inst/BookEx/C12R6.R

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

## Portfolio equities of strategies
MVRetFac <- 1 + rowSums(wMVL1 * RDPback) / 100  
MVRetFac[1] <- 100
MVPort <- timeSeries(cumprod(MVRetFac), charvec = names(MVRetFac))
CDRetFac <- 1 + rowSums(wCDL1 * RDPback) / 100  
CDRetFac[1] <- 100
CDPort <- timeSeries(cumprod(CDRetFac), charvec = names(CDRetFac))
## Progression of wealth
ylims <- range(cbind(MVPort, CDPort))
plot(CDPort, main = "", ylim = ylims, ylab = "Index values",
     xlab = "")
lines(MVPort, col = "darkgrey")
legend("topleft", legend = c("CDaR", "GMV"),
       col = c("black", "darkgrey"),
       lty = 1)
## Portfolio returns
MVRet <- returns(MVPort, method = "discrete", percentage = FALSE,
                 trim = TRUE)
CDRet <- returns(CDPort, method = "discrete", percentage = FALSE,
                 trim = TRUE)
## Draw down table
table.Drawdowns(MVRet)
table.Drawdowns(CDRet)
## Plot of draw down curves
MVD <- 100 * PerformanceAnalytics:::Drawdowns(MVRet)
CDD <- 100 * PerformanceAnalytics:::Drawdowns(CDRet)
plot(CDD, main = "", ylab = "Percentages", xlab = "",
     ylim = c(min(c(MVD, CDD)), 0))
lines(MVD, col = "darkgrey")
abline(h = 0, col = "lightgrey")
abline(h = -10, col = "lightgrey", lty = 2)
legend("bottomleft", legend = c("CDaR", "GMV"),
       col = c("black", "darkgrey"), lty = 1)