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# This library is free software; you can redistribute it and/or
# modify it under the terms of the GNU Library General Public
# License as published by the Free Software Foundation; either
# version 2 of the License, or (at your option) any later version.
#
# This library is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
# GNU Library General Public License for more details.
#
# You should have received a copy of the GNU Library General
# Public License along with this library; if not, write to the
# Free Foundation, Inc., 59 Temple Place, Suite 330, Boston,
# MA 02111-1307 USA
################################################################################
# FUNCTION: DESCRIPTION:
# netPerformance Returns performance from a portfolio backtest
# FUNCTION: DESCRIPTION:
# .netPerformanceYTD Returns year-to-date performance
# .netPerformanceCalendar Returns calendar performance
# .netPerformancePlot Creates a net performance plot
################################################################################
# DW - TO DO:
# Add argument doplot to function netPerformance
# Make plot() a generic function
# Problems in plot function
# ------------------------------------------------------------------------------
netPerformance <-
function(object, format = "%Y-%m-%d")
{
# A function implemented by William Chen
# Description:
# Returns performance from a portfolio backtest
# Arguments:
# object - an object as returned by the function portfolioSmoothing.
# format -
# FUNCTION:
# Settings:
cumP <- object$portfolioReturns
cumB <- object$benchmarkReturns
P <- as.numeric(cumP)
B <- as.numeric(cumB)
monthlyP <- object$P
monthlyB <- object$B
char.dates <- rownames(cumP)
dates <- strptime(char.dates, format = format)
# nye <- new years eve
nye <- as.character(dates[dates$mon == 11] )
years <- substr(nye, 1,4)
nYears <- length(years)
# Net Performance Plot:
# DW: Needs repair, all following plots fails once called
# .netPerformancePlot(dates, char.dates, years, nye, P)
# NET PERFORMANCE TO YTD:
netYTD = rbind(.netPerformanceYTD(char.dates, monthlyP, P, nYears),
.netPerformanceYTD(char.dates, monthlyB, B, nYears))
rownames(netYTD) = c("Portfolio", "Benchmark")
# NET PERFORMANCE CALENDAR YEAR:
netCalendar <- rbind(.netPerformanceCalendar(nye, char.dates, P),
.netPerformanceCalendar(nye, char.dates, B))
rownames(netCalendar) = c("Portfolio", "Benchmark")
# Print Summary:
cat("\nNet Performance % to",
paste(rev(char.dates)[1], ":",sep = ""), "\n")
print(round(netYTD,2))
cat("\n\nNet Performance % Calendar Year:\n")
print(round(netCalendar,2))
cat("\n")
# Return Value:
ans = list(YTD = netYTD, Calendar = netCalendar)
invisible(ans)
}
# ------------------------------------------------------------------------------
.netPerformanceYTD =
function(char.dates, monthlyP, P, nYears, ...)
{
# A function implemented by William Chen
# Description:
# Returns year-to-date performance from a portfolio backtest
# Arguments:
# FUNCTION:
# NET PERFORMANCE TO YTD:
# summaries for last 1, 3, 6 months,
# 1 year, 3 years, 5 years, 3 years annualised,
# 5 years annualised (if possible)
monthly <- c(rev(monthlyP)[1], sum(rev(monthlyP)[1:3]),
sum(rev(monthlyP)[1:6]))
if (nYears >= 5){
IDX <- 1 + c(0,1,2,5)*12
yearly <- numeric(length(IDX)-1)
for (i in 1:(length(IDX)-1)){
yearly[i] <- rev(P)[IDX[1]] - rev(P)[IDX[i+1]]
}
annualised <- c((1+yearly[2]/100)^(1/3) - 1,
(1+yearly[3]/100)^(1/5) - 1) * 100
combine <- c(monthly, yearly, annualised)
names(combine) = c("1 mth", paste(c(3,6), "mths"),
"1 yr", paste(c(3,5), "yrs"),
paste(c(3,5), "yrs p.a."))
