## Portfolio equities of strategies MVRetFac <- 1 + rowSums(wMVL1 * RDPback) / 100 MVRetFac[1] <- 100 MVPort <- timeSeries(cumprod(MVRetFac), charvec = names(MVRetFac)) CDRetFac <- 1 + rowSums(wCDL1 * RDPback) / 100 CDRetFac[1] <- 100 CDPort <- timeSeries(cumprod(CDRetFac), charvec = names(CDRetFac)) ## Progression of wealth ylims <- range(cbind(MVPort, CDPort)) plot(CDPort, main = "", ylim = ylims, ylab = "Index values", xlab = "") lines(MVPort, col = "darkgrey") legend("topleft", legend = c("CDaR", "GMV"), col = c("black", "darkgrey"), lty = 1) ## Portfolio returns MVRet <- returns(MVPort, method = "discrete", percentage = FALSE, trim = TRUE) CDRet <- returns(CDPort, method = "discrete", percentage = FALSE, trim = TRUE) ## Draw down table table.Drawdowns(MVRet) table.Drawdowns(CDRet) ## Plot of draw down curves MVD <- 100 * PerformanceAnalytics:::Drawdowns(MVRet) CDD <- 100 * PerformanceAnalytics:::Drawdowns(CDRet) plot(CDD, main = "", ylab = "Percentages", xlab = "", ylim = c(min(c(MVD, CDD)), 0)) lines(MVD, col = "darkgrey") abline(h = 0, col = "lightgrey") abline(h = -10, col = "lightgrey", lty = 2) legend("bottomleft", legend = c("CDaR", "GMV"), col = c("black", "darkgrey"), lty = 1)