Graphics Artifacts from Quarterly Commentary

For my Q2 2012 commentary, I tried multiple graphs to illustrate the disconnect of the US stock markets with the rest of the world.  I think I finally settled on this simple Excel bar graph populated by Bloomberg data, but I thought some might like to see some of the R graphical artifacts as I explored how best to illustrate my point.

From TimelyPortfolio

Although I settled on a 1 year performance chart, I really wanted to show more history, but without all the noise of a daily, weekly, or even monthly chart.  I tried a chart connecting the 200 day max/min points, but it still seemed noisy and difficult to follow. One big letdown was Yahoo! Finance not providing DJUBS, E1DOW, or P1DOW any more.

From TimelyPortfolio

From TimelyPortfolio

I then thought connecting the end of year points might offer a nice simplification, and I probably liked this best of the R charts.  This shows enough of the path to see the universal move up to 2010, and then the disconnect.

From TimelyPortfolio

From TimelyPortfolio

Even one R base graphics chart. Thanks again Josh for the fork.

From TimelyPortfolio

As one other option, I thought I would try to just connect beginning, middle, and end since December 2008.  This certainly shows the huge disconnect between the U.S. and the rest of the world, but I found it difficult to describe the methodology within the chart.

From TimelyPortfolio

From TimelyPortfolio

I hope this helps someone somewhere.  As always, I very much enjoy comments and opinions.

R code in GIST (do raw for copy/paste):

