Wednesday, February 20, 2013

Another Way to Look at Vanguard and Pimco

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.

From TimelyPortfolio

R code at GIST:

#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"))

No comments:

Post a Comment