I like the results of the analysis shown in my post Applying Tradeblotter’s Nice Work Across Manager Rather than Time, but I was not satisfied that the plot allowed a quick summary comparison of the two massive fund complexes. I am much more pleased with this Ecdf plot from the HMisc package.
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From TimelyPortfolio |
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#build on fine work at http://tradeblotter.wordpress.com/ | |
#I take blame for all the ugly/bad code | |
require(latticeExtra) | |
#data from pimco and vanguard websites imported into Excel and translated into csv | |
#if local uncomment next line | |
#pimco_vanguard <- read.csv("vanguard_pimco.csv") | |
#get data from published google doc spreadsheet | |
pimco_vanguard <- read.csv("https://docs.google.com/spreadsheet/pub?key=0AieeEIaS0AOsdDFET0ZmbTBKWDNoMnZrZ0oySWRia1E&single=true&gid=0&output=csv") | |
#do 1 year or past 12 months | |
#exclude 0 assuming that data does not exist for this fund | |
asTheEconomist( | |
Ecdf(~X1Y,group=FundComplex,data=pimco_vanguard[which(!(pimco_vanguard[,"X1Y"]==0)),], | |
label.curves=TRUE, | |
main="PIMCO and Vanguard Mutual Funds \nCumulative Density of 1 Year Performance") | |
) + | |
layer(panel.abline(v=0, col="grey70")) |
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