} else {
IDX <- 1 + seq(0, nYears) * 12
yearly <- numeric(length(IDX)-1)
for (i in 1:(length(IDX)-1)){
yearly[i] <- rev(P)[IDX[1]] - rev(P)[IDX[i+1]]
}
Names = paste(seq(1:nYears), "yrs")
# calculate some annualised rates
if (nYears > 1){
ys <- seq(nYears)
annualised <- NULL
for (i in 2:nYears){
annualised = c(annualised, (1+yearly[i]/100)^(1/i)-1)
}
annualised <- annualised * 100
yearly <- c(yearly, annualised)
Names <- c(Names, paste(2:nYears, "yrs p.a."))
}
combine <- c(monthly, yearly)
names(combine) <- c("1 mth", paste(c(3,6), "mths"), Names)
}
# Return Value:
combine
}
# ------------------------------------------------------------------------------
.netPerformanceCalendar <-
function(nye, char.dates, P, ...)
{
# A function implemented by William Chen
# Description:
# Returns calendar performance
# Arguments:
# FUNCTION:
# Net Performance Calendar Year:
nye1 = c(nye, char.dates[length(char.dates)])
# First entry is the cumulated return at the end of first year
# assume we start with 0 returns
annuals <- P[char.dates == nye[1]]
for (i in 1:(length(nye1)-1)){
annuals <- c(annuals,
P[char.dates == nye1[i+1]] - P[char.dates == nye1[i]])
}
Annual <- c(annuals, sum(annuals))
names(Annual) <- c(substr(nye,1,4), "YTD", "Total")
# Return Value:
Annual
}
# ------------------------------------------------------------------------------
.netPerformancePlot <-
function(dates, char.dates, years, nye, P, base = 100)
{
# A function implemented by William Chen
# Description:
# Creates a net performance plot
# Arguments:
# FUNCTION:
# NET PERFORMANCE PLOT:
# Setup figure frame:
Opar = par(oma = rep(0,4), mar = rep(0,4))
mat <- matrix(c(1,2,3), nrow = 3, ncol = 1)
mat <- rbind(0, cbind(0, mat, 0))
layout(mat, widths = c(0, 1, 0), heights = c(lcm(0.3), lcm(0.8), 1, lcm(1)))
# Add title:
plot.new()
plot.window(xlim = c(0,1), ylim = c(0,1))
rect(0,0,1,1,col = "grey50", border = NA)
text(0.01,0.5, "Net Performance (rebased to 100)", font = 2,
col = "white", adj = 0, cex = 1.8)
# Rebased to 100
newP <- c(base, P + base)
# limits:
ylim.pretty <- pretty(newP)
yLim = range(ylim.pretty)
# extend to the end of calendar year
shortCalendar <- 11 - rev(dates$mon)[1]
xLim <- c(1, length(char.dates) + shortCalendar)
# Create empty canvas:
opar <- par(mar = c(2,5,1,4))
plot.new()
plot.window(xlim = xLim, ylim = yLim, xaxs = "i", yaxs = "i")
# Add bottom axes:
IDX <- match(nye, char.dates)
temp.d <- ifelse(dates$mon[1] != 0, dates$mon[1], 12)
temp.y <- ifelse(temp.d == 12, as.numeric(years)[1]-1,
as.numeric(years)[1])
labs <- c(paste(temp.d, temp.y, sep = "/"), paste(12, years, sep = "/"))
if (shortCalendar !=0 ) labs = c(labs, paste(12,
as.numeric(rev(years))[1] + 1, sep = "/"))
axis(1, at = sort(c(xLim,IDX + 1)), labels = labs,
cex.axis = 1, padj = 0.5)#, tck = -0.05)
# Add left axes:
yseq <- seq(min(ylim.pretty), max(ylim.pretty), by = 5)
axis(2, at = yseq, las = 1, tick = FALSE, line = -0.7)
abline(h = yseq, col = "grey50")
# Draw portfolio performance:
lines(newP, col = "red", lwd = 2)
par(opar)
# Add legend and extra text:
plot.new()
plot.window(xlim = c(0,1), ylim = c(0,1))
legend(0.015, 0.8, legend = "Portfolio", lty = "solid", lwd = 2,
col = "red", bty = "n", cex = 1.1)
# Return Value:
par(Opar)
invisible()
}
################################################################################
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