Record Long Term Treasury Returns

I mistakenly assume everyone knows that US Treasury Returns have been extreme in 2011.  As we near the end of the year, I thought it would be beneficial to look at the world’s best performer while incorporating some new graphical techniques.  There is also an opinion (NOT INVESTMENT ADVICE) expressed in one of the charts.

From TimelyPortfolio

From TimelyPortfolio

R code in GIST:

	require(quantmod)
	require(PerformanceAnalytics)
	require(latticeExtra)
	require(grid)
	require(reshape)
	tckr <- "VUSTX"
	getSymbols(tckr,
	from="1900-01-01", to=format(Sys.Date(),"%Y-%m-%d"),
	adjust = TRUE)
	roc.back <- ROC(VUSTX[,4], n=200)
	#code from http://stackoverflow.com/questions/4472691/calculate-returns-over-period-of-time
	#lag never seems to work in reverse so I used this for forward returns
	hold <- 200
	f <- function(x) log(tail(x, 1)) - log(head(x, 1))
	roc.forward <- as.xts(rollapply(as.vector(VUSTX[,4]), FUN=f, width=hold+1, align="left", na.pad=T),index(VUSTX))
	roc.df <- as.data.frame(cbind(index(roc.back),coredata(roc.back),coredata(roc.forward)),stringsAsFactors=FALSE)
	colnames(roc.df) <- c("date","back","forward")
	roc.melt <- melt(roc.df,id.vars=1)
	#get date as date rather than integer
	roc.melt[,1] <- as.Date(roc.melt[,1])
	colnames(roc.melt) <- c("date","forwardback","roc")
	#get all forward negative returns
	roc.meltneg <- cbind(roc.melt[,1:2],ifelse(roc.melt[,3] < 0 & roc.melt[,2]== "forward",1,0) * roc.melt[,3])
	#get all forward positive returns
	roc.meltpos <- cbind(roc.melt[,1:2],ifelse(roc.melt[,3] > 0 & roc.melt[,2]== "forward",1,0) * roc.melt[,3])
	colnames(roc.meltneg) <- c("date","forwardback","roc")
	colnames(roc.meltpos) <- c("date","forwardback","roc")
	#scatter plot of forward and back 200 day returns
	plot(roc.df[,2:3],main="Vanguard US Long Treasury (VUSTX)
	200 Day Rate of Change Forward and Back")
	abline(lm(roc.df[,3]~roc.df[,2]),col="blue",lwd=2)
	#do linear regression on just those with back 200 day roc > 20%
	#abline(lm(roc.df[which(roc.df[,2]>0.2),3]~roc.df[which(roc.df[,2]>0.2),2]),col="red",lwd=3)
	abline(h=0,col="grey70")
	abline(v=0.2,col="grey70")
	text(x=0.23, y=-0.04, "200 day forward
	when back > 20%", col="red",
	cex = 0.9, adj=0)
	points(roc.df[which(roc.df[,2]>0.2),2:3],col="red")
	#practice with lattice and grid for another look
	titletext <- "Vanguard US Long Treasury (VUSTX)
	200 Day Rate of Change Forward and Back"
	latticePlot <- xyplot(roc~date, data=roc.melt[which(roc.melt[,2]=="back"),], type="l",
	auto.key=list(lwd=3,lty="solid",pch="n",text="back",y = .8, corner = c(0, 0)),
	par.settings = theEconomist.theme(box = "transparent"),
	lattice.options = theEconomist.opts()) +
	xyplot(roc~date, groups=forwardback , data=roc.meltneg[which(roc.meltneg[,2]=="forward"),],
	origin=0,
	par.settings = simpleTheme(col = "red", border="red",alpha=0.3) ,
	panel = panel.xyarea) +
	xyplot(roc~date, groups=forwardback , data=roc.meltpos[which(roc.meltneg[,2]=="forward"),],
	origin=0,
	par.settings = simpleTheme(col = "green", border="green",alpha=0.3) ,
	panel = panel.xyarea)
	#borrowed heavily from http://www.stat.auckland.ac.nz/~paul/Talks/Rgraphics.pdf
	dev.new()
	pushViewport(viewport(layout=grid.layout(2,1,
	heights = c(unit(0.10,"npc"),unit(0.95,"npc")))))
	pushViewport(viewport(layout.pos.row=1))
	grid.rect(gp=gpar(fill="azure3",col="azure3"))
	grid.text(titletext, x=unit(1,"cm"),
	y=unit(0.90,"npc") ,
	just=c("left","top"))
	popViewport()
	pushViewport(viewport(layout.pos.row=2))
	print(latticePlot,newpage=FALSE)
	popViewport(2)
	#chart.Correlation(roc.df[which(roc.df[,2] > 0.2),])

view raw vustx forward and back.r hosted with ❤ by GitHub