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lattice explore vbmfx
#lattice exploration of Vanguard Bond Fund (vbmfx)
#returns since 1990
require(quantmod)
require(lattice)
require(latticeExtra)
require(PerformanceAnalytics)
getSymbols("VBMFX",from="1896-01-01",to=Sys.Date(),adjust=TRUE)
#make monthly so little more manageable and meaningful
VBMFX.monthly <- to.monthly(VBMFX)[,4]
index(VBMFX.monthly) <- as.Date(index(VBMFX.monthly))
#get 1 month rate of change
VBMFX.monthly.roc <- ROC(VBMFX.monthly,type="discrete",n=1)
VBMFX.monthly.roc[1,]<-0
colnames(VBMFX.monthly.roc) <- "VBMFX Monthly Return"
#use table.CalendarReturns to quickly get yearly return numbers
#we will use this to color boxes red or green based on positive or negative
year.returns <- table.CalendarReturns(VBMFX.monthly.roc)[,c(13),drop=FALSE]
#factor dates by years %Y returns 4-digit year
year.group <- factor(format(index(VBMFX.monthly.roc),"%Y"))
#use yearly return to indicate whether year was up or down
colors <- ifelse(year.returns>0,"darkolivegreen4","indianred4")
qqmath(~VBMFX.monthly.roc[,1],main="Vanguard Bond Fund QQPlot")
qqmath(~VBMFX.monthly.roc[,1],groups=year.group,col=colors,
cex=1.25,pch=19,type="b",main="Vanguard Bond Fund QQPlot by Year")
#would like to color background of panels according to year up or down
#but I could not achieve the desired result
qqmath(~VBMFX.monthly.roc[,1]|year.group,aspect="xy",
prepanel=prepanel.qqmathline,
panel= function(x,...) {
panel.qqmathline(x,...)
panel.qqmath(x,...)
},
main="Vanguard Bond Fund QQPlot by Year Panel",
ylab="VBMFX Monthly Return")
# one of my attempts at accomplishing shading by up or down
# par.settings=list(panel.background=list(
# col=function(x,...) {
# colors[VBMFX.monthly.roc[,1]==x[1]]
# })))
densityplot(~VBMFX.monthly.roc[,1],groups=year.group,col=colors,lwd=2,
plot.points="rug",
xlab = "VBMFX Monthly Return",
main="Vanguard Bond Fund Density Plot of Monthly Returns") +
layer(panel.abline(v = 0,lwd=2))
bwplot(year.group~VBMFX.monthly.roc[,1],pch=19,col="black",fill=colors,
par.settings=list(
plot.symbol=list(pch=19,col="gray"),
box.umbrella=list(col="gray"),
box.rectangle=list(col="gray")),
xlab = "VBMFX Monthly Return",
main="Vanguard Bond Fund Boxplot of Monthly Returns")
#now change colors to be red or green based on month up or down
#instead of year up or down
newcolors <- ifelse(VBMFX.monthly.roc[,1]>0,"darkolivegreen4","indianred4")
dotplot(year.group~VBMFX.monthly.roc[,1],
auto.key = list(space="right"),
col=newcolors,pch=19,type = c("p", "h"),cex=1.2,
xlab = "VBMFX Monthly Return",
main="Vanguard Bond Fund Dotplot of Monthly Returns")+
layer(panel.abline(v = 0,lwd=2))+
as.layer(bwplot(~VBMFX.monthly.roc[,1],
pch=10,col="gray",
par.settings=list(
plot.symbol=list(pch=21,col="gray"),
box.umbrella=list(col="gray",lwd=2),
box.rectangle=list(col="gray",lwd=2))),
x.same=TRUE,y.same=FALSE)
dotplot(year.group~VBMFX.monthly.roc[,1],
auto.key = list(space="right"),
col=newcolors,pch=19,type = c("p", "h"),cex=1.2,
xlab = "VBMFX Monthly Return",
main="Vanguard Bond Fund Dotplot of Monthly Returns") +
layer(panel.abline(v = 0,lwd=2)) +
bwplot(year.group~VBMFX.monthly.roc[,1],pch=15,col="gray",
par.settings=list(
plot.symbol=list(pch=21,col="gray"),
box.umbrella=list(col="gray",lty=2,lwd=2),
box.rectangle=list(col="gray",lwd=2))) #col=colors)))
CalmarRatio(VBMFX.monthly.roc)
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