inst/BookEx/C11R4.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

## Time series plots of equity curves
plot(RMEquity, type = "l", ylim = range(y), ylab = "Equity Index",
     xlab = "Out-of-Sample Periods")
lines(LBEquity, lty = 2)
lines(TDEquity, lty = 3)
legend("topleft",
       legend = c("S&P 500", "Low Beta", "Lower Tail Dep."),
       lty = 1:3)
## Bar plot of relative performance
RelOut <- rbind((LBEquity / RMEquity - 1) * 100,
                (TDEquity / RMEquity - 1) * 100)
RelOut <- RelOut[, -1]
barplot(RelOut, beside = TRUE, ylim = c(-5, 17),
        names.arg = 1:ncol(RelOut),
        legend.text = c("Low Beta", "Lower Tail Dep."),
        args.legend = list(x = "topleft"))
abline(h = 0)
box()