim documentation built on Nov. 5, 2019, 5:10 a.m.