Analyze Historical Performance of Individual Funds or a Portfolio of Funds

Description

Calculate various measures of historical performance (total growth, compound annual growth rate, maximum drawdown, Sharpe ratio, Sortino ratio) for requested funds and portfolio of requested funds with specified weights.

Usage

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historical.performance(tickers, from = NULL, to = NULL, weights = NULL, 
                       reference.tickers = "SPY", plot.growth = TRUE)

Arguments

tickers

Character string or vector of ticker symbols.

from

Date or character string in form of date (e.g. '2015-01-01' for Jan. 1, 2015), indicating the starting date for the period of interest. Default is 1 year prior to current date.

to

Date or character string in form of date (e.g. '2016-01-01' for Jan. 1, 2016), indicating the ending date for the period of interest. Default is current date.

weights

Vector of numeric weights or allocations to each fund in tickers vector. Function rebalances weights to add to 1 if they do not already.

reference.tickers

Character string or vector indicating ticker symbols of reference funds to compare results against.

plot.growth

If TRUE, function plots growth of \$10k for individual funds, portfolio of funds, and reference funds.

Value

List where first element is matrix of performance metrics, second element is matrix of daily gains, third element is matrix of daily balances for initial \$10k investment, and fourth element is plot of growth of \$10k (if requested).

Note

This function prints warnings which are typically nothing to worry about.

Author(s)

Dane R. Van Domelen

References

Acknowledgment: This material is based upon work supported by the National Science Foundation Graduate Research Fellowship under Grant No. DGE-0940903.

See Also

NA

Examples

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