	require(lattice)
	require(latticeExtra)
	require(directlabels)
	require(ggplot2)
	require(reshape2)
	require(quantmod)
	require(PerformanceAnalytics)
	tckrs <- c("SPY","IWM","EWP","EFA","CRB") #will have to get CRB from Systematic Investor
	descr <- c("SP500","Russell2000","Spain","EAFE","CRB")
	#get equity indexes
	getSymbols(tckrs[1:4],from="2008-12-01")
	#and since Yahoo no longer provides ^DJUBS historical prices
	#use Systematic Investor
	con = gzcon(url('http://www.systematicportfolio.com/sit.gz', 'rb'))
	source(con)
	close(con)
	CRB <- get.CRB()["2008-12-01::",]
	getmaxmin <- function(prices,n=100) {
	dc <- DonchianChannel(prices[,4],n)
	maxmin <- rbind(prices[1,4],
	prices[which(prices[,4]==dc[,1]),4],
	prices[which(prices[,4]==dc[,3]),4],
	prices[NROW(prices),4])/as.numeric(prices[1,4])
	maxmin <- as.data.frame(cbind(as.Date(index(maxmin)),coredata(maxmin)),stringsAsFactors=FALSE)
	colnames(maxmin) <- c("date","price")
	return(maxmin)
	}
	n=200
	df <- as.data.frame(cbind(descr[1],getmaxmin(get(tckrs[1]),n)),stringsAsFactors=FALSE)
	colnames(df)[1] <- "index"
	for (i in 2:length(tckrs)) {
	temp <- as.data.frame(cbind(descr[i],getmaxmin(get(tckrs[i]),n)),stringsAsFactors=FALSE)
	colnames(temp)[1] <- "index"
	df <- rbind(df,temp)
	}
	direct.label(
	xyplot(price~as.Date(date),groups=index,data=df,lwd=3,type="l",main="Path of World Markets Since Dec 2008"),
	list("last.qp",hjust=0.35,vjust=-0.25,cex=0.75))
	direct.label(
	ggplot(aes(y=price,x=as.Date(date)),data=df) + geom_line(aes(colour=index)) + theme_bw() + opts(legend.position = "none") +
	#ggplot(aes(y=price,x=as.Date(date)),data=indexes.melt) + geom_smooth(aes(colour=indexes)) + theme_bw() + opts(legend.position = "none") +
	opts(panel.grid.minor = theme_blank()) +
	opts(axis.line = theme_segment()) +
	opts(panel.border = theme_blank()) +
	opts(title="Path of World Indexes Since 2008")
	,list("last.qp",hjust=0.75,vjust=-0.25,cex=0.75))
	#do beginning, middle, and end
	getbeginend <- function(prices,middle=TRUE) {
	dc <- DonchianChannel(prices[,4],n)
	beginend <- rbind(prices[1,4],
	prices[NROW(prices)/2,4],
	prices[NROW(prices),4])/as.numeric(prices[1,4])
	beginend <- as.data.frame(cbind(as.Date(index(beginend)),coredata(beginend)),stringsAsFactors=FALSE)
	if(middle==FALSE)
	beginend <- beginend[c(1,3),]
	colnames(beginend) <- c("date","price")
	return(beginend)
	}
	df <- as.data.frame(cbind(descr[1],getbeginend(get(tckrs[1]),n)),stringsAsFactors=FALSE)
	colnames(df)[1] <- "index"
	for (i in 2:length(tckrs)) {
	temp <- as.data.frame(cbind(descr[i],getbeginend(get(tckrs[i]),n)),stringsAsFactors=FALSE)
	colnames(temp)[1] <- "index"
	df <- rbind(df,temp)
	}
	asTheEconomist(direct.label(xyplot(price~as.Date(date),groups=index,data=df,lwd=3,type="l",main="Change Since Dec 2008"),
	"last.qp"))
	direct.label(
	ggplot(aes(y=price,x=as.Date(date)),data=df) + geom_line(aes(colour=index)) + theme_bw() + opts(legend.position = "none") +
	#ggplot(aes(y=price,x=as.Date(date)),data=indexes.melt) + geom_smooth(aes(colour=indexes)) + theme_bw() + opts(legend.position = "none") +
	opts(panel.grid.minor = theme_blank()) +
	opts(axis.line = theme_segment()) +
	opts(panel.border = theme_blank()) +
	opts(title="Change of Indexes Since 2008")
	,list("last.qp",hjust=0.75,vjust=-0.25,cex=0.75))
	#do yearly
	indexes <- as.data.frame(to.yearly(get(tckrs[1]))[,4])
	for (i in 2:length(tckrs)) {
	indexes <- cbind(indexes,as.data.frame(to.yearly(get(tckrs[i]))[,4]))
	}
	colnames(indexes) <- descr
	indexes.roc <- ROC(indexes,type="discrete",n=1)
	indexes.roc[1,] <- 0
	labs <- Return.cumulative(indexes.roc)
	#thanks for the fork http://blog.fosstrading.com/
	par(mar=c(4,4,4,5))
	chart.CumReturns(indexes.roc[,order(labs)],ylab=NA,xlab=NA,colorset=1:5,main="Path of World Indexes Since Dec 2008")
	axis(side=4,at=labs,labels=FALSE,las=1,cex.axis=0.75,lwd=0,lwd.ticks=0.5,col.ticks="black",line=-0.25)
	mtext(colnames(labs)[order(labs)],cex=0.75, 4, at=labs[order(labs)],las=1,col=1:5,line=1)
	indexes.cumul <- apply(indexes.roc+1,MARGIN=2,cumprod)
	indexes.melt <- melt(as.data.frame(cbind(as.Date(rownames(indexes.cumul)),indexes.cumul),stringsAsFactors=FALSE),
	id.vars=1)
	colnames(indexes.melt) <- c("date","indexes","price")
	direct.label(asTheEconomist(
	xyplot(price~as.Date(date),groups=indexes,data=indexes.melt,type="l",main="Path of World Indexes Since Dec 2008"))
	,list("last.qp",hjust=0.35,vjust=0.1,cex=1))
	direct.label(
	ggplot(aes(y=price,x=as.Date(date)),data=indexes.melt) + geom_line(aes(colour=indexes)) + theme_bw() + opts(legend.position = "none") +
	#to smooth use the next line instead
	#ggplot(aes(y=price,x=as.Date(date)),data=indexes.melt) + geom_smooth(aes(colour=indexes)) + theme_bw() + opts(legend.position = "none") +
	opts(panel.grid.minor = theme_blank()) +
	opts(axis.line = theme_segment()) +
	opts(panel.border = theme_blank()) +
	opts(title="Path of World Indexes Since Dec 2008")
	,list("last.qp",hjust=0.75,vjust=-0.25,cex=0.75))

view raw path of indexes since 2008.r hosted with ❤ by GitHub