threefunds_graph: Graph One Performance Metric vs. Another for Three-Fund...

In stocks: Stock Market Analysis

Description

Creates graph of one performance metric vs. another as allocation for three-fund portfolio(s) varies. Each curve shows data for a fixed allocation to fund 1 of a set, while the remaining allocation ranges from 100% fund 2 to 100% fund 3.

Usage

threefunds.graph(tickers = NULL, intercepts = NULL, slopes = NULL,
                 ...,
                 benchmark.tickers = NULL,
                 reference.tickers = NULL,
                 tickers.gains = NULL,
                 benchmark.gains = NULL,
                 reference.gains = NULL,
                 step.data = 0.0025,
                 step.points = 0.1,
                 step.curves = 0.2,
                 x.metric = "sd",
                 y.metric = "mean",
                 tickerlabel.offsets = NULL,
                 reflabel.offsets = NULL,
                 add.plot = FALSE,
                 colors = NULL,
                 plot.list = NULL,
                 points.list = NULL,
                 text.list = NULL,
                 pdf.list = NULL,
                 bmp.list = NULL,
                 jpeg.list = NULL,
                 png.list = NULL,
                 tiff.list = NULL)

Arguments

tickers	Character vector or matrix of ticker symbols. If a vector, the first, second, and third elements are assumed to be the first three-fund set, the fourth through sixth are assumed to be the second set, and so on. If a matrix, should have three rows, and each column should represent a different three-fund set.
intercepts	Numeric vector or matrix of values to add to daily gains for each ticker. For example, if you have three tickers and want to simulate a 1% annual expense ratio for only the third fund, you would set intercepts = c(0, 0, convert.rate(-0.01, units.in = 252, units.out = 1)). Like the tickers input, can be a vector divisible by three or a three-row matrix.
slopes	Numeric vector or matrix of values to multiply daily gains for each ticker by. For example, if you have three tickers and want to simulate a 2x leveraged version of the third fund, you would set slopes = c(1, 1, 2). The slopes are multiplied prior to adding the intercepts. Like the tickers input, can be a vector divisible by three or a three-row matrix.
...	Arguments to tickers.gains.
benchmark.tickers	Character vector of length 1 or 2 indicating ticker symbols for benchmark indexes, to be used if x.metric or y.metric is set to "alpha", "beta", "r.squared", "pearson", "spearman", or "alpha2", "beta2", and so on. For example, if you wish to plot correlation with SPY on the x-axis and correlation with TLT on the y-axis, you would set x.metric = "pearson", y.metric = "pearson2", and benchmark.tickers = c("SPY", "TLT").
reference.tickers	Character string or vector of ticker symbols to include on the graph as a data point for comparative purposes.
tickers.gains	Numeric matrix of gains (daily or otherwise), where each column has gains for a particular fund. The first, second, and third column are assumed to be first three-fund set, the fourth through sixth are assumed to be the second set, and so on.
benchmark.gains	Numeric vector or matrix of gains for benchmark indexes. Only relevant if either x.metric or y.metric is set to "alpha", "beta", "r.squared", "pearson", "spearman", or "alpha2", "beta2", and so on. For example, if you wish to plot correlation with SPY on the x-axis and correlation with TLT on the y-axis, you would set x.metric = "pearson" and y.metric = "pearson2", and benchmark.gains should be a 2-column matrix where the first column has SPY gains and the second column has TLT gains.
reference.gains	Numeric vector or matrix of gains for reference funds.
step.data	Allocation increments for data used to fit curves.
step.points	Allocation increments for data points plotted on top of curves. Set to NULL to suppress data points.
step.curves	Allocation increments for first fund in each set. For example, if set to 0.2, there will be six curves for each three-fund set: one for 0% fund 1, another for 20% fund 1, and so on, up to 100% fund 1 (which is technically a data point, not a curve).
x.metric	Character string specifying what performance metric should be plotted on x-axis. Possible values are as follows: "mean" for mean of gains; "sd" for standard deviation of gains; "growth" for total growth; "cagr" for compound annualized growth rate; "mdd" for maximum drawdown; "sharpe" for Sharpe ratio; "sortino" for Sortino ratio; "alpha" or "beta" for alpha and beta from capital assets pricing model theory; "r.squared" for R-squared from regression on benchmark fund; "pearson" or "spearman" for Pearson or Spearman correlation with benchmark fund; "alpha2", "beta2", "r.squared2", "pearson2", or "spearman2" for same as previously described, but using the second benchmark index; "auto.pearson" or "auto.spearman" for Pearson or Spearman autocorrelation, defined as the correlation between subsequent gains; or "allocation" for allocation to first fund in each pair.
y.metric	Same as x.metric, but for y-axis variable.
tickerlabel.offsets	Either a numeric vector of length 2 giving the x-axis and y-axis offsets for ticker labels, or a 2-column matrix where each row gives the x-axis offset and y-axis offset for a particular ticker, following the same order of tickers as in the tickers matrix (going down each column, then to the next row) or across the ticker.gains matrix.
reflabel.offsets	Either a numeric vector of length 2 giving the x-axis and y-axis offsets for reference ticker labels, or a 2-column matrix where each row gives the x-axis offset and y-axis offset for a particular reference ticker, following the same order of tickers as in the reference.tickers vector or across the reference.gains matrix.
add.plot	If TRUE, data is plotted on current plot frame rather than a new one.
colors	Character string of colors for each three-fund set.
plot.list	Optional list of inputs to pass to plot function.
points.list	Optional list of inputs to pass to points function.
text.list	Optional list of inputs to pass to text function.
pdf.list	Optional list of inputs to pass to pdf function. If not NULL, .pdf file is created.
bmp.list	Optional list of inputs to pass to bmp function. If not NULL, .bmp file is created.
jpeg.list	Optional list of inputs to pass to jpeg function. If not NULL, .jpg file is created.
png.list	Optional list of inputs to pass to png function. If not NULL, .png file is created.
tiff.list	Optional list of inputs to pass to tiff function. If not NULL, .tif file is created.

Details

If tickers is specified, it gets passed to load.gains to load historical prices from Yahoo! Finance using the quantmod package [1]. If tickers.gains is specified, performance metrics are calcualted directly from that matrix.

Value

In addition to the graph, a list containing the following items: (1) A list named portfolio.xy where each element is a list of two-column matrices of x- and y-axis values for a particular three-fund set with a particular allocation to fund 1; (2) a numeric vector named means of mean gains for each ticker; and (3) a numeric matrix named corr.matrix containing a correlation matrix for gains of each ticker.

Note

NA

Author(s)

Dane R. Van Domelen

References

1. Jeffrey A. Ryan (2016). quantmod: Quantitative Financial Modelling Framework. R package version 0.4-6, https://cran.r-project.org/package=quantmod.

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

Examples

NA

Example output

Loading required package: rbenchmark
[1] NA

stocks documentation built on May 2, 2019, 5:22 p.